interchange-schema-registry/Registry/FpML/5.0.0/confirmation/validation/invalid-testcases/invalid-ird-57-01.xml

A Global Schema Registry for Data Interchange formats

<?xml version="1.0" encoding="utf-8" ?>
<!--View is confirmation-->
<!--Version is 5-10-->
<!--NS is http://www.fpml.org/FpML-5/confirmation-->
<!--
        == Copyright (c) 2014-2018 All rights reserved.
        == Financial Products Markup Language is subject to the FpML public license.
        == A copy of this license is available at http://www.fpml.org/license/license.html
-->
<!-- 
   *    Floating vs fixed interest streams.
   *    Single term payment on both streams at termination date.
   *    Periodic compounding allowed on the floating rate stream.
   *    Periodic compounding also allowed on the fixed rate stream.
-->
<executionNotification
    xmlns="http://www.fpml.org/FpML-5/confirmation"
    xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
    fpmlVersion="5-10"
    xsi:schemaLocation="http://www.fpml.org/FpML-5/confirmation ../../fpml-main-5-10.xsd http://www.w3.org/2000/09/xmldsig# ../../xmldsig-core-schema.xsd"
>
  <header>
    <messageId messageIdScheme="http://www.barclaysglobal.com/partners/schema/v1-1/schemes/messageID">GW:2W81Q117</messageId>
    <sentBy>BGIAGB2L</sentBy>
    <sendTo>WSSOGB2L</sendTo>
    <creationTimestamp>2004-06-23T06:55:42+05:00</creationTimestamp>
  </header>
<!--5.0 Messaging: added
                <correlationId>
                <sequenceNumber>
        -->
  <isCorrection>false</isCorrection>
  <correlationId correlationIdScheme="http://www.ibm.com/conversationIdScheme">swapStream117</correlationId>
  <sequenceNumber>1</sequenceNumber>
  <trade>
    <tradeHeader>
      <partyTradeIdentifier>
        <partyReference href="party1" />
        <tradeId tradeIdScheme="http://www.party1.com/swaps/trade-id">E2000098N10184</tradeId>
      </partyTradeIdentifier>
      <partyTradeIdentifier>
        <partyReference href="party2" />
        <tradeId tradeIdScheme="http://www.barclays.com/swaps/trade-id">1234</tradeId>
      </partyTradeIdentifier>
      <tradeDate>2005-02-20</tradeDate>
    </tradeHeader>
    <swap>
<!--fixed leg; 3% fixed rate; single payment after 30 years; calculation every year -->
      <swapStream>
        <payerPartyReference href="party1" />
        <receiverPartyReference href="party2" />
        <calculationPeriodDates id="N10434">
          <effectiveDate>
            <unadjustedDate>2005-02-22</unadjustedDate>
            <dateAdjustments>
              <businessDayConvention>MODFOLLOWING</businessDayConvention>
              <businessCenters>
                <businessCenter>GBLO</businessCenter>
              </businessCenters>
            </dateAdjustments>
          </effectiveDate>
          <terminationDate>
            <unadjustedDate>2035-02-22</unadjustedDate>
            <dateAdjustments>
              <businessDayConvention>MODFOLLOWING</businessDayConvention>
              <businessCenters>
                <businessCenter>GBLO</businessCenter>
              </businessCenters>
            </dateAdjustments>
          </terminationDate>
          <calculationPeriodDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCenters>
              <businessCenter>GBLO</businessCenter>
            </businessCenters>
          </calculationPeriodDatesAdjustments>
          <firstPeriodStartDate>
            <unadjustedDate>2005-02-20</unadjustedDate>
            <dateAdjustments>
              <businessDayConvention>MODFOLLOWING</businessDayConvention>
              <businessCenters>
                <businessCenter>GBLO</businessCenter>
              </businessCenters>
            </dateAdjustments>
          </firstPeriodStartDate>
<!--Rule ir-57-->
          <calculationPeriodFrequency>
            <periodMultiplier>1</periodMultiplier>
            <period>Y</period>
            <rollConvention>NONE</rollConvention>
          </calculationPeriodFrequency>
        </calculationPeriodDates>
<!--Rule ir-57-->
        <paymentDates>
          <calculationPeriodDatesReference href="N10434" />
          <paymentFrequency>
            <periodMultiplier>1</periodMultiplier>
            <period>T</period>
          </paymentFrequency>
          <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
          <paymentDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCenters>
              <businessCenter>GBLO</businessCenter>
            </businessCenters>
          </paymentDatesAdjustments>
        </paymentDates>
        <calculationPeriodAmount>
          <calculation>
            <notionalSchedule>
              <notionalStepSchedule>
                <initialValue>100000</initialValue>
                <currency>GBP</currency>
              </notionalStepSchedule>
            </notionalSchedule>
            <fixedRateSchedule>
              <initialValue>0.03</initialValue>
            </fixedRateSchedule>
            <dayCountFraction>30E/360</dayCountFraction>
          </calculation>
        </calculationPeriodAmount>
      </swapStream>
<!--floating leg; GBP-LIBOR-ISDA 6 months rate; single payment after 30 years; calculation every three months with flat compounding -->
      <swapStream>
        <payerPartyReference href="party2" />
        <receiverPartyReference href="party1" />
        <calculationPeriodDates id="N10277">
          <effectiveDate>
            <unadjustedDate>2005-02-22</unadjustedDate>
            <dateAdjustments>
              <businessDayConvention>MODFOLLOWING</businessDayConvention>
              <businessCenters>
                <businessCenter>GBLO</businessCenter>
              </businessCenters>
            </dateAdjustments>
          </effectiveDate>
          <terminationDate>
            <unadjustedDate>2035-02-22</unadjustedDate>
            <dateAdjustments>
              <businessDayConvention>MODFOLLOWING</businessDayConvention>
              <businessCenters>
                <businessCenter>GBLO</businessCenter>
              </businessCenters>
            </dateAdjustments>
          </terminationDate>
          <calculationPeriodDatesAdjustments>
            <businessDayConvention>NONE</businessDayConvention>
          </calculationPeriodDatesAdjustments>
          <firstPeriodStartDate>
            <unadjustedDate>2005-02-20</unadjustedDate>
            <dateAdjustments>
              <businessDayConvention>NONE</businessDayConvention>
            </dateAdjustments>
          </firstPeriodStartDate>
<!--Rule ir-57-->
          <calculationPeriodFrequency>
            <periodMultiplier>3</periodMultiplier>
            <period>M</period>
            <rollConvention>22</rollConvention>
          </calculationPeriodFrequency>
<!--Rule ir-57-->
        </calculationPeriodDates>
        <paymentDates>
          <calculationPeriodDatesReference href="N10277" />
          <paymentFrequency>
            <periodMultiplier>1</periodMultiplier>
            <period>T</period>
          </paymentFrequency>
          <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
          <paymentDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCenters>
              <businessCenter>GBLO</businessCenter>
            </businessCenters>
          </paymentDatesAdjustments>
        </paymentDates>
        <resetDates id="resetDates">
          <calculationPeriodDatesReference href="N10277" />
          <fixingDates>
            <periodMultiplier>-2</periodMultiplier>
            <period>D</period>
            <dayType>Business</dayType>
            <businessDayConvention>NONE</businessDayConvention>
            <businessCenters>
              <businessCenter>GBLO</businessCenter>
            </businessCenters>
            <dateRelativeTo href="resetDates" />
          </fixingDates>
          <resetFrequency>
            <periodMultiplier>3</periodMultiplier>
            <period>M</period>
          </resetFrequency>
          <resetDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCenters>
              <businessCenter>GBLO</businessCenter>
            </businessCenters>
          </resetDatesAdjustments>
        </resetDates>
        <calculationPeriodAmount>
          <calculation>
            <notionalSchedule>
              <notionalStepSchedule>
                <initialValue>100000</initialValue>
                <currency>GBP</currency>
              </notionalStepSchedule>
            </notionalSchedule>
            <floatingRateCalculation>
              <floatingRateIndex>GBP-LIBOR-ISDA</floatingRateIndex>
              <indexTenor>
                <periodMultiplier>6</periodMultiplier>
                <period>M</period>
              </indexTenor>
            </floatingRateCalculation>
            <dayCountFraction>ACT/360</dayCountFraction>
            <compoundingMethod>Flat</compoundingMethod>
          </calculation>
        </calculationPeriodAmount>
      </swapStream>
    </swap>
  </trade>
  <party id="party1">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">12345</partyId>
  </party>
  <party id="party2">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">67890</partyId>
  </party>
  <account id="primaryAct1">
    <accountId>PRIM_450</accountId>
    <accountName>PRIMARY_ACCOUNT</accountName>
    <accountBeneficiary href="party1" />
  </account>
  <account id="crossAct1">
    <accountId>CROSS_560</accountId>
    <accountName>CROSS_ACCOUNT</accountName>
    <accountBeneficiary href="party2" />
  </account>
</executionNotification>