FpML Issues Tracker
closed
Minor
Always
Credit Derivatives
mgratacos
Summary
7.4.1 Credit default swap documentation states that initialPayment is intended for use solely with CDS index trades.
Document"Trades on credit default swap indices generally have an upfront payment associated with them. Unlike upfront payments on credit default swap trades, the initial payment can be from either protection buyer to protection seller or from protection seller to protection buyer. To address this requirement, an additional optional element called initialPayment has been added to feeLeg in FpML 4.1. This element is intended to be used solely in the representation of a credit default swap index trade."
However an example published shows the element being used in a CDS Corp trade.
Example "cd-ex18-standard-north-american-corp.xml"
Should the example be using the singlePayment element, as it is representing payment to the protection seller?
Notes:
mgratacos
08/10/15 3:42 pm
The documentation and the annotation of the schema have been updated.
mgratacos
09/05/15 3:42 pm
For Standard CDS trades, the behaviour of upfront payment is the same as CD indices. The documentation should be updated.