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


#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.

It is worth noting our updated support page where we indicate what help we will and will not provide on the forums, and which require commercial support.