New RollConventionEnums Propose

[edchase1]

Hi My business has asked me to look at adding: IMMJAN – for rolls on Jan, Apr, Jul and Oct IMMFEB – for rolls on Feb, May, Aug and Nov Are these being looked at as aindustry standard for FpML? And if so when are they looknig to put them into production? Thanks

[mgratacos]

New issue raised http://www.fpml.org/issues/view.php?id=1079

[h_mcallister]

Hi edchase1, First, apologies that you didn’t get a response in the last year (!) – for some reason, I haven’t been getting automatic notifications of forum posts, but still no excuse. I think the answer to your question has to be “no”, for the reasons that (i) (as far as I am aware) these are not commonly recognised code values across the industry (ii) the proposal doesn’t extend the existing functionality of FpML, and could potentially introduce inconsistency. Period roll dates for an InterestRateStream are defined by the content of the CalculationPeriodDates component. Periodicity and roll day are specified by calculationPeriodFrequency, comprising [i]periodMultiplier[/i] & [i]period[/i] (e.g. 3, ‘M’) and [i]rollConvention[/i]. The [i]rollConvention[/i] element is an enumerated value, which can be an integer (day number of the month) or a code value (e.g. ‘EOM’ for end-of-month rolls). The enumeration already contains value ‘IMM’ for standard IMM dates (i.e. third Wednesdays), together with ‘IMMAUD’, ‘IMMCAD’ & ‘IMMNZD’ for currency-specific conventions defined by the relevant local exchanges. Then for a given trade having rollConvention=’IMM’, the roll date schedule is completely defined by the calculation period dates (effective & termination dates + any regular period dates for stubs), together with the period frequency (typically but not necessarily 3M). A more specific roll convention intended to specify a particular cycle of IMM roll dates (e.g. ‘IMMJAN’) would not add any precision to the existing definitions, and could be problematic if inconsistent with any of the other terms. I hope this reply may still be of some use, even after such a long elapsed time. Best regards, Harry McAllister Chair, FpML IRD-WG

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