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FpML Discussion

This topic has 1 reply, 2 voices, and was last updated 9 years, 2 months ago by h_mcallister.

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February 17, 2015 at 4:47 am #2248

Nelya
Spectator

Dear all, Does everyone knows whether FpML5.x supports Decompounding, which actually determines stub decompounding, or not? regards and thanks, Nelya

March 10, 2015 at 7:09 am #2249

h_mcallister
Spectator

Hi Nelya, No: the decompounding formula might be used to calculate the applicable rate for a stub on a swap fixed leg – but in this case decompounding is simply the rate calculation method, not a contractual feature of the trade. The trade is matched/confirmed/reported on the stub rate value, not the formula used to derive it. Best regards, Harry McAllister Chair, FpML IRD-WG
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