FpML Issues Tracker

1285: Support for CMS tenor spread for cap/floor and swap

February 15, 2023

assigned

Feature

N/A

Interest Rate Derivatives

XAPWG

JasonPolis

h_mcallister

Summary

XAPWG Thread

[FpML-XAPWG] CMS representation (mockup for discussion) – FpML

RE: [FpML-XAPWG] CMS representation (mockup for discussion) – FpML

  • Waiting for Harry’s feedback. Thinks reset is being confused with the fixing date. Reset date is usually calculation period end date. Usually the fixing is determined a few days before the calculation period end date. Usually using parameters NY -2D prior to reset date. Thinks it can be done today.

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