Jim, The formula component was introduced in FpML 4.2 as part of the work to support Inflation swaps. There is no convention on the use of the formula component with interest rate products – that is to say, it has no designated role (although it is possible that one could be devised in future). This needs to be documented more clearly in the schema – I was looking at this recently, so it’s already on my to-do list. In your example, the structure is represented using the floatingRateMultiplierSchedule (optional child of FloatingRate), which permits a series of multiplier values to be defined over the term of the swap (compare the use of notionalStepSchedule, spreadSchedule etc.). In your case the multiplier is constant over the term, so it is only necessary to specify floatingRateMultiplierSchedule/initialValue. The resulting structure looks something like: USD-LIBOR-BBA 1 M 0.7 – note that (as elsewhere in FpML) the percentage is expressed as a real number i.e. 70% = 0.7 Best regards, Harry
