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Fixed Income
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Re: Expressing discount rate in FIX 4.4
Andrew McDaniel / Transacttools, Inc <>
6 Feb 2007 4:55PM ETYou're right. I just pulled it up and read "Discount" price to mean rate, but that's not the actual words in the spec. It does seem to be an oversight considering it's such a common way to quote fixed income products.
Without using non-standard values, I would agree that calculating the percentage discount or dollar price would probably be best. I'll send a ping to my colleagues and see if they've ever encountered a similar situation.
> 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
Andrew McDaniel / Transacttools, Inc 6 Feb 2007 4:55PM ET
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