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FpML Discussion

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  • #1816
    bergech
    Spectator

    I’m struggling to fit FX Linked Deposits into FpML. Definition of instrument – A deposit (typically in USD) where the Deposit Amount is notionally converted into another Currency at a pre-agreed spot rate. This Amount then accrues interest at a floating rate. At maturity the Notional Amount + Accrued Interest is converted back to the Deposit Currency at the prevailing spot rate. This fits into an FX Swap + Term Deposit….. but Term Deposits are fixed rate only. Any advice? Thanks

    #1821
    mgratacos
    Keymaster

    You’d probably need to extend FpML to create this product. As you say, the Term Deposits are fixed rate only. A bit “radical” alternative would be to use the swap product with a single swapStream to represent the deposit part with floating interest rate. It’s probably cleaner to create an extension and create the product as needed.

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