Forums

FpML Discussion

Forum Replies Created

Viewing 1 post (of 1 total)
  • Author
    Posts
  • in reply to: How to represent CMS spread note/swap type structures #1748
    Admin
    Spectator

    I suspect that the solution is a “floatingRateSpreadCalculation” containing (at least) two floating rate indices with independent multipliers. This would be a member of the rateCalculation substitution group, enabling it to be used in place of floatingRateCalculation.

Viewing 1 post (of 1 total)