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Tagged: xccy termination

This topic has 2 replies, 2 voices, and was last updated 5 years, 3 months ago by pjoseph.

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September 3, 2019 at 4:31 am #16575

pjoseph
Participant

Is anyone supporting cross currency partial terminations using FpML. Does your message contain the notional being terminated for both legs of the swap? What version FpML supports this?

September 4, 2019 at 12:57 pm #16589

mgratacos
Keymaster

Hi,

The termination/sizeChange structure allows to provide two notionals with different currencies. It is available in the latest versions of FpML for sure including 5.9-5.11 but let me check when it was first introduced.

Kind Regards,
Marc

September 4, 2019 at 3:07 pm #16590

pjoseph
Participant

Thanks Marc. That’s really helpful. Much appreciated.
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