FpML Issues Tracker

1326: section from fpml-ird-5-12 scheme

August 30, 2023

closed

Major

N/A

Schema

5.13 Second Working Draft (Build 2)

XAPWG

Iuliia

None

Summary

Hello,

Could you please clarify the following questions on the <knownAmountSchedule> section from fpml-ird-5-12 schema? 1. Can the <knownAmountSchedule> section be applied to a floating leg in the IRS fixed/float instrument? 2. When <knownAmountSchedule> section is applied, <calculation> section is not applied? Or there can be simultaneously <knownAmountSchedule> and <calculation> sections in one swap stream?

Notes:

  • JasonPolis

    08/31/23 10:46 am

    XAPWG 2023-08-31:

    1. Yes, but only for zero coupon swaps.
    2. Yes. No.
      The schema defines a choice between either a calculation or a knownAmountSchedule.

     

    MG: It’s a choice. So not allowed. They are in separate branches. Schema prevents this.

  • h_mcallister

    08/31/23 11:29 am

    To expand on the answer to point 1: No, knownAmountSchedule cannot be produced for a floating leg (swapStream) because floating interest payment amounts are indeterminate at contract inception, by definition. knownAmountSchedule can only be produced for a fixed leg, and in practice is only used for zero-coupon fixed legs (by convention).

     

  • jbaserba

    03/18/24 7:55 am

    Request for information solved. Marked as closed.

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