Fixed Interest Rate Leg

From Open Risk Manual


Fixed Interest Rate Leg. A swap stream that specifies fixed interest amounts and terms for the payment of that interest


  • Fixed Interest Rate Swap Stream

Issues and Challenges

This may be the funding leg of some swaps (i.e. one party agrees to pay fixed interest amounts in exchange for whatever is the other leg) or it may be one or both sides of an Interest Rate Swap, where the two parties exchange different interest streams. Note that the FpML term on which this Swapstream term was based, is the one for asset return swaps, where this is the payment leg. This is the leg which has interest amounts, interest calculations and calculation dates, and optional stub calculation terms. It should be possible to relate this to the specific interest payments of an underlier if there is one.


This entry annotates a FIBO Ontology Class. FIBO is a trademark and the FIBO Ontology is copyright of the EDM Council, released under the MIT Open Source License. There is no guarantee that the content of this page will remain aligned with, or correctly interprets, the concepts covered by the FIBO ontology.