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This topic has 1 reply, 2 voices, and was last updated 9 years, 2 months ago by aescobar.

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July 18, 2012 at 3:00 pm #2053

acollist
Spectator

Are FX-resetable (aka “mark-to-market”) cross currency swaps supported in FpML 5.2?

I was able to set up a complete parametric representation using fxLinkedNotionalSchedule and principalExchanges. However, I can see no way to correctly represent the FX-linked principal exchanges in the cashflows representation.

It seems to me that we would need something like an fxLinkedPrincipalExchangeAmount element within the cashflows:principalExchange to achieve this.

Am I missing something?

Thanks,
Adrian

September 17, 2015 at 5:55 pm #4181

aescobar
Keymaster

It has been 3 years since the post was placed. I’m also interested in the answer as I spent quite some time trying to figure out how to represent FX-reseable trades in FpML. My conclusion was very similar to Adrian’s. But there is no provision for this in the schema. I’m using 5.7 version.

Has anything changed since 2012 in this area?

Thanks,
Ewa
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