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RE: FpML-IRD Re: Digital Cap/Floor
Phil,
I would have thought it would be more appropriate to build
the additional info for the digital payout within the
capFloorStream/calculationPeriodAmount structure itself rather than a bolt on
outside since calculationPeriodAmount for all rates products contains all the
info relating to calculating payment amounts. For example, why not add
additional info into
capFloorStream/calculationPeriodAmount/floatingRateCalculation
structure?
The ExerciseFee type includes explicit payer/receiver
info which isn't appropriate to define for example if you had a straddle
structure rather than an outright cap or floor. Additionally, do you really need
the feePaymentDate structure? Why wouldn't you instead be relying on the the
payment dates defined by capFloorStream/paymentDates?
Guy
All,
I've just raised:
http://www.fpml.org/issues/view.php?id=900
Unfortunately the issue system isn't accepting attachments at the moment
so I've attached it here.
Comments welcome,
Regards,
Phil
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