FpML Issues Tracker
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Examples/Test Cases
5.13 Second Working Draft (Build 2)
AWG
Iuliia
None
Summary
Hello,
Could you please clarify 2.45 Example 37 - Zero Coupon Swap Known Amount Schedule. Based on the terms of the example, in which the effective date is 2008-09-18 and the trade date is 2014-11-17, i.e., the effective date is earlier than the trade date, this example describes a backdated trade. Accordingly, we expect the example to define the firstPeriodStartDate as presented in 2.8 Example 5 - Fixed/Floating Single Currency Interest Rate Swap with Long Initial Stub and Short Final Stub. But firstPeriodStartDate is missing in 2.45 Example 37. So the question is this an error in the 2.45 Example 37 and firstPeriodStartDate should be defined based on the backdated trade conditions? Or is the example correct?
Regards,
Iuliia
Notes:
mgratacos
07/04/24 9:46 am
I think you are right and it looks this is an error. The effective date should not be before the trade date. Instead, there should be a firstPeriodStartDate with the value of the current effective date. To discuss at the next AWG call.