FpML Issues Tracker

900: Digital CapFloor Proposal

December 31, 2008

Normal

assigned

Feature

N/A

Interest Rate Derivatives

philipleach

h_mcallister

Summary

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.

Notes:

  • h_mcallister

    03/09/09 5:42 pm

    Attached Philip’s zip, as sent to the IRD-WG distribution list

  • h_mcallister

    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.

  • mgratacos

    07/02/20 11:05 am

    AWG 2020-07-02

    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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