FpML Issues Tracker

909: Consistency between Duration, Frequency, Interval, and Schedule

January 28, 2009

closed

Minor

Always

Modeling Task Force

Admin

BrianLynn

Summary

Issue reported by Matthew Rawlings VWG 2009-01-27:

In FpML, Interval is used to represent Duration and Frequency.

FpML also defines a Schedule as a kind of Interval with CommodityCalculationPeriodsSchedule. There are also offsets and frequencies. We should be consistent with terms around "Interval", "Duration", and "Schedule".

Notes:

  • mgratacos

    02/13/09 7:44 pm

    2009-02-13: The Commodities WG agreed to change this type removing the inheritance from Interval. An Interval.model group has been created. Now, the CommodityCalculationPeriodsSchedule looks like the following:



    A parametric representation of the Calculation Periods for on Asian option or a leg of a swap.





    If true, indicates that that the first Calculation Period should run from the Effective Date to the end of the calendar period in which the Effective Date falls, e.g. Jan 15 – Jan 31 if the calculation periods are one month long and Effective Date is Jan 15. If false, the first Calculation Period should run from the Effective Date for one whole period, e.g. Jan 15 to Feb 14 if the calculation periods are one month long and Effective Date is Jan 15.



    • 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