FpML Issues Tracker

1365: Chinese swaps – question about Example 56 – CN REPO FIX Swap

December 12, 2024

new

Major

Have not tried

Interest Rate Derivatives

none

aderezinski

None

Summary

Hi, I have a question about Example 56 - CN REPO FIX Swap

On this swap, one leg is denominated in CNY and this leg resets weekly on Floating Rate CNY-CNREPOFIX=CFXS-Reuters with details as described in the example, and also below.

Problem statement: according to our research, CNY leg on those swaps resets weekly, fixes weekly and compounds weekly, pays quarterly (3M), however weekly reset and fixing frequency are linked to the Payment Frequency; and new Calculation Period Start Date is relative to the Payment Date, not vice versa.

Question: How does current logic determine if coupon needs to be cut after 3 Months when Pay Date is relative to CalculationPeriod End Date? 

Also, how does the roll convention on Calculation Periods knows that it needs to "recalibrate" itself after 3M, not for example 1M or Weekly, if period is "W" and rollConvention "8"?

Swap Details below:

Tenor Frequency: Weekly

<indexTenor>
<periodMultiplier>1</periodMultiplier>
<period>W</period>
</indexTenor>

Reset frequency: Weekly:

<resetFrequency>
<periodMultiplier>1</periodMultiplier>
<period>W</period>
</resetFrequency>
Straight Compounding:
<compoundingMethod>Straight</compoundingMethod>

Calculation Period Frequency: Weekly and rollConvention: 8(which corresponds to effectiveDate unadjusted:

<calculationPeriodFrequency>
<periodMultiplier>1</periodMultiplier>
<period>W</period>
<rollConvention>8</rollConvention>
</calculationPeriodFrequency>
Payment Frequency: every 3 Months:

<paymentFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>

Leave an update

You must be logged in to post an update.

Report an Issue

The FpML Issues Tracker is designed to facilitate public interaction in the standard.

By registering you will be able to submit corrections and comments, generate reports, and view the complete issues archive for FpML.

Report Issue