FpML Issues Tracker

1260: Create a better Zero Coupon Swap example

July 15, 2019

Normal

closed

Tweak

Have not tried

Architecture

mgratacos

mgratacos

Summary

We should create and publish a new Zero Coupon Swap example that makes business sense.

This issue relates to http://www.fpml.org/ticket/1200/

Notes:

  • mgratacos

    10/14/20 1:12 pm

    AWG 2020-10-01

    Action for firms to see whether they have any example we can use to publish it. Raise it to the Standards Committee if needed.

  • mgratacos

    12/21/20 3:44 pm

    We had a call today with Chris (LCH) and Harry (BNP) to discuss the three zero coupon examples provided by Chris.  They are ready to be included in the repository.

  • mgratacos

    12/23/20 1:51 am

    The new examples provided by LCH have been added to the SVN Repository.

    There are two new interest rate zc examples and one new inflation swap zc example.

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