Forums

FpML Discussion

This topic has 1 reply, 2 voices, and was last updated 9 years, 8 months ago by h_mcallister.

Viewing 2 posts - 1 through 2 (of 2 total)

Author

Posts
February 17, 2015 at 4:47 am #2248

Nelya
Spectator

Dear all, Does everyone knows whether FpML5.x supports Decompounding, which actually determines stub decompounding, or not? regards and thanks, Nelya

March 10, 2015 at 7:09 am #2249

h_mcallister
Spectator

Hi Nelya, No: the decompounding formula might be used to calculate the applicable rate for a stub on a swap fixed leg – but in this case decompounding is simply the rate calculation method, not a contractual feature of the trade. The trade is matched/confirmed/reported on the stub rate value, not the formula used to derive it. Best regards, Harry McAllister Chair, FpML IRD-WG
Author

Posts

Viewing 2 posts - 1 through 2 (of 2 total)

You must be logged in to reply to this topic.

Recent Topics