FpML Issues Tracker
Interest Rate Derivatives
With the upcoming change to the GBP SONIA rates, I wondered if the floating rate option code would change on GBP OIS trades. The current option code is GBP-WMBA-SONIA-COMPOUND. I suspect the WMBA part will be dropped, but have not seen anything public confirming this.
Will the coding schemes be updated?
03/22/18 11:02 am
Yes, the coding scheme will be added. FpML is waiting for the ISDA legal publication to be final.
04/18/18 11:47 am
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