fpml:calculationPeriodDates

The calculation periods dates schedule.

Element information

Content

• Sequence [1..1]
  1. Choice [1..1]
     • fpml:effectiveDate    The first day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention.
     • fpml:relativeEffectiveDate    Defines the effective date.
  2. Choice [1..1]
     • fpml:terminationDate    The last day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention.
     • fpml:relativeTerminationDate    The term/maturity of the swap, express as a tenor (typically in years).
  3. fpml:calculationPeriodDatesAdjustments [1..1]    The business day convention to apply to each calculation period end date if it would otherwise fall on a day that is not a business day in the specified financial business centers.
  4. fpml:firstPeriodStartDate [0..1]    The start date of the calculation period if the date falls before the effective date. It must only be specified if it is not equal to the effective date. This date may be subject to adjustment in accordance with a business day convention.
  5. fpml:firstRegularPeriodStartDate [0..1]    The start date of the regular part of the calculation period schedule. It must only be specified if there is an initial stub calculation period. This day may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
  6. fpml:firstCompoundingPeriodEndDate [0..1]    The end date of the initial compounding period when compounding is applicable. It must only be specified when the compoundingMethod element is present and not equal to a value of None. This date may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
  7. fpml:lastRegularPeriodEndDate [0..1]    The end date of the regular part of the calculation period schedule. It must only be specified if there is a final stub calculation period. This day may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
  8. fpml:stubPeriodType [0..1]    Method to allocate any irregular period remaining after regular periods have been allocated between the effective and termination date.
  9. fpml:calculationPeriodFrequency [1..1]    The frequency at which calculation period end dates occur with the regular part of the calculation period schedule and their roll date convention.

Attributes

Used in

• Type fpml:InterestRateStream (Elements fpml:capFloorStream, fpml:swapStream)

Sample instance

<calculationPeriodDates id="floatingCalcPeriodDates">
   <effectiveDate>
      <unadjustedDate>1994-12-14</unadjustedDate>
      <dateAdjustments>
         <businessDayConvention>NONE</businessDayConvention>
      </dateAdjustments>
   </effectiveDate>
   <terminationDate>
      <unadjustedDate>1999-12-14</unadjustedDate>
      <dateAdjustments>
         <businessDayConvention>MODFOLLOWING</businessDayConvention>
         <businessCenters id="primaryBusinessCenters">
            <businessCenter>DEFR</businessCenter>
         </businessCenters>
      </dateAdjustments>
   </terminationDate>
   <calculationPeriodDatesAdjustments>
      <businessDayConvention>MODFOLLOWING</businessDayConvention>
      <businessCentersReference href="primaryBusinessCenters"/>
   </calculationPeriodDatesAdjustments>
   <calculationPeriodFrequency>
      <periodMultiplier>6</periodMultiplier>
      <period>M</period>
      <rollConvention>14</rollConvention>
   </calculationPeriodFrequency>
</calculationPeriodDates>