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Interest Rate Derivatives
5.13 Second Working Draft (Build 2)
XAPWG
Iuliia
None
Summary
Hello,
could you please clarify how the knownAmountSchedule section will be represented for the Cross Currency fixed/floating IR Swap instrument? Do I understand correctly that for such an instrument, the <step> section inside <knownAmountSchedule> should be applied. For example I expect the following representation: <knownAmountSchedule> <initialValue>1000000</initialValue> <step> <stepDate>2023-09-05</stepDate> <stepValue>1500000</stepValue> </step> <currency>EUR</currency> </knownAmountSchedule>
where <initialValue> will be the initial amount and <stepValue> will be the final amount. And where <stepDate> will be equal to the termination date.
If it is possible to provide an example of Cross Currency fixed/floating IR Swap using knownAmountSchedule, I would be grateful.
Thank you in advance.
Regards,
Iuliia
Notes:
h_mcallister
09/11/23 1:00 pm
This scenario would not be a conventional usage of knownAmountSchedule, which is generally reserved for the case of a zero coupon fixed leg with bullet payment at term.
The fixed payout of a Cross Currency Fixed/Float swap is usually represented by the parametric calculation/fixedRateSchedule.