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FpML Discussion

This topic has 1 reply, 2 voices, and was last updated 14 years, 12 months ago by h_mcallister.

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May 6, 2009 at 3:03 am #1746

amitmerla
Spectator

My Payout formula is: Min(MaxCoupon,Max(MinCoupon,FixedRate – Index * Gearing)) Anyone know where can I Represent the Min & Max Coupons?

May 6, 2009 at 1:34 pm #1747

h_mcallister
Spectator

If I understand correctly, you have a geared inverse floating payout, capped and floored at MaxCoupon and MinCoupon respectively. Let’s assume the following values for the purpose of this illustration: Index = 3M USD Libor BBA FixedRate = 8.5% MaxCoupon = 7.5% MinCoupon = 1.5% Gearing = 2.0 Then the following xml fragment shows how these values are deployed within calculationPeriodAmount: 100000000 USD USD-LIBOR-BBA 3 M -2.0 0.085 0.075 0.015 ACT/360
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