FpML Issues Tracker

1333: knownAmountSchedule section in Cross Currency fixed/floating IR Swap

September 5, 2023

closed

Minor

Have not tried

Interest Rate Derivatives

5.13 Second Working Draft (Build 2)

XAPWG

Iuliia

None

Summary

Hello,

could you please clarify how the knownAmountSchedule section will be represented for the Cross Currency fixed/floating IR Swap instrument? Do I understand correctly that for such an instrument, the <step> section inside <knownAmountSchedule> should be applied. For example I expect the following representation: <knownAmountSchedule> <initialValue>1000000</initialValue> <step> <stepDate>2023-09-05</stepDate> <stepValue>1500000</stepValue> </step> <currency>EUR</currency> </knownAmountSchedule>

where <initialValue> will be the initial amount and <stepValue> will be the final amount. And where <stepDate> will be equal to the termination date.

If it is possible to provide an example of Cross Currency fixed/floating IR Swap using knownAmountSchedule, I would be grateful.

Thank you in advance.

Regards,

Iuliia

Notes:

  • h_mcallister

    09/11/23 1:00 pm

    This scenario would not be a conventional usage of knownAmountSchedule, which is generally  reserved for the case of a zero coupon fixed leg with bullet payment at term.

    The fixed payout of a Cross Currency Fixed/Float swap is usually represented by the parametric calculation/fixedRateSchedule.

  • mgratacos

    07/04/24 11:59 am

    Answered by Harry.

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