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October 6, 2009 at 12:03 pm #1793

brownjasonj
Spectator

I’d like to understand how to represent the following products in FPML since it doesn’t seem to be possible: – FX digital barriers – FX accrurals – FX baskets Any ideas?

November 3, 2009 at 5:46 am #1797

mgratacos
Keymaster

Hi, For FX digital barriers, did you look at the fxDigitalOption product? (Section 7.5 http://www.fpml.org/spec/fpml-4-7-1-wd-1/html/index.html) Could you clarify what you mean by FX accruals and FX baskets? Are FX bakets a returns swap on a basket of FX rates? Thanks and Regards, Marc
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