Frequency 'P6M' is not a multiple of 'P2Y'

Strata
1

Hi,

I’m getting the following error: > Frequency ‘P6M’ is not a multiple of 'P2Y’
for the following trade although trade data looks valid

Trade

<trade> <tradeHeader> <partyTradeIdentifier> <tradeId tradeIdScheme="http://www.traiana.com/fpml/coding-scheme/external/unique-transaction-identifier">IR000000000161005020230000071_013</tradeId> <partyReference href="party1"/> </partyTradeIdentifier> <partyTradeIdentifier> <issuer issuerIdScheme="http://www.traiana.com/fpml/coding-scheme/external/cftc/issuer-identifier"/> <tradeId tradeIdScheme="http://www.traiana.com/fpml/coding-scheme/external/unique-transaction-identifier">IR000000000161005020230000071_013</tradeId> <partyReference href="ExecutionFacility"/> <originatingTradeId> <partyReference href="ExecutionFacility"/> <tradeId tradeIdScheme="http://www.fpml.org/tradeId">D7F5055417C000580000:1:0:0:S:0:0_013</tradeId> </originatingTradeId> </partyTradeIdentifier> <tradeDate>2016-10-05</tradeDate> </tradeHeader> <swap id="USDv3MLIB-SB:2Y"> <productType>InterestRate:IRSwap:FixedFloat</productType> <swapStream id="USD.LIBOR.3M"> <payerPartyReference href="party1"/> <receiverPartyReference href="party2"/> <calculationPeriodDates id="floatingCalcPeriodDates.1"> <effectiveDate> <unadjustedDate>2016-10-07Z</unadjustedDate> <dateAdjustments> <businessDayConvention>NONE</businessDayConvention> <businessCenters> <businessCenter>NONE</businessCenter> </businessCenters> </dateAdjustments> <adjustedDate>2016-10-08Z</adjustedDate> </effectiveDate> <terminationDate> <unadjustedDate>2018-10-07Z</unadjustedDate> <dateAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters id="terminateDates-primaryBusinessCenters.1"> <businessCenter>GBLO</businessCenter> <businessCenter>USNY</businessCenter> </businessCenters> </dateAdjustments> <adjustedDate>2018-10-09Z</adjustedDate> </terminationDate> <calculationPeriodDatesAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters> <businessCenter>GBLO</businessCenter> <businessCenter>USNY</businessCenter> </businessCenters> </calculationPeriodDatesAdjustments> <calculationPeriodFrequency> <periodMultiplier>3</periodMultiplier> <period>M</period> <rollConvention>7</rollConvention> </calculationPeriodFrequency> </calculationPeriodDates> <paymentDates> <calculationPeriodDatesReference href="floatingCalcPeriodDates.1"/> <paymentFrequency> <periodMultiplier>3</periodMultiplier> <period>M</period> </paymentFrequency> <payRelativeTo>CalculationPeriodStartDate</payRelativeTo> <paymentDatesAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters id="paymentsDates-primaryBusinessCenters.1"> <businessCenter>GBLO</businessCenter> <businessCenter>USNY</businessCenter> </businessCenters> </paymentDatesAdjustments> </paymentDates> <resetDates id="resetDates.1"> <calculationPeriodDatesReference href="floatingCalcPeriodDates.1"/> <resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo> <fixingDates> <periodMultiplier>-2</periodMultiplier> <period>D</period> <dayType>Business</dayType> <businessDayConvention>PRECEDING</businessDayConvention> <businessCenters id="fixingDates-primaryBusinessCenters.1"> <businessCenter>GBLO</businessCenter> </businessCenters> </fixingDates> <resetFrequency> <periodMultiplier>3</periodMultiplier> <period>M</period> </resetFrequency> <resetDatesAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters id="resetDates-primaryBusinessCenters.1"> <businessCenter>GBLO</businessCenter> <businessCenter>USNY</businessCenter> </businessCenters> </resetDatesAdjustments> </resetDates> <calculationPeriodAmount> <calculation> <notionalSchedule> <notionalStepSchedule> <initialValue>50000000</initialValue> <currency>USD</currency> </notionalStepSchedule> </notionalSchedule> <floatingRateCalculation> <floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex> <indexTenor> <periodMultiplier>3</periodMultiplier> <period>M</period> </indexTenor> </floatingRateCalculation> <dayCountFraction>ACT/360</dayCountFraction> </calculation> </calculationPeriodAmount> </swapStream> <swapStream id="USDv3MLIB-SB:2Y"> <payerPartyReference href="party2"/> <receiverPartyReference href="party1"/> <calculationPeriodDates id="fixedCalcPeriodDates.1"> <effectiveDate> <unadjustedDate>2016-10-07Z</unadjustedDate> <dateAdjustments> <businessDayConvention>NONE</businessDayConvention> <businessCenters> <businessCenter>NONE</businessCenter> </businessCenters> </dateAdjustments> <adjustedDate>2016-10-08Z</adjustedDate> </effectiveDate> <terminationDate> <unadjustedDate>2018-10-07Z</unadjustedDate> <dateAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters id="terminateDates-primaryBusinessCenters.2"> <businessCenter>GBLO</businessCenter> <businessCenter>USNY</businessCenter> </businessCenters> </dateAdjustments> <adjustedDate>2018-10-09Z</adjustedDate> </terminationDate> <calculationPeriodDatesAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters> <businessCenter>GBLO</businessCenter> <businessCenter>USNY</businessCenter> </businessCenters> </calculationPeriodDatesAdjustments> <calculationPeriodFrequency> <periodMultiplier>2</periodMultiplier> <period>Y</period> <rollConvention>7</rollConvention> </calculationPeriodFrequency> </calculationPeriodDates> <paymentDates> <calculationPeriodDatesReference href="fixedCalcPeriodDates.1"/> <paymentFrequency> <periodMultiplier>6</periodMultiplier> <period>M</period> </paymentFrequency> <payRelativeTo>CalculationPeriodStartDate</payRelativeTo> <paymentDatesAdjustments> <businessDayConvention>MODFOLLOWING</businessDayConvention> <businessCenters id="paymentsDates-primaryBusinessCenters.2"> <businessCenter>GBLO</businessCenter> <businessCenter>USNY</businessCenter> </businessCenters> </paymentDatesAdjustments> </paymentDates> <calculationPeriodAmount> <calculation> <notionalSchedule> <notionalStepSchedule> <initialValue>50000000</initialValue> <currency>USD</currency> </notionalStepSchedule> </notionalSchedule> <fixedRateSchedule> <initialValue>0.0</initialValue> </fixedRateSchedule> <dayCountFraction>30/360</dayCountFraction> </calculation> </calculationPeriodAmount> </swapStream> </swap> </trade>

2

The error message says that 6 months is not a multiple of 2 years. Whereas 2 years is a multiple (1 times). As is 4 years (2 times). This error normally occurs when the accrual/payment periods are set incorrectly according to the FpML specification.

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