FpML Issues Tracker

Summary

Hi Team,

We would like to check if you have a sample message or structure on how different FX rates are captured in FpML on a Cross currency swaps where both traded currencies on non deliverable and final coupon is settled in USD.

I understand, settlement provision dictates the final settlement amount, however any language on how the fx_rate between Leg1 and Leg2 are captured ?

Example: Leg1 is CLF- Leg2 is CLP

Leg1 coupons are first converted to CLP and finally CLP is converted to USD for final settlement.

Appreciate your feedback.

Regards,

Naresha Chari