FpML Issues Tracker
Interest Rate Derivatives
Attached is a proposal to bring the FpML FRA model into line with the ISDA 2006 Definitions.
02/06/20 1:07 pm
- We need to check with Harry on the FRA proposal since the attachments are not accessible anymore.
10/26/20 7:55 am
- It doesn’t make sense for a Forward Rate Agreement to support a Spread.
- Usually FRAs are six or nine month contracts so there is no need to specify the termination date as an unadjusted date.
- The group didn’t see a need to have Non Deliverable Settlement in FRAs.
- Make fra/
calculationPeriodNumberOfDays optional – the group never understood why this element was required originally.
- Check with Guy Gurden whether Markit sees any Early Termination Clause in FRAs.
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