Range Accrual Swap (IR) Representation via FPML

[amitmerla]

I need to represent Range Accrual Swap (IR) via fpml. I do not find where do I map the Low and High Barrier. Please Help! 10x, Amit

[mgratacos]

Hi Amit, Can you represent them using the capRateSchedule and the floorRateSchedule? Best regards, Marc

[h_mcallister]

Marc, Amit, No, a solution using cap/floorRateSchedule does not work, because these components do not carry the required meanings. Technically, from a risk perspective we can represent a range accrual as a strip of daily digital options, but this not ideal for confirmation purposes. We have an internal representation at BNPP, substituing a specialised rangeAccrualCalculation element for the rateCalculation group. We would be interested in bringing this as a proposal to the public standard – but the FpML standard does not support range accrual at the moment. Best regards, Harry

[Janelle]

Hi Harry, Do you know of an approximate time line for incorporation of range accrual and constant maturity swaps into the FpML standard? I noticed that these products were discussed by the IRD working group in June 2009. We would prefer not to develop an internal representation for these products if a standard is going to be issued shortly that will incorporate them. Kind Regards, Janelle

[h_mcallister]

Hi Janelle, First I have to apologise for the very delayed reply – I should be registered to receive auto-notifications of new posts in this forum, but it doesn’t seem to have worked on this occasion. Next: I definitely would like to see digital options, constant maturity and range accrual swaps adopted in the Standard, not only as a matter of self-interest, but because I am convinced there is an appetite for these features among the wider Rates community. We made some progress on digital cap/floors last year, and my intention was to follow adoption of these with range accruals. The IRG-WG is operating in maintenance mode at the moment, but I want to bring a re-drafted digital cap/floor proposal back to the group in the near future. Once we have approval for this model, then I would be keen to follow with the other products. Best regards, Harry McAllister harry.mcallister@bnpparibas.com

[SAMIRSHEIKH]

Hi Harry, We are in the process of creating FPMLs for IR range accruals. Do you have any update on the status of having standardized FPMLs for these? Thanks

[Anonymous]

Hi, I am also stuck at representation of range accrual swaps. Is there any standard schema available in FpML to represent range accrual swaps. Regards/Vijay

[SAMIRSHEIKH]

Hi guys, Does anyone know the status of FPML development for range accruals? Or is there an xsd schema someone has defined that he/she is willing to share. I am in the process of developing one very soon and it will be good to know what other people are doing and maybe we can create something that we can send to Harry and IR derivatives working group for review? Thanks

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