FpML Issues Tracker
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FX
edguy
milasx
Summary
I am trying to represent a callable forward (otherwise know as an Option Forward, Flexi-Forward, Time Option) in FpML which is essentially a forward with up to a 3 month window when the trade can mature. Within that window Take Up trades can be booked to take up any of the remaining notional amount of the parent callable forward.
All details of the trade can be represented in FpML using the fxSingleLeg element apart from the start date of the callable period. Any ideas where I can record the start date of the callable period?
Many thanks
Ed
Notes:
h_mcallister
08/28/12 6:14 pm
Hi Ed,
We have developed a FpML-style model for Fx Flexi-Term Forwards, for our internal use at BNP Paribas.
Although the product is an outright, it has some option-like features which are optimally expressed using fx option components – so the model contains some significant points of departure from the standard FxSingleLeg.
If there is an appetite for including this type of product in the FpML Standard, then I’d be happy to present our model as a proposal to the FXWG.
Best regards,
Harry
milasx
08/31/12 9:56 am
I think that it would be a good idea and potentially we can add to 5.4
edguy
09/04/12 11:18 am
Hi Harry,
Sounds interesting and that you’re a little further along than us at HSBC. Presenting to the FXWG would be a good idea. Prior to this would you mind sharing your proposal with myself? We have had a quick look at representing the parent trade as fxSingleLeg but as I stated struggled when we came to the start date of the callable period. This has been a brief look though and are about to look at this in more detail and open to different suggestions! We believe that on processing take ups we use the termination element to record the change in notional of the original trade and report this to the DTCC. The take up will also be represented internally as an optionExercise, but not sent to the DTCC. It would be interesting therefore to see your take. Have you also thought about having a new taxonomy for this type of trade? I.e. from ISDA?
edguy
09/06/12 10:06 am
My email is ed.guy@hsbcgroup.com.
iyermakova
07/11/18 3:58 pm
This issue is closed. Resolution is provided.
FpML added a flexible term FX forward product definition in in version 5.4.
fxFlexibleForward – “Product model for a flexible-term fx forward (also known as callable forward, window forward). This is a term forward transaction over a specific period, allowing the client full flexibility on the timing of the transactional flow(s). The product allows for (full or partial) execution at a predetermined forward rate, at any time between the start date and the expiry date. Although, the product is an outright, it has some option-like characteristics, leading to the use of option components in the model: (i) the BuyerSeller model expresses the roles of the parties in the overall transaction – the client “buys” the product (ii) the PutCallCurrency model expresses the buyer’s perspective on the exchanged currencies i.e. the client may buy (call) or sell (put) the notional currency for the alternative currency.”