FpML Issues Tracker
Normal
new
Feature
N/A
Interest Rate Derivatives
JasonPolis
None
Summary
XAPWG Thread
[FpML-XAPWG] CMS representation (mockup for discussion) – FpML
RE: [FpML-XAPWG] CMS representation (mockup for discussion) – FpML
- Waiting for Harry’s feedback. Thinks reset is being confused with the fixing date. Reset date is usually calculation period end date. Usually the fixing is determined a few days before the calculation period end date. Usually using parameters NY -2D prior to reset date. Thinks it can be done today.