Author: okpo

1358: Possibility of presence backdated trade conditions only for one leg (swapStream) in a trade

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Dear colleagues, Could you please clarify the following question: According to fpml schema ird-5-12, Is it possible that the <firstPeriodStartDate> element, which displays the backdated trade, will be included in only one leg (one swaptream) along with the <effectiveDate> element. In this case, the <firstPeriodStartDate> will be absent for the second leg, which will mean … Continued

1328: rateCutOffDaysOffset – tag need to be clarified..

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Hi dears, Could you please clarify the following questions about tag <rateCutOffDaysOffset> from fpml-ird-5-12 schema: 1. Is the tag <rateCutOffDaysOffset> used for OIS as equivalent of the tag <lockout>, when exists section <resetDates>, instead of section <calculationParameters>? Can the tag <rateCutOffDaysOffset> be applied for floating indexes for Cross Currency fixed/float and for IRS Fixed/Float instruments? … Continued