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Status Future consideration
Categories Requests
Created by Phil Morton
Created on Jul 17, 2023

RELATED IDEAS

SWAPS Actual/Actual ISMA Support

Currently the Actual/Actual day count works differently based on instrument

  • For Bonds this works as per Actual/Actual ISMA (results in an even coupon, denominator = DaysInPeriod*freq)

  • For Swaps this works as per Actual/Actual ISDA (results in an uneven coupon, denominator =366 for part of period in leap year, else 365)

The client has requested Actual/Actual ISMA support for Swaps.

Ideally we would introduce a new day count for Swaps, and this should be available to all formulas (Heathrow requested this for Index Swaps QNTM-I-1424).

  • This would involve working through a lot of test cases (SE/SI, different formulas, accrual methods, unwinds, stub periods).

  • A complexity is that Swaps do not record the previous coupon date, which is a required input when determining the first period interest calculation. Similar issue would also exist for the last period.


We did do a similar modification for MM (Yield Periodic) – where we drove the ISMA calculation off the equal/exact flag (equal=ISMA, exact=ISDA). Much more limited scope,and cost approx one team for a release.

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