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FpML IRS Reverse
Engineering
June 2004
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Slide 1
Business Elements (I)
1. InterestRateSwapTrade
(from DICO_BusinessComponents)
2. TradeDate : ISODate
3. TradeIdentification : IdentificationData
4. FloatingInterestRateLeg
5. FixedInterestRateLeg
15. FloatingInterestRateSpecification
(from BusinessComponentsForDICO)
16. IndexTenor : RepetitionInterval
17. FloatingRateIndex : ISDAFloatingRateIndex
18. SpreadSchedule : RateStep
19. InitialRate : BaseOneRate
20. NegativeInterestRateTreatment : NegativeInterestRateCode
21. Receiver
22. Payer
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11. Party
(from DICO_BusinessComponents)
12. Address[1..n] : PostalAddress
13. Name : Max350Text
14. ResidenceCountry : CountryCode
6. FixedInterestRateSpecification
(from BusinessComponentsForDICO)
7. Rate : BaseOneRate
8. FixedRateSchedule : RateStep
9. Receiver
10. Payer
Slide 2
Structure of Trade
FpML
ISO
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Slide 3
Comparison between PaymentDates
FpML
ISO
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Slide 4