Field UnderlyingPaymentStreamCapRate Scenario base
SYNOPSIS:
The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
Pedigree
| Added |
EP |
Updated |
EP |
Deprecated |
EP |
| FIX.5.0SP2 | 161 | | | | |