FpML Issues Tracker

1107: Within FraDiscountingEnum enumeration used in FRA product there is no ability to indicate “FRA Yield Discounting”

April 3, 2012

closed

Feature

N/A

Interest Rate Derivatives

ggurden2008

h_mcallister

Summary

The 2006 ISDA Definitions introduced a new explicit "FRA Yield Discounting" discounting method (see Section 8.4 Discounting). This was added primarily to support specification of the discounting method used on AUD and NZD transactions.

The FraDiscountingEnum used in the FRA product to specify valid values in the element doesn't currently have a value defined that corresponds to the "FRA Yield Discounting" method. The existing values are NONE, ISDA and AFMA. The value of "ISDA" is defined as "FRA Discounting" per the ISDA Definitions will apply." "FRA Discounting" is the other discounting method that is defined in the ISDA Definitions which applies to all other currencies other than AUD and NZD. The definition of "FRA Discounting" existed in earlier versions of the ISDA Definitions which is why it is already supported in the FpML enumeration.

The value of "AFMA" is defined as "FRA discounting per the Australian Financial Markets Association (AFMA) OTC Financial Product Conventions will apply." Prior to ISDA publishing specific language for "FRA Yield Discounting" the value of "AFMA" was an alternative way of referencing the discounting formula applicable to AUD/NZD which was published in an AFMA publication.

Notes:

  • h_mcallister

    05/20/12 7:31 pm

    Two enumerations are potentially affected, FraDiscountingEnum (fra) and DiscountingTypeEnum (swap) (see issue #1108).

    For historical reasons, each of these has its own naming style for the enumeration values. It is preferrable that any new values should be internally consistent, so we might have:

    FraDiscountingEnum = {AFMA, ISDA, ISDAFRAYield (or possibly ISDAYield), NONE}

    and

    DiscountingTypeEnum = {Standard, FRA, FRAYield}

  • mgratacos

    07/16/12 1:30 pm

    Added explicit support for “FRA Yield Discounting” method under a legal framework of the 2006 ISDA Definitions, Section 8.4 (e).

    – Added to ‘FRADiscountingEnum’, a new value ‘ISDAYield’ within fra/fraDiscounting.

    – Added to ‘DiscountingTypeEnum a new value ‘FRAYield’ within [swap|capFloor]Stream/calculationPeriodAmount/calculation.

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