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FpML Discussion

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  • Author
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  • #16575
    pjoseph
    Participant

    Is anyone supporting cross currency partial terminations using FpML. Does your message contain the notional being terminated for both legs of the swap? What version FpML supports this?

    #16589
    mgratacos
    Keymaster

    Hi,

    The termination/sizeChange structure allows to provide two notionals with different currencies. It is available in the latest versions of FpML for sure including 5.9-5.11 but let me check when it was first introduced.

    Kind Regards,
    Marc

    #16590
    pjoseph
    Participant

    Thanks Marc. That’s really helpful. Much appreciated.

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