IRS - Interest Rate Swap

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Imported from previous forum

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Hi there,

Does any body know if IRS(interes rate swap)can be used with FIX 4.4?

I have seen IRS at tag 167 in FIX 5.0 but I´m not sure about FIX 4.4

Thanks

3

Hi there,

Does any body know if IRS(interes rate swap)can be used with FIX 4.4?

I have seen IRS at tag 167 in FIX 5.0 but I´m not sure about FIX 4.4

Thanks

IRS value has been documented since FIX 5.0 SP1. But if you look at the tag 167 description:

“Example values (grouped by Product field value) (Note: additional values may be used by mutual agreement of the counterparties)”

So I guess you can use IRS value in FIX 4.4 even if this value is not documented…

4

[ original email was from Joseph Horowitz - jhorowitz@aegisoft.com ]
> Hi there,

Does any body know if IRS(interes rate swap)can be used with FIX 4.4?

I have seen IRS at tag 167 in FIX 5.0 but I´m not sure about FIX 4.4

Thanks

We use FIX 4.4 to trade IR Swaps, it works well.

5

I do not think you need to use many user-defined tags for IRS. Please have a look at Extension Pack 161 (http://www.fixtradingcommunity.org/pg/extensions/extension-pack?ExtensionID=EP161) which added support for IRS in February 2013. Have a look at the latest FIXimate (http://www.fixtradingcommunity.org/pg/resources/fiximate) to see the new fields and valid values online.

The FIX policy is to use tags and valid values from higher versions as part of FIX 4.2 or FIX 4.4 if you cannot use FIX 5 natively.

Regards,
Hanno.

6

Hello,

 

I need to design a execution report for vanilla IRS - Can some one give any leads/examples how to do? Do i have to use lot of custome tags as it seems there are not many standard tags for IRS? Thanks for your reply.