Hello, Could you please clarify the question of a content of cashflow for cross-currency fixed/float swap with mark-to-market condition. We are currently considering Example 26 (2.34 Example 26 – Fixed/Floating IRS Where The Floating Stream Notional Is Reset Based On Prevailing Spot Exchange Rate – Cashflows) where the conditions of the mark-to-market are met, i.e. … Continued
Kathy McFadden of ISDA reports that ANNA DSB request access to Commodity Reference Price (CRP) coding scheme in advance of the scheduled Aug 7th publication of CRP and Agriculture files to industry.
Mei Chen of Barclays asks if there is wider interest in standardising Autocallable and Autocallable OTC equity exotic as a product on their own. ISDA has drafted standard confirmation templates, but has received limited feedback so far. For autocallable (OTC) , though it is not compulsory to have a put in it, put is the … Continued
Hello, Could you please provide with the FpML examples for InterestRate:CrossCurrency:Basis and InterestRate:CrossCurrency:FixedFixed product types? Also, could you please provide with the FpML examples for InterestRate:CrossCurrency:Basis product type with OIS index where reset frequency is equal to 1D? Best regards, Liudmyla
Good evening FpML experts. I have a question about the portfolioName element, which is located in the dataDocument element (swaption instrument schema). XPath://dataDocument/portfolio/partyPortfolioName/portfolioName Plese help me with such questions regarding this element: Can this element be used as the name of the portfolio of the party on whose behalf the trade is being processed in … Continued
Good evening FpML experts. I have a question about the onBehalfOf element, which is located in the dataDocument element (swaption instrument schema). The annotation to the element says the following: Indicates which party (and accounts) a trade is being processed for. Plese help me with such questions regarding this element: 1) Am I correct in … Continued
Hello, Could you please help with the question below: When validating Example 2.50 Example 42 – Daily compounding swap with payment delay that contains <calculationParameters> structure instead <resetDates> structure, via FpML Validator there is the next error: ‘resetDates must be present if and only if a floatingRateCalculation or inflationRateCalculation element is present in calculationPeriodAmount’. This … Continued
Hello, Could you please clarify if the <spreadSchedule> element for the Floating leg can be present when the <calculationParameters> structure is applied? If it can be present, which <compoundingMethod> in such a case is used? According to the validation rule ird-9 the calculationPeriodAmount/calculation/compoundingMethod can only be present if an <resetDates> element is present, therefore it … Continued
Good afternoon FpML experts. I have a question regarding the element productId (swaption schema), xpath: /dataDocument/trade/swaption. 1) Please clarify, what other data can be stored in this <productId> element besides UPI? The annotation to the element says the following: “It can also be used to hold identifiers of benchmark products or product templates … Continued
Good evening dear FpML experts. I have a question regarding the element cashflowsMatchParameters. The abstract says the following: “A true/false flag to indicate whether the cashflows match the parametric definition of the stream, i.e. whether the cashflows could be regenerated from the parameters without loss of information.” Do I understand this element correctly that its … Continued