FpML Issues Tracker

Summary

Good day.

I have a question regarding the application of "OIS Compounding." in interest rate swaps.

Specifically, when determining the rate for a Reset Date, it involves calculating the rate of return of a daily compound interest investment. This calculation is done in accordance with one of the following options: lookback, observationShift, or lockout.

Within the calculationParameters section of floatingRateCalculation, there are three available methods to choose from, which dictate the Reset Dates mechanism. As per the scheme, only one of these methods should be applied.

However, in the scenario where a trade has both lookback and lockout simultaneously, as demonstrated in the following XML structure: --------------------------------------------------

<floatingRateCalculation> <floatingRateIndex>EUR-EONIA-OIS-COMPOUND</floatingRateIndex> <indexTenor> <periodMultiplier>1</periodMultiplier> <period>D</period> </indexTenor> <calculationParameters> <calculationMethod>Compounding</calculationMethod> <lookback> <offsetDays>2</offsetDays> </lookback> <lockout> <offsetDays>3</offsetDays> </lockout> </calculationParameters> </floatingRateCalculation> --------------------------------------

This setup would cause a conflict with the scheme and result in validation errors.

1) Could you please confirm that it is indeed not permissible to have both lookback and lockout applied simultaneously?

Thank you for your assistance.

Best regards, Artem.