FloatingRateDefinition

A type defining parameters associated with a floating rate reset. This type forms part of the cashflows representation of a stream.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
calculatedRate	xsd:decimal	The final calculated rate for a calculation period after any required averaging of rates. A calculated rate of 5% would be represented as 0.05.	Calculated rate.		0-1, mfr
rateObservation	RateObservation	The details of a particular rate observation, including the fixing date and observed rate. A list of rate observation elements may be ordered in the document by ascending adjusted fixing date. An FpML document containing an unordered list of rate observations is still regarded as a conformant document.	Rate observation.		0-∞, mfr
floatingRateMultiplier	xsd:decimal	A rate multiplier to apply to the floating rate. The multiplier can be a positive or negative decimal. This element should only be included if the multiplier is not equal to 1 (one).	Floating rate multiplier.		0-1, mfr
spread	xsd:decimal	The ISDA Spread, if any, which applies for the calculation period. The spread is a per annum rate, expressed as a decimal. For purposes of determining a calculation period amount, if positive the spread will be added to the floating rate and if negative the spread will be subtracted from the floating rate. A positive 10 basis point (0.1%) spread would be represented as 0.001.	Spread.		0-1, mfr
capRate	Strike				0-∞
floorRate	Strike	The floor rate, if any, which applies to the floating rate for the calculation period. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. The floor rate of 5% would be represented as 0.05.	Floor rate.	Floor rate.	0-∞, mfr

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FloatingRateDefinition

calculatedRate(decimal)

	The final calculated rate for a calculation period after any required averaging of rates. A calculated rate of 5% would be represented as 0.05.

rateObservation(RateObservation)

	The details of a particular rate observation, including the fixing date and observed rate. A list of rate observation elements may be ordered in the document by ascending adjusted fixing date. An FpML document containing an unordered list of rate observations is still regarded as a conformant document.

resetDate(date)

	The reset date.

adjustedFixingDate(date)

	The adjusted fixing date, i.e. the actual date the rate is observed. The date should already be adjusted for any applicable business day convention.

observedRate(decimal)

	The actual observed rate before any required rate treatment is applied, e.g. before converting a rate quoted on a discount basis to an equivalent yield. An observed rate of 5% would be represented as 0.05.

treatedRate(decimal)

	The observed rate after any required rate treatment is applied. A treated rate of 5% would be represented as 0.05.

observationWeight(positiveInteger)

	The number of days weighting to be associated with the rate observation, i.e. the number of days such rate is in effect. This is applicable in the case of a weighted average method of calculation where more than one reset date is established for a single calculation period.

rateReference(RateReference)

	A pointer style reference to a floating rate component defined as part of a stub calculation period amount component. It is only required when it is necessary to distinguish two rate observations for the same fixing date which could occur when linear interpolation of two different rates occurs for a stub calculation period.

floatingRateMultiplier(decimal)

	A rate multiplier to apply to the floating rate. The multiplier can be a positive or negative decimal. This element should only be included if the multiplier is not equal to 1 (one).

spread(decimal)

	The ISDA Spread, if any, which applies for the calculation period. The spread is a per annum rate, expressed as a decimal. For purposes of determining a calculation period amount, if positive the spread will be added to the floating rate and if negative the spread will be subtracted from the floating rate. A positive 10 basis point (0.1%) spread would be represented as 0.001.

capRate(Strike)

strikeRate(decimal)

	The rate for a cap or floor.
	Cap rate; Floor rate.

buyer(IdentifiedPayerReceiver)

	The party that is the buyer of the option.

seller(IdentifiedPayerReceiver)

	The party that has sold the option.

floorRate(Strike)

	The floor rate, if any, which applies to the floating rate for the calculation period. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. The floor rate of 5% would be represented as 0.05.
	Floor rate.

strikeRate(decimal)

	The rate for a cap or floor.
	Cap rate; Floor rate.

buyer(IdentifiedPayerReceiver)

	The party that is the buyer of the option.

seller(IdentifiedPayerReceiver)

	The party that has sold the option.