Good evening dear FpML experts. I have a question regarding the element cashflowsMatchParameters. The abstract says the following: “A true/false flag to indicate whether the cashflows match the parametric definition of the stream, i.e. whether the cashflows could be regenerated from the parameters without loss of information.” Do I understand this element correctly that its … Continued
Good evening dear FpML experts. I have a question about the relativeEffectiveDate and relativeTerminationDate elements. Is there any restriction regarding the simultaneous use of, for example, such a combination of elements: 1) for fixed leg <relativeEffectiveDate> 2) for floating leg <effectiveDate> (adjustableDate) And vice versa. Is it possible to use relative choice in one leg and the … Continued
Good evening dear FpML experts. I have a question regarding example 2.45 Example 37 (IRSfixed/float). The example contains the following pieces of code: 1) for fixed leg <calculationPeriodAmount> <knownAmountSchedule> <initialValue>7,000,000</initialValue> <currency>EUR</currency> </knownAmountSchedule> </calculationPeriodAmount> 2) for floating leg <calculation> <notionalSchedule> <notionalStepSchedule> <initialValue>6,000,000</initialValue> <currency>EUR</currency> </notionalStepSchedule> </notionalSchedule> I have the following questions: 1) Is it a mistake … Continued
Hello dear experts, Could you please help me to clarify a bit the next question. Will religious holidays (Good Friday, Easter Monday) be taken into account for calculation bermuda exercise date via choice relativeDates ? The input data is following: cash settlement payment date element <cashSettlementPaymentDate id=”cashSettlementPayment0″> <adjustableDates> <unadjustedDate>2023-04-12</unadjustedDate> <dateAdjustments> <businessDayConvention>FOLLOWING</businessDayConvention> <businessCenters> <businessCenter>GBLO</businessCenter> <businessCenter>EUTA</businessCenter> … Continued
Hello, Could you please clarify the next: When adding the new additional element adjustedDate into /dataDocument/trade/swaption/bermudaExercise/relevantUnderlyingDate/relativeDates/adjustedDate to have more than one adjustedDates (as it is Bermuda exercise style) the validator (Altova XML Spy) doesn`t allow to do it and demands to delete it. Is this an issue with the schema, or if not, how can … Continued
Good evening dear FpML experts. Currently working on the code of example 2.18 Example 10 – European Swaption, Physical Settlement, Relative Underlying Effective Date. I need a little clarification regarding tag <dateRelativeTo href=”europeanExercise0″ /> which is nestled inside of <relevantUnderlyingDate> Swaption`s tag structure. I have two assumptions regarding the meaning of this tag: 1) this is simply … Continued
Good afternoon, In the example “2.17 Example 9a – European Swaption, Physical Settlement, Explicit Underlying Effective Date” (see the code extract bellow), it is provided the tag <paymentType>PremiumAmount</paymentType> which do not have domain values and do not say explicitly what premium type can be nestled inside. Is it possible to nestle Swaption`s Spot or Forward premium … Continued
Could you please provide additional FpML examples for Fixed/Floating Overnight Interest Rate Swap (OIS) ? It is only two examples provided on the site: 2.12 Example 7 – Fixed/Floating Overnight Interest Rate Swap (OIS) 2.13 Example 7a – Fixed/Floating Overnight Interest Rate Swap (OIS) Regards, Maksym FpML 5.12 Recommendation – Examples … Continued