FpML Issues Tracker
closed
Tweak
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Schema
5.11 Recommendation (Build 6)
none
MAZA
None
Summary
Good afternoon,
I have a question about the FloatingRate.model section, which is located in the floatingRateCalculation section.
1) Do I understand correctly that this section is used to explicitly provide information about what actually happened with the reference rates, i.e. to provide clear dates and rate values for these dates that were previously provided by the index administrator?
2) Is it true that the floatingRateMultiplierSchedule section will be present only when the trade will actually be completed and confirmed and we will have clear rates and dates?
3) There should not be a floatingRateMultiplierSchedule section in a trade that is not yet completed but already confirmed, because some dates have not yet occurred ?
Thank you.
Regards,
Maksym
Notes:
h_mcallister
09/11/23 1:08 pm
(1) No, you do not understand correctly (!).
The floatingRateCalculation is the parametric representation of the contractual floating payout terms negotiated at inception of the swap. It has nothing to do with subsequent rate observations/fixings occurring during the life of the transaction (if that is the intention of your question?). These can be captured in the optional swapStream/cashflows section.
(2) No. The floatingRateMultiplierSchedule exists only where a contractual multiplication factor is to be applied to the rate observation, in order to derive the applicable rate for each calculation (accrual) period.
(3) This question is based on a false premise (see preceding answers).
h_mcallister
09/11/23 7:03 pm
Please note, there are comprehensive FpML documentation resources available, both in the schema annotations and the online documentation on this site. Please ensure that you have read the relevant materials before raising an issue here.
In general, the issues tracker should be used to notify inconsistencies, errors or gaps in the Standard, or to request new features. Issues may be raised (and are encouraged) on points of interpretation where the documentation is ambiguous, however the list is not intended to function as a live Q&A resource.
MAZA
09/12/23 2:27 am
Thanks for the answer.
Unfortunately, very often the annotation does not provide a clear understanding of the element, structure or model, so additional questions arise.
Thank you for help.
Regards,
Maksym