Forums

Thanks for responding Harry. We at OpenGamma Strata provide full ability to define a swap leg using known amounts for each period, and can parse this from FpML using a sensible interpretation of the spec (outlined above). Adding additional rules to clarify this would have been helpful, but makes little difference to us.

The code we use can be seen here:
https://github.com/OpenGamma/Strata/blob/master/modules/loader/src/main/java/com/opengamma/strata/loader/impl/fpml/SwapFpmlParserPlugin.java#L145

We parse the knownAmountSchedule from FpML, ensuring that the stubCalculationPeriodAmount and resetDates elements are not present. This is parsed to form a KnownAmountSwapLeg, which also contains the parsed schedule. The swap leg class interprets the schedule as related to periods, not dates. The initial known amount is allocated to the first period and all subsequent periods until the known amount schedule indicates a change.

For example, consider a two year swap where each payment period is 3 months long. The known amount schedule could define two entries, one that defines the payment amounts as GBP 1000 for the first year and one that defines the amount as GBP 500 for the second year. (ie. in FpML an initialValue of 1000 and a single step of 500 at the one year point). In this case there will be eight payments in total, four payments of GBP 1000 in the first year and four payments of GBP 500 in the second year. Each payment will occur on the payment date related to the period.

Note that with payment in arrears, the payment date at the one year point will refer to 1000, as that is the applicable value for that period, even though the step change date in notionalStepSchedule might be the same date. (Because we always interpret steps as setting a value for the period, not defining actual action dates, which vary based fixing start/end or payment start/end.)

This is the documentation of the schedule:
http://strata.opengamma.io/apidocs/com/opengamma/strata/product/swap/KnownAmountSwapLeg.html#getAmount–

Hope that helps explain what we do. Feel free to ask if not clear.

I would change the text of notionalAmountSchedule to something like this:

“The known calculation period amount or a known amount schedule expressed as explicit known amounts and dates. In the case of a schedule, the step dates must match the unadjusted dates implied by paymentDates. The schedule is applied to the payment periods and does not define payment dates. For example, consider a schedule with an initial amount of 1000 and a step amount of 1200 on 2016-01-10. Any payment period before 2016-01-10 uses 1000 and any payment period after 2016-01-10 uses 1200. If paying in arrears, then a payment will occur on of near 2016-01-10. This will refer to the period that ends on 2016-01-10 and thus pay 1000. When notionalAmountSchedule is specified, resetDates must be absent and stubCalculationPeriodAmount must, if present, refer only to a known amount. In general, notionalAmountSchedule is only used for a zero coupon bullet payment and the step dates/values are not present.”

Yes, my mistake!