RE: FpML-IRD Bermuda Exercise Dates

[harry.w.mcallister@xxxxxxxxxxxx]

Guy,

Thanks for this - yes, you understand
the question correctly (i.e. is it valid to specify scheduleBounds to identify
the first/last exercise dates, irrespective of whether it is used to restrict
the reference date series). 

The query arose in the context of bermuda
early termination provisions, where ISDA standard practise is to reference
the exercise dates to the cash settlement payment date series - some message
recipients might find it useful to have the final exercise date (in particular)
specified explicitly.

Best regards,
Harry

"Guy Gurden" <guy.gurden@xxxxxxxxxxxxx>
Sent by: irdwg@xxxxxxxx

16/02/2007 19:42

Please respond to
irdwg@xxxxxxxx

To	<irdwg@xxxxxxxx>
cc
Subject	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

 
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