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I’m struggling to fit FX Linked Deposits into FpML. Definition of instrument – A deposit (typically in USD) where the Deposit Amount is notionally converted into another Currency at a pre-agreed spot rate. This Amount then accrues interest at a floating rate. At maturity the Notional Amount + Accrued Interest is converted back to the Deposit Currency at the prevailing spot rate. This fits into an FX Swap + Term Deposit….. but Term Deposits are fixed rate only. Any advice? Thanks
You’d probably need to extend FpML to create this product. As you say, the Term Deposits are fixed rate only. A bit “radical” alternative would be to use the swap product with a single swapStream to represent the deposit part with floating interest rate. It’s probably cleaner to create an extension and create the product as needed.
