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This topic has 4 replies, 4 voices, and was last updated 15 years, 7 months ago by Admin.

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April 6, 2009 at 2:53 am #1738

arpit
Spectator

Hi, I have been trying to figure out how one can represent structures based on floating rate spreads, where we need to specify two RefIndexes and the payoff is dependent on the difference and may be gear factor (multiplier), i got the multiplier part and way to do inverse floaters but have not been able to find a way to represent spread swap/notes. It will be great if anyone can guide me on this. Thanks in advance

April 20, 2009 at 7:33 am #1742

mgratacos
Keymaster

Hi, Did you you look at the spreadSchedule structure within FloatingRateCalculation complex type? Thanks, Marc

April 27, 2009 at 3:15 am #1743

arpit123
Spectator

Hi Marc, I did look into the spreadschedule but it does not allow me to pass refindexes for defining the floating side payoff for e.g. if i want to define the floating side payoff equivalent to (2y USD Libor – 5y USD Libor). Arpit

April 29, 2009 at 6:49 am #1744

mgratacos
Keymaster

Hi Arpit, I think you’ll need an extension at that level to be able to represent the payoff. Thanks, Marc

May 7, 2009 at 3:07 pm #1748

Admin
Spectator

I suspect that the solution is a “floatingRateSpreadCalculation” containing (at least) two floating rate indices with independent multipliers. This would be a member of the rateCalculation substitution group, enabling it to be used in place of floatingRateCalculation.
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