business Convention Update request

[averildurkin]

Hi i found an email chain in relation to ModSucceeding where this was previously requested, however i cannot see this being implemented. Can anyone confirm if this will be added? regards Averil

[lyteck]

The BusinessDayConventionEnum enumeration indeed does not include that value. Can you please paste the email chain here?

[averildurkin]

I put the following into google to get to the post if it is easier: fpml modified succeeding business day convention Below is the post: Re: [fpml-coord] Proposed Enums for BusinessDayConventionEnum and rollDayConventionEnums ——————————————————————————– To: coord@xxxxxxxx Subject: Re: [fpml-coord] Proposed Enums for BusinessDayConventionEnum and rollDayConventionEnums From: harry.mcallister@xxxxxxxxxxxxxxxxx Date: Wed, 15 Nov 2006 20:05:41 +0000 In-reply-to: <455B5ED5.8090904@xxxxxxxxxxxxx> Reply-to: coord@xxxxxxxx Sender: coord@xxxxxxxx Sensitivity: ——————————————————————————– Robert, I would be wary of MODSUCCEEDING as it might be too readily confused with MODFOLLOWING by the uninitiated. If we accept the need to support this convention, can we come up with something more distinctive, perhaps also referencing the AFMA e.g. AFMAMODSUCCEEDING? rollConvention enum already supports IMMCAD (usually a Monday) – I take it you are thinking of something different? The existing rollConvention = IMM is universally understood as the 3rd Wednesday of the delivery month – I would not be in favour of introducing IMM_WED. Best regards, Harry Internet rstowsky@xxxxxxxxxxxxx@fpml.org – 15/11/2006 18:39 Please respond to coord@xxxxxxxx Sent by: coord@xxxxxxxx To: coord cc: Subject: [fpml-coord] Proposed Enums for BusinessDayConventionEnum and rollDayConventionEnums I have a client who has deals based on Australian Bonds and Rate Indices that use a Modified Succeeding Business Day Convention. The Australian Financial Markets Association defines modified succeeding as follows: “if the straight date for a specific tenor falls on a weekend or public holiday in Sydney, the date will be the next business day, unless that day crosses the mid-month (15th ) or end of a month then it will be the preceding business day” I would like to add value MODSUCCEEDING to BusinessDayConventionEnum. Additionally, IMM has both Monday and Wednesday settlements. FpML currently only supports Wednesday settlement days. I would like to add values IMM_MON and IMM_WED to RollDayConventionEnum. Thanks, Robert

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