FpML Issues Tracker
Interest Rate Derivatives
Attached is a proposal for changes to support digital Caps and Floors.
Included in the zip file are :
- Proposal Document - Amended schema (fpml-ird-4-5.xsd). - Example instance document.
03/09/09 5:42 pm
Attached Philip’s zip, as sent to the IRD-WG distribution list
03/18/09 12:34 pm
Please see attached alternative proposal on digital cap/floors (DigitalCapFloor.BNPParibas.zip). The zip contains:
– proposal document
– schema materials (directory xml)
– examples (xml/interest-rate-derivatives)
The new schema components are all contained in the file fpml-digitalRateCalculation-4-5.xsd, imported by fpml-ird-4-5.xsd. To view the schema changes in context, please see fpml-ird-4-5.xsd, complex types Calculation & Cashflows.
07/02/20 11:05 am
The focus of the FpML Cross Asset WG is the 2020 Interest Rate Definitions but after that Digital Cap Floors are the next item to be discussed within the group.
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