RE: FpML-IRD Bermuda Exercise Dates

Harry,

The spec states “Where a relative series of dates are defined the first and last possible exercise dates can be separately specified”, i.e. for example if you were referencing say the floating rate payment dates then using the scheduleBonds unadjustedFirstDate and unadjustedLastDate you could specify the first possible exercise date and the last possible exercise date (the expiration date). I can see the point being made. A literal reading of the spec means you would only use scheduleBounds where every floating rate payment date wasn’t also an exercise date. If I understand the question correctly they are asking whether it’s valid to always specify scheduleBounds and use it as a more explicit way of specifying the first/last exercise date irrespective of whether or not the referenced date series is being further restricted by so doing.

Since there are no implementable validation rules that would prevent somebody doing this and given the semantics still remain valid I don’t see any harm in it.

Guy

From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On Behalf Of harry.w.mcallister@xxxxxxxxxxxx
Sent: Friday, February 16, 2007 2:27 PM
To: irdwg@xxxxxxxx
Cc: farzad.x.moshfeghi@xxxxxxxxxxxx; mgratacos@xxxxxxxx
Subject: FpML-IRD Bermuda Exercise Dates

We have a query on the documentation of the bermudaExercise component:

The annotation to bermudaExerciseDates states:

The dates the (sic) define the Bermuda option exercise dates and the expiration date. The last specified date is assumed to be the expiration date. The dates can either be specified as a series of explicit dates and associated adjustments or as a series of dates defined relative to another schedule of dates, for example, the calculation period start dates. Where a relative series of dates are defined the first and last possible exercise dates can be separately specified

In the relativeDates representation, it is optionally possible to specify the first and last dates of the schedule by producing the scheduleBounds component (type DateRange). Presumably this is what the annotation to bermudaExerciseDates means by the statement that "... the first and last possible exercise dates can be separately specified".

The annotation to scheduleBounds states "This can be used to restrict the range of values in a reference series of dates" - but when we use scheduleBounds with bermudaExerciseDates it is not to restrict the range of values in the reference schedule, but rather to identify the endpoints.

Is this a problem? - I guess it depends on how narrowly we interpret the word "can" e.g. scheduleBounds *can* be used to restrict the reference date series - but does not have to do so.

Is this a valid reading of the standard? - I'd be grateful if members of the group can offer any insights.

Best regards,
Harry