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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 5:29PM ETThank you, sir.
> I 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
John Harris / BondMart Technologies, Inc. 6 Feb 2007 5:29PM ET
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