|
Fixed Income
< Previous Next >
Re: Expressing discount rate in FIX 4.4
Andrew McDaniel / Transacttools, Inc <>
6 Feb 2007 4:25PM ETJohn,
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 4:25PM ET
|
