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Fixed Income
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Re: Expressing discount rate in FIX 4.4
John Harris / BondMart Technologies, Inc. <>
6 Feb 2007 4:39PM ETThank 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
John Harris / BondMart Technologies, Inc. 6 Feb 2007 4:39PM ET
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