FpML Issues Tracker

533: Explore the feasibility of generalizing the TRS and IRS interest legs.

December 7, 2007

closed

Major

Always

Modeling Task Force

Admin

h_mcallister

Summary

Modeling change recommendation: Explore the feasibility of generalizing the TRS and IRS interest legs.

Notes:

  • iyermakova

    12/07/07 9:17 pm

    Reviewed at Modeling Task Force on 11/30/2007. Assign to Harry McAllister/Pierre Lamy/Shabbir Irfani

  • mgratacos

    07/25/08 3:18 pm

    PL, HM, SI reviewed the TRS and IRD interest leg and the conclusion was that they represent two different products: in IRD dates are unknown. On the other hand, TRS are shorter products and dates are usually known upfront. So two separate structures should be kept.

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