compounding convention


#1

Hi all,

Can someone help me with the FIX tag to denote compounding convention which has values such as NACA, NACS, NACQ, NACM and NACC. I tried mapping to PaymentStreamCompoundingFrequencyUnit however it is of enum datatype having values such as ‘D’, 'Mo, and ‘Y’ which didnt solve the purpose. Appreciate your assistance.


#2

Hi @hallo klein, can you please help on this?


#3

@carmianleslie sorry but this looks like OTC derivatives where I am not the expert. I hope somebody else is able to respond to your question. Maybe you can provide a little more information on those acronyms. They look quite specific. What is the underlying business requirement?

I can say that FIX fields XXXFrequencyUnit are paired with fields XXXFrequencyPeriod. The period expresses the number of time units and the unit is the length of a single of those time units, e.g. period=1, unit=days.


#4

@carmianleslie, this should be the mapping you are after?
NACA Annually = 1Y means Frequency Unit = 1 and Periad = Year
NACS Semi Annually = 6M …
NACQ Quarterly = 3M
NACM Monthly = 1M
NACC Continuous = 1D
BR Bernhard


#5

Thx Bernhard. You are in line with Hanno. I too suggested the same thing to the business. However business wanted those names NACQ, NACC to appear in FIXML rather than just 3m or 1d. So they are looking for a FIX tag which is of string type to accommodate


#6

@carmianleslie I think it is important to explain to the business that FIX is a standard and not the superset of all proprietary terminology and representations. FIX tries to avoid redundancies as much as possible, i.e. if a specific business requirement has been covered by FIX in a specific way, there is no desire from a standardization point of view to cover it in additional ways. This reduces standardization and increases cost to the industry by having to implement something multiple times simply because not all counterparties adhere to the same approach. In your example the FIX representation is a) integer field for the unit and b) string field for the period and not a single string field for an acronym. The business should care less about the technical implementation as long as the requirement has been met.

So what is the solution? Your interface specification (aka user manual aka Rules of Engagement) allows you to add your proprietary terminology by showing both in the description, e.g.

  • NACA (annually): set frequency period to 1 and frequency unit to Yr = Year
  • NACS (semi-annually): set frequency period to 6 and frequency unit to Mo = Month

#7

Can you tell us what the “NAC” part stands for?

As with what @bernhardveltmann and @hanno.klein said, what goes on the wire should be transparent to the display. When you receive you can display using the acronyms that business is used to seeing.

That said please inform what the acronyms stand for. Sometimes different markets have different ways of saying the same thing and then maybe we can help.


#8

It’s “Nominal Annual Compounded”