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Fixed Income
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Re: Expressing discount rate in FIX 4.4
Terry Murtaugh / Charles River Development
6 Feb 2007 4:51PM ETI think both market practice that we have seen and also the FPL fixed income certification standards call for using the 'discount' pricetype for discount instrument trading, possibly not taking a strictly literal interpretation of what 'percentage points below par' might mean.
> Thank you, Andrew - saw that, but none of the valid values is consistent
> with the market's quote convention, which is a discount *rate*, not a
> yield, dollar price, or "points" below par. Since percentage of par can
> be calculated from discount rate, I suppose we could force our members
> to do that and send messages containing the calculation result. If
> anyone has any contrary experience or business practice, I would be
> grateful for any guidance.
>
> > John,
> >
> > This is from the Fiximate reference for Fix 4.4, tag 423 (PriceType):
> >
> > Code to represent the price type. Valid values: 1 = Percentage (e.g.
> > percent of par) (often called "dollar price" for fixed income) 2 = Per
> > unit (i.e. per share or contract) 3 = Fixed Amount (absolute value) 4
> > = Discount – percentage points below par 5 = Premium – percentage
> > points over par 6 = Spread 7 = TED price 8 = TED yield 9 = Yield 10 =
> > Fixed cabinet trade price (primarily for listed futures and options)
> > 11 = Variable cabinet trade price (primarily for listed futures and
> > options) (For Financing transactions PriceType implies the “repo type”
> > – Fixed or Floating – 9 (Yield) or 6 (Spread) respectively - and Price
> > (44) gives the corresponding “repo rate”. See Volume 1: "Glossary" for
> > further value definitions)
> >
> >
> > > For fixed-income securities normally quoted in discount-rate terms
> > > (e.g., U.S. Treasury bills), what PriceType is recommended for use
> > > in a New Order Single message? Thank you.
Re: Expressing discount rate in FIX 4.4
Terry Murtaugh / Charles River Development 6 Feb 2007 4:51PM ET
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