FpML-IRD Re: Use of Formula?

["Marc Gratacos" <mgratacos@xxxxxxxxx>]

Hi Jim,

Sorry I was on vacation. I'll forward your question to the ird working group. The only examples I've seen using the formula component are in equity swaps.

  <amount>
               <paymentCurrency href=""
               <formula>
                  <formulaDescription>Final Price * Number of Shares</formulaDescription>
                  <math>
                     <mi>valuationPriceFinal</mi>
                     <mo>*</mo>
                     <mi>openUnits</mi>
                  </math>
               </formula>
               <cashSettlement>true</cashSettlement>
            </amount>

I know the formula component was added for inflation swaps but I haven't seen any example. I guess it could be used for interest rate swaps as well.

Best regards,
Marc

On 8/28/07, Jim Brous <jbrous@xxxxxxxxxxxxxxxxxx > wrote:

Hello Marc,

Perhaps you could direct me to the someone on the IR Derivatives working
group for guidance.

I am looking for examples that use the Formula complex type in a swapStream,
and suggestions on best practice for using Formula.

In the particular trade example that I am trying to represent in FpML, the
floating rate is specified at 70.00 % x 1-Month USD-LIBOR-BBA.

Thank you and best regards,
Jim

Jim Brous
Managing Partner
Metro Solutions LLC
917.593.4195
jbrous@xxxxxxxxxxxxxxxxxx

www.metrosolutions.com

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