At DTCC we have recently implemented
digital cap/floors via a FpML extension. I'm more than happy to produce
a proposal if everyone thinks its worthwhile addition.
Regards,
Phil
harry.mcallister@xxxxxxxxxxxxxxxxx Sent by: irdwg@xxxxxxxx
18/11/2008 10:33
Please respond to
irdwg@xxxxxxxx
To
y.avidor@xxxxxxxxxxxxxxxxxxxx
cc
irdwg@xxxxxxxx
Subject
FpML-IRD Re: Digital Cap/Floor
Yuval,
No, digital cap/floors are not yet supported in FpML - although this is
functionality which we would like to see in the Standard.
You might consider extending the capRateSchedule with a digitalPayoff
element.
Best regards,
Harry McAllister
Fixed Income Architecture
BNP Paribas
Internet
y.avidor@super
derivatives.co
To
m
irdwgchair@xxxxxxxx
cc
18/11/2008
10:13
Subject
Digital Cap/Floor
Hi,
Are digital Caps/Floors supported by fpml?
I can't find much information about it in the site.
If so, I'm guessing I can place the trigger in the strike tag, but where
do
I place the payout?
Sincerely,
Yuval Avidor
Integration Developer
SD-Connect
y.avidor@xxxxxxxxxxxxxxxxxxxx
Phone: 972 (3) 6074264
Internal: 4264
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