FpML Issues Tracker
closed
Major
Always
Coding Scheme
ggurden
iyermakova
Summary
The publication of the 2006 ISDA Definitions introduced some additional Day Count Fraction codes (see Section 4.16 Day Count Fraction of the 2006 ISDA Definitions and also the commentary on the 2000 vs 2006 changes on page viii). Specifically:
1. A new Day Count Fraction of "30E/360 (ISDA)" has been added. Suggested FpML coding scheme value would be "30E/360.ISDA". Note that this has the equivalent meaning of the code 30E/360 under the 2000 Defs. The meaning for the 30E/360 code under the 2006 Defs has been redefined.
2. "Actual/Actual (ICMA)" or "Act/Act (ICMA)" replaces the previous "Actual/Actual (ISMA)" - the organisation ISMA became ICMA. We currently have an FpML code of "ACT/ACT.ISMA". Should we add an additional code of "ACT/ACT.ICMA". In some ways both codes are needed although they equate to the same thing since there will be legacy deals using the old code and new deals needing to use the new code.
Guy Gurden Head of Product Development SwapsWire
Notes:
ggurden
02/23/07 10:15 pm
Attached is proposed revised set of code values and updated descriptions. Descriptions have been updated to refer to ISDA 2000 Defs/ISDA 2006 Defs as applicable and additional comments added to clarify 30E/360 and 30E/360.ISDA usage.
apparry
03/07/07 10:39 am
JPM supports this ( AJ, AP, MR, HMcA )
mgratacos
03/07/07 11:31 am
This will be published in 4.2 Recommendation and 4.3 Second Working Draft. It has been committed to subversion as proposed by Guy.