forward starting XCCY where the constant notional leg is fixed

[alexnotalex]

Dear experts, I’m trying to represent a forward XCCY trade where the business has agreed the initial notional of the fxLinked leg at booking (A)… and the constant notional leg (B) will be FX-fixed at the effective date based on this . For subsequent calculation periods, the fxLinked leg will be fixed vs B. After a few experiments, I can’t set up two fxLinked legs which refer to each other (!) Setting them up like non forward-starting ones feels like i’m leaving out key information and relying on a future amendment message to save the day. So, i’m resigned to cashflowMatchParameters = false, and filling fxLinkedNotional in the cashflows to indicate the fixing on both legs, but this still feels unweildy. Can anybody offer a new perspective? very best regards Alex

[roma]

I understand right? (exmpl) Calculation period number | (A) leg notinal | (B) leg notional ——————————————————————– 1. | 10.000.000 USD | (A)* rate USD/EUR at some date 2. | (B) * rate USD/UER | 12.000.000 EUR (because rate at 1 period was 1.2) 3. | (B) * rate USD/UER | 12.000.000 EUR 4. | (B) * rate USD/UER | 12.000.000 EUR etc

[alexnotalex]

yes, that’s it, thanks for laying it out. Usually for these trades all the fxfixing takes place on the fxlinked notional leg… to indicate it’s forward starting you spec it as an fxlinked notional without an initial value because the constant notional leg is known. Here the difference is that the fxlinked leg does have an initial value and it’s the constant notional leg which is fixed. best, Alex

[roma]

I think you should use 2 fxLinkedNotionalSchedule. 1. For (A) leg – set initialValue to 10.000.000 and add one varyingNotionalFixingDates relative to trade date for exmpl. 2. For (B) leg – set periodic notional change at reset dates or something. The problem is that you must set constantNotionalScheduleReference reference to another fx Linked Notional Schedule, but fxLinkedNotionalSchedule element has no attribute. But you can extend this type with attribute.

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