FpML Issues Tracker
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Examples/Test Cases
XAPWG
Iuliia
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Summary
Hello,
Could you please clarify the question of a content of cashflow for cross-currency fixed/float swap with mark-to-market condition.
We are currently considering Example 26 (2.34 Example 26 - Fixed/Floating IRS Where The Floating Stream Notional Is Reset Based On Prevailing Spot Exchange Rate – Cashflows) where the conditions of the mark-to-market are met, i.e. the intermediate exchange is set to true (<intermediateExchange>true</intermediateExchange>). But cashflow in this example is missing the <principalExchange> section. And the questions are following:
Is the <principalExchange> section optional for a cross-currency swap with an intermediate exchange?
Or this section should never be in the cashflow of a cross currency fixed/float swap with intermediate exchange?
Thank you in advance.
With regards,
Iuliia
Notes:
JasonPolis
08/17/23 9:34 am
XAPWG 2023-08-17 :
If the cashflowsMatchParameters is true then the cashflows should match.
In most cases, the parameters are used, rather than the cashflows,
so would normally expect to include the principalExchanges block.
The principalExchanges section is present on the example on line 307.
<principalExchanges>
<initialExchange>true</initialExchange>
<finalExchange>true</finalExchange>
<intermediateExchange>true</intermediateExchange>
</principalExchanges>
<cashflows>
<cashflowsMatchParameters>true</cashflowsMatchParameters>
<paymentCalculationPeriod>
jbaserba
03/18/24 8:00 am
Request for information solved. Marked as closed.