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Re: FpML-EQD Change Equity Option field from Integer to decimal
Hi Andrew,
The Multiplier refers to the percentage or amount specified on a
confirmation, which allows parties to adjust the Rate of Return.
This field is used in the ISDA 2005 AEJ MCA where one is the default, but
the MCA allows the value to be modified in the transaction supplement.
Currently, FpML only allows whole numbers, and firms need the ability to
specify ".5" for 50% or ".75" for 75% .
Also, do you know why this field, a multiplier, was limited to only whole
numbers?
Regards,
Robert
andrew.p.parry@jp
mchase.com
Sent by: To
eqdwg@xxxxxxxx eqdwg@xxxxxxxx
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10/03/2007 03:27 Subject
AM Re: FpML-EQD Change Equity Option
field from Integer to decimal
Please respond to
eqdwg@xxxxxxxx
Robert
What is the business justification for this change ?
Regards
Andrew Parry
+44 20 7325 1486
Exotics and Hybrids Architecture
JP Morgan
Robert Masri <rmasri@xxxxxxxx>
Sent by: eqdwg@xxxxxxxx
02/10/2007 22:17
Please respond to
eqdwg@xxxxxxxx
To
eqdwg@xxxxxxxx
cc
Subject
FpML-EQD Change Equity Option field from Integer to decimal
We have received requests from dealers to allow the Index Option
multiplier
to support decimals.
In the fpml-eqd-4-3.xsd scheme, the
EquityOptionTransactionSupplemen.multiplier element should have its type
changed from "xsd:positiveInteger" to "xsd:decimal".
The change has been bolded below:
<xsd:complexType name="EquityOptionTransactionSupplement">
<xsd:annotation>
<xsd:documentation xml:lang="en">A type for defining equity option
transaction supplements</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="EquityDerivativeShortFormBase">
<xsd:sequence>
<xsd:element name="exchangeLookAlike" type="xsd:boolean"
minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">For a share option
transaction, a flag used to indicate whether the transaction is to be
treated as an 'exchange look-alike'. This designation has significance for
how share adjustments (arising from corporate actions) will be determined
for the transaction. For an 'exchange look-alike' transaction the relevant
share adjustments will follow that for a corresponding designated contract
listed on the related exchange (referred to as Options Exchange Adjustment
(ISDA defined term), otherwise the share adjustments will be determined by
the calculation agent (referred to as Calculation Agent Adjustment (ISDA
defined term)).</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="exchangeTradedContractNearest"
type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">For an index option
transaction, a flag used in conjuction with Futures Price Valuation (ISDA
defined term) to indicate whether the Nearest Index Contract provision is
applicable. The Nearest Index Contract provision is a rule for determining
the Exchange-traded Contract (ISDA defined term) without having to
explicitly state the actual contract, delivery month and exchange on which
it is traded.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="multipleExchangeIndexAnnexFallback"
type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">For an index option
transaction, a flag to indicate whether a relevant Multiple Exchange Index
Annex is applicable to the transaction. This annex defines additional
provisions which are applicable where an index is comprised of component
securities that are traded on multiple exchanges.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="methodOfAdjustment"
type="MethodOfAdjustmentEnum" minOccurs="0" />
<xsd:element name="localJurisdiction" type="Country"
minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">Local Jurisdiction is a
term
used in the AEJ Master Confirmation, which is used to determine local
taxes, which shall mean taxes, duties, and similar charges imposed by the
taxing authority of the Local Jurisdiction If this element is not present
Local Jurisdiction is Not Applicable.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice minOccurs="0">
<xsd:element name="optionEntitlement" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">The number of shares per
option comprised in the option transaction supplement.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="multiplier" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">Specifies the contract
multiplier that can be associated with an index
option.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
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