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General FpML Discussion Proposals & Extensions how to express yield within bondTransaction element from extension schema

This topic contains 1 reply, has 2 voices, and was last updated by  mgratacos 2 years, 5 months ago.

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  • #2064

    glenguo
    Participant

    Hi, I like to use bondTransaction element from extension schema for non derivative bond trading. after check bondprice type, sounds there are only four fields available here, cleanPrice, dirty price, accruals and dirty price. so we questions are: 1) how to express yield, is there anything like fixml/FIX Yield block? 2) when trading bond, the price can be yield, discount or spread. how express it if trading rather than par. (i guess the clean price is for par) Thanks in advance. Regards, Glen

    #12724

    mgratacos
    Moderator

    Hi Glen,

    Either you extend the Non Derivatives extension and add the Yield or you use the “new” FpML instrumentTradeDetails product to represent them. If you use intrumentTradeDetails, you can use the pricing/quote structure to represent different types of prices. The quote structure is a pair-value definition so it allows you to define the actual value in quote/value and the type of measure in the quote/measureType. The FpML defined measureTypes are available at: http://www.fpml.org/coding-scheme/asset-measure-5-5.xml

    Best Regards,
    Marc

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