FpML Issues Tracker
Interest Rate Derivatives
The StubValue structure uses two complete 'FloatingRate' structures define the rate when an interpolated rate is being used. A simpler model like that used in the FRA product where a single floating rate index and upto two index tenors would be better. The structure should be extended with the optional multipler, spread and cap/floor features found in FloatingRate to allow the interpolated rate to be adjusted to its final value.
07/01/20 11:42 am
Agreement to fix this in version 6.0.
Leave an update
You must be logged in to post an update.