fxLinkedNotionalSchedule where is the other currency?

[gary@clarusft.com]

Hi,

I fear this is a naive question, I am looking at the spec for FX Resettable Cross Currency, in particular fxLinkedNotionalSchedule. In the example, ird-25, the USD swapStream has an element fxLinkedNotionalSchedule. However, nowhere in that element or indeed on the swapStream itself is there mention of the other currency, JPY. There is a fxSource page, and one might be able to go from it to guessing the currency, otherwise it seems that you have to have already read the other leg of the swap before you are certain of the fx rates used, that the swapStream is not really independent. Is my understanding correct, or have I missed a very obvious point or location of the second currency in the fx rate?

gary

• This topic was modified 5 years, 7 months ago by gary@clarusft.com.

[mgratacos]

Hi Gary,

Yes, your understanding is correct. If you look at the structure in example ird-25:
…

<fxLinkedNotionalSchedule>
<constantNotionalScheduleReference href="notionalScheduleJPY"/>

…

The constantNotionalScheduleReference is actually mentioning the other currency which is located in the other leg:
…

<notionalSchedule id="notionalScheduleJPY">
<notionalStepSchedule>
<initialValue>1000000000</initialValue>
<currency>JPY</currency>
</notionalStepSchedule>
</notionalSchedule>

…

Looking at the schema there is no alternative to this and I don’t think you can express the “other currency amount” without referencing the other leg.

Thanks,
Marc

• This reply was modified 5 years, 4 months ago by mgratacos.
• This reply was modified 5 years, 4 months ago by mgratacos.

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