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This topic has 3 replies, 3 voices, and was last updated 11 years, 4 months ago by mgratacos.

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June 25, 2013 at 5:43 am #2130

Anonymous
Inactive

Hi, How the swap rate (USD 1y swap) can represented in floatingRateIndex? The way to represent float rates is USD-LIBOR-BBA. Is there any such standard for swap rates respresentation/ Regards/Vijay

June 26, 2013 at 4:52 pm #2133

stanetra1
Member

Vijay, Are you asking how to represent the tenor of the index??? USD-LIBOR-BBA 1 Y or if the question different? Note that floatingRateIndex is also a coding scheme. Unlike payment type, FpML provides a default coding scheme. Stan Etra Head of Product Development Risk Focus Work: +1 917 725 6004 Mobile: +1 917 843 3588 Email: stan.etra@riskfocus.com

July 30, 2013 at 3:35 am #2142

Anonymous
Inactive

Hi Stan, Sorry for replying late on this. If say USD/LIBOR/BBA 3m is the underlying rate for any swap leg then we map USD-LIBOR-BBA. So I was wondering about the underlying rate USD/IRS/5Y (dollar 5y swap rate) (CMS swaps). How it will be mapped in in floatingRateIndex field. Is there a list published by ISDA regarding the swap rates? Regards/Vijay

July 30, 2013 at 12:16 pm #2143

mgratacos
Keymaster

You can take a look at: http://www.fpml.org/spec/coding-scheme/index.html (section 5.71) or http://www.fpml.org/coding-scheme/floating-rate-index-2-6.xml (xml fortmat) It provides the standard list of floating rate indices. Hope this helps. Marc tradeheader.com
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