Conventions for swap rates in floatingRateIndex tag

[Anonymous]

Hi, How the swap rate (USD 1y swap) can represented in floatingRateIndex? The way to represent float rates is USD-LIBOR-BBA. Is there any such standard for swap rates respresentation/ Regards/Vijay

[stanetra1]

Vijay, Are you asking how to represent the tenor of the index??? USD-LIBOR-BBA 1 Y or if the question different? Note that floatingRateIndex is also a coding scheme. Unlike payment type, FpML provides a default coding scheme. Stan Etra Head of Product Development Risk Focus Work: +1 917 725 6004 Mobile: +1 917 843 3588 Email: stan.etra@riskfocus.com

[Anonymous]

Hi Stan, Sorry for replying late on this. If say USD/LIBOR/BBA 3m is the underlying rate for any swap leg then we map USD-LIBOR-BBA. So I was wondering about the underlying rate USD/IRS/5Y (dollar 5y swap rate) (CMS swaps). How it will be mapped in in floatingRateIndex field. Is there a list published by ISDA regarding the swap rates? Regards/Vijay

[mgratacos]

You can take a look at: http://fpml.aws.isda.org/spec/coding-scheme/index.html (section 5.71) or http://fpml.aws.isda.org/coding-scheme/floating-rate-index-2-6.xml (xml fortmat) It provides the standard list of floating rate indices. Hope this helps. Marc tradeheader.com

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