Forums

FpML Discussion

General FpML Discussion › Technical & Implementation Questions › Newbie Question

Tagged: 

Viewing 3 posts - 1 through 3 (of 3 total)
  • Author
    Posts
  • May 25, 2016 at 9:48 am #6837
    BrianKazPat
    Spectator

    Hello,
    apologies for this silly question, but how do you know which swapstream node is the fixed leg, and which is the floating leg in the FpML for an IRS trade?

    Really new to this and have a steep learning curve ahead, so any pointers would be great.

    thanks in advance

    May 25, 2016 at 11:26 am #6839
    aarabadji
    Spectator

    Floating leg swap stream will have a /floatingRateCalculation element within it. Also if you are *not* using pretrade view, it should also have /resetDates. Note, however, that if you are working with pretrade view, /resetDates are optional.

    May 26, 2016 at 6:57 am #6859
    h_mcallister
    Spectator

    Conversely, fixed leg swapStream contains a fixedRateSchedule (swapStream/calculationPeriodAmount/calculation/fixedRateSchedule).

    Also, be aware of the alternate representation for a zero coupon fixed leg, which uses swapStream/calculationPeriodAmount/knownAmountSchedule to represent the bullet payment at term (no fixedRateSchedule).

    Finally, note that the recordkeeping view schema permits the choice of rate calculation (fixedRateSchedule|floatingRateCalculation|inflationRateCalculation) to be omitted altogether – although this should happen in any meaningful report.

  • Author
    Posts
Viewing 3 posts - 1 through 3 (of 3 total)
  • You must be logged in to reply to this topic.

Search Forums

Recent Topics