Mid Yield, Bid Yield and Offer Yield at leg level

1

Hi Team,

I am trying to understand what could be the leg level Fix tags on BidYield, MidYield, OfferYield. I see that these are defined at package level but not at leg level in Quote / Quote Response message type under LegQuotGrp component.
The LegBidPx, LegMidPx, LegOfferPx are defined - FixTags - 681, 2346, 684 respectively but the yields are not.

Thank you
Abde

2

Could anybody take a look at this and advise?

3

In the LegQuotGrp there is the LegPriceType field to indicate what kind of price is being expressed int he LegBid/Mid/OfferPx fields. That would allow you to specify for the leg instrument the price associated with the instrument and how that price is expressed. You can specify your yield value for the instrument and set LegPriceType=9 (Yield).