Hi, could you please clarify why in the example 2.61 Example 53 – XCCY Swap based on OIS, FpML version 5.12 with floating rate index SOFR-OIS-COMPOUND the reset frequency is 3M? As far as known there is not a process or series of “resets” for the floating side of an OIS as there is for the … Continued
In Examples 2.11 Example 6a – Fixed/Floating Cross Currency Interest Rate Swap and 2.60 Example 52 – XCCY Swap with a Fallback in version FpML 5.12, the FpML code for fixing legs specifies the compounding method. At the same time, payment frequency and calculation period frequency coincide, respectively, there is no sense in using the compounding method. … Continued