FpML Issues Tracker
closed
Minor
Always
Request New Feature
Admin
mgratacos
Summary
I require support for stubs in Total Return Swaps (aka FpML Equity Swaps). We're trading TRS with stubs and would like to see stub support, preferably as a small enhancement for 4.1.
I would like to see the //swapStream/stubCalculationPeriodAmount element also added to the TRS.
In general I would like to see the interest leg on a TRS look like an interest leg on an IRS as far as possible.
But for now we have a pressing need to just add stub support.
Thanks.
Notes:
mgratacos
04/13/05 6:44 pm
Stubs were added in FpML 4.1 Second Working Draft. The current Stub structure
contains both initialStub and finalStub. The rationale the Equity Derivatives
Working Group proposed for both initalStub and finalStub being made optional
was:
“Both initialStub and finalStub have been made optional to support the
case to support the required permutations of initialStub and finalStub
presence. Where Stubs are used a trade may have an initialStub without a
finalStub, both initialStub and finalStub, or finalStub without
initialStub
The long form equity swap example with stubs provided illustrates the
situation where both initalStub and finalStub are used. The initial stub
is specified from the swap effective date to 2002-08-01 (aka the 1st
payment date); the rate is fixed at 2.125%. The final stub is specified
from 2004-07-01 (aka the payment date before the last) to the termination
date; the rate is float and corresponds to a 1 week Euribor + 50 bps”