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From Phil Morton 19/Jan/2022:
Triage: Mod
The problem looks to be that we do not support an Actual/Actual ISMA Bond type convention for IRS.
They are using a Yield Periodic - Floating formula to support an Inflation leg
The swap has a fixed real rate return of 0.425%
Inflation is then captured by rate setting the deal using an uplifted Rate-Set value i.e. Rate-Set =0.425 / RPI-3 * RPI-2
They need a days convention that calculates Interest as Face Value * Rate-Set / (Days Period*Freq)* Days Period
They could probably use 30/360 to get the correct cashflows, however the accruals would be out, and partial periods at the start or end of the deal would not work.
This would need a mod to support. The work required would be similar to that done to introduce the ‘Equal’ convention for Money Market (YP formula deals) with an ‘Actual/Actual‘ convention. There was some complexities with this work, as you do need to support partial period calculations by cycling back to a pseudo previous coupon date.