FpML Issues Tracker
assigned
Crash
Always
Equity Derivatives
FpML 6 (Build 1)
none
Admin
apparry
Summary
The exercise structure needs factoring:
Exercise
EquityEuropeanExercise expirationDate equityExpirationTimeType equityExpirationTime
AmericanExercise commencementDate expirationDate relevantUnderlyingDate earliestExerciseTime latestExerciseTime expirationTime multipleExercise exerciseFeeSchedule
BermudaExercise bermudaExerciseDates relevantUnderlyingDate earliestExerciseTime latestExerciseTime multipleExercise exerciseFeeSchedule
EuropeanExercise expirationDate relevantUnderlyingDate earliestExerciseTime expirationTime partialExercise exerciseFee
SharedAmericanExercise commencementDate expirationDate latestExerciseTime
The changes required: 1. Standardize on the use of date or time for dateTime fields. 2. Factor latestExpirationTime and lastExerciseTime into Exercise supertype
Notes:
apparry
03/07/07 11:59 am
JPM supports this ( AJ, AP, MR, HMcA )
matthew
04/04/07 12:17 pm
Andrew – please progress.
apparry
03/10/08 9:06 am
Proposal adopted by consensus at FpML EQD WG Meeting 1400 LDN Fri 07 March 2008 as per branch FpML-5-0-EQD-1 at rev. 3397
Please see also attached proposal document, but note that element automaticExercise is now optional, as this is specified in MCA
MTF should study moving content into Exercise abstract base class
BrianLynn
05/30/08 5:17 pm
MTF recommends:
– EQD exercise types should derive from the general shared types (e.g. EquityAmericanExercise from AmericanExercise)
– If EQD requires changes to the base types to be able to do this, that group should recommend the specific changes that are required.
mgratacos
06/12/20 5:50 am
AWG 2020-06-04