FpML Issues Tracker

163: Require new rollConvention enumeration codes to support AUD and NZD ‘IMM’ like IRS trades

February 17, 2006

closed

Block

N/A

Coding Scheme

ggurden

mgratacos

Summary

To support buy-side interest rate swap trading in AUD and NZD where the payment dates follow the last trading day of certain Sydney Futures Exchange (SFE) futures contracts there needs to be 2 new rollConvention enumeration values defined that identify these specific roll date conventions.

The rule for calculating AUD "IMM" dates follows the last trading day of the Sydney Futures Exchange 90 Day Bank Accepted Bills Futures contract (see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf) and is defined as "one Sydney business day preceding the second friday of the relevant settlement month"

Suggested rollConvention code for this would be "IMMAUD".

The rule for calculating NZD IMM dates follows the last trading day of the Sydney Futures Exchange NZ 90 Day Bank Bill Futures contract (see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf) and is defined as "the first Wednesday after the ninth day of the relevant settlement month"

Suggested rollConvention code for this would be "IMMNZD".

Notes:

  • mgratacos

    02/21/06 10:46 am

    The two proposed values have been added into the RollConventionEnum type.



    The last trading day of the Sydney Futures Exchange 90 Day Bank Accepted Bills Futures contract (see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf). One Sydney business day preceding the second Friday of the relevant settlement month.




    The last trading day of the Sydney Futures Exchange NZ 90 Day Bank Bill Futures contract (see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf). The first Wednesday after the ninth day of the relevant settlement month.

    • 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