FpML Issues Tracker
Interest Rate Derivatives
5.13 Second Working Draft (Build 2)
Could you please clarify is the <knownAmountSchedule> section from fpml-ird-5-12 only applicable for Zero Coupon transactions with payment frequency 1T? Or it can be presented for all types of transactions?
08/31/23 10:48 am
Yes. Only for Zero Coupons at 1T.
09/01/23 6:21 am
Expanding on this: knownAmountSchedule is potentially useable for any swapStream with deterministic interest payments (i.e. fixed leg). By convention, it is only used in the case of zero-coupon swaps with a contractual bullet payment on the fixed leg.
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