Phil,
Yes, I think it would be well worthwhile - shall we compare notes on
implementations?
Best regards,
Harry
Internet
pleach@xxxxxxx
m To
irdwg@xxxxxxxx
Sent by: cc
irdwg@xxxxxxxx irdwg@xxxxxxxx,
y.avidor@xxxxxxxxxxxxxxxxxxxx
18/11/2008 Subject
10:46 Re: FpML-IRD Re: Digital Cap/Floor
Please respond
to
irdwg@xxxxxxxx
Yuval, Harry, All
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
To
y.avidor@superderiva
18/11/2008 10:33 tives.com
cc
irdwg@xxxxxxxx
Please respond to Subject
irdwg@xxxxxxxx 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
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