FpML Issues Tracker

1319: Cashflow for IRS Fixed/Float with set to ‘false’

August 1, 2023

closed

Tweak

Always

Interest Rate Derivatives

XAPWG

Iuliia

None

Summary

Hello,

could you please clarify how the cashflow for IRS fixed/float instrument will look like when <cashflowsMatchParameters>is set to ‘false’. Do I correctly understand that in this case the <paymentCalculationPeriod> section would be available in cashflow and will contain <unadjustedPaymentDate> instead of <adjustedPaymentDate>?

Could you please provide some examples for IRS fixed/float instrument with cashflow which contains <cashflowsMatchParameters> set to ‘false’.

Notes:

  • JasonPolis

    08/17/23 9:58 am

    XAPWG 2023-08-17:

    When cashflowsMatchParameters is set to ‘false’, you can’t rely on the parameters and must use the cashflows, which could include both adjusted and unadjusted payment dates.

    If a business centre holiday change affects the payment dates, you could send an updated trade with updated adjusted payment dates.

  • jbaserba

    03/18/24 7:58 am

    Request for information solved. Marked as closed.

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