fpml:rateIndex

Identifies a simple underlying asset that is an interest rate index. Used for specifying benchmark assets in the market environment in the pricing and risk model.

Element information

Content

• Sequence [1..1]
  from type fpml:IdentifiedAsset
  fpml:instrumentId [1..*]    Identification of the underlying asset, using public and/or private identifiers.
  fpml:description [0..1]    Long name of the underlying asset.
  from type fpml:UnderlyingAsset
  fpml:currency [0..1]    Trading currency of the underlyer when transacted as a cash instrument.
  fpml:exchangeId [0..1]    Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term "Exchange" is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
  fpml:clearanceSystem [0..1]    Identification of the clearance system associated with the transaction exchange.
  fpml:definition [0..1]    An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.
  1. fpml:floatingRateIndex [1..1]    
  2. fpml:term [1..1]    Specifies the term of the simple swap, e.g. 5Y.
  3. fpml:paymentFrequency [0..1]    Specifies the frequency at which the index pays, e.g. 6M.
  4. fpml:dayCountFraction [0..1]    The day count basis for the index.

Attributes

Used in

• Type fpml:InstrumentSet (Element fpml:instrumentSet)

Substitution hierarchy

• fpml:curveInstrument
  • can be substituted with fpml:rateIndex

Sample instance

<fpml:rateIndex>
   <fpml:instrumentId instrumentIdScheme="http://www.example.com/">normalizedString</fpml:instrumentId>
   <fpml:description>string</fpml:description>
   <fpml:currency>normalizedString</fpml:currency>
   <fpml:exchangeId>normalizedString</fpml:exchangeId>
   <fpml:clearanceSystem>normalizedString</fpml:clearanceSystem>
   <fpml:definition href="IDREF"/>
   <fpml:floatingRateIndex>normalizedString</fpml:floatingRateIndex>
   <fpml:term>
      <fpml:periodMultiplier>1</fpml:periodMultiplier>
      <fpml:period>D</fpml:period>
   </fpml:term>
   <fpml:paymentFrequency>
      <fpml:periodMultiplier>1</fpml:periodMultiplier>
      <fpml:period>D</fpml:period>
   </fpml:paymentFrequency>
   <fpml:dayCountFraction>normalizedString</fpml:dayCountFraction>
</fpml:rateIndex>