Hello, Due to the LIBOR reform, could you please provide the FpML examples of IR swaps (preferable cross currency) with RFR indexes and with <cashflows> component that contains <paymentCalculationPeriod> elements? Such FpML examples are needed to understand what the <cashflows> component should look like for the swaps with RFR indexes. Best regards, Liudmyla
Hello, Could you help with the question regarding the fpml-eq-shared-5-12 schema and its <initialPrice> structure. Inside the <initialPrice> component there is a choice between three mandatory elements that show how the initial price is defined. They are:<determinationMethod>, <EquityPrice.model> and <amountRelativeTo>. FpML Equity swap examples contains the examples when <EquityPrice.model> or <determinationMethod> is used for defining … Continued
Hello, Could you please provide us with the FpML examples for Total return swap instrument with bond single uderlyer ? Thank you in advance. Best regards, Liudmyla
Hello, Could you please clarify if it is possible to use <stubPeriodType> twice for the one <swapStream> to identify the type of the Initial and Final stubs as in the XML below? … <firstRegularPeriodStartDate>2000-10-05</firstRegularPeriodStartDate> <lastRegularPeriodEndDate>2004-10-05</lastRegularPeriodEndDate> <stubPeriodType>LongInitial</stubPeriodType> <stubPeriodType>ShortFinal</stubPeriodType> <calculationPeriodFrequency> <periodMultiplier>6</periodMultiplier> <period>M</period> <rollConvention>5</rollConvention> </calculationPeriodFrequency> … During the validation of such document via FpML validator by TRADEHEADER there … Continued
Hello, Could you please clarify if the presence of the <paymentDaysOffset> element in the cross-currency IRS has an impact on the dates <cashflows>/<principalExchange>/<unadjustedPrincipalExchangeDate> or <cashflows>/<principalExchange>/<adjustedPrincipalExchangeDate>? Or these dates are the Effective date for the initial exchange and the Termination date for the Final exchange and the <paymentDaysOffset> element (if it is present in a <swapStream>) … Continued
Hello, Could you please clarify if there is an element in FpML schema for Cross Currency Fixed Fixed instrument that can indicate the trade settlement days (the quantity of days between trade date and the date when trade is deemed to be settled) or the settlement date by itself, that usually ranges from one to … Continued
Hello, Could you please provide with the FpML examples for InterestRate:CrossCurrency:Basis and InterestRate:CrossCurrency:FixedFixed product types? Also, could you please provide with the FpML examples for InterestRate:CrossCurrency:Basis product type with OIS index where reset frequency is equal to 1D? Best regards, Liudmyla
Hello, Could you please help with the question below: When validating Example 2.50 Example 42 – Daily compounding swap with payment delay that contains <calculationParameters> structure instead <resetDates> structure, via FpML Validator there is the next error: ‘resetDates must be present if and only if a floatingRateCalculation or inflationRateCalculation element is present in calculationPeriodAmount’. This … Continued
Hello, Could you please clarify if the <spreadSchedule> element for the Floating leg can be present when the <calculationParameters> structure is applied? If it can be present, which <compoundingMethod> in such a case is used? According to the validation rule ird-9 the calculationPeriodAmount/calculation/compoundingMethod can only be present if an <resetDates> element is present, therefore it … Continued