Newbie Question

[BrianKazPat]

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

[aarabadji]

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.

[h_mcallister]

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.

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