FpML Discussion

General FpML Discussion Proposals & Extensions Bermudan Swaptions: Exercise Notice Gap

This topic contains 2 replies, has 3 voices, and was last updated by  Lucas21 2 months, 1 week ago.

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    Since there are multiple dates when a holder can exercise bermudan swaption, there can be a notice gap agreed between parties upfront to let the seller get prepared for entering a swap/paying cash, the number of days before the exercise date when a holder should notify the seller of the intention to exercise. This might be a part of an agreement between two parties on a swaption exercise, so I assume should be an optional element/structure of a confirmation process for Bermudan swaptions, similar as already exists for a Bermudan early termination provision fpml structure. There’s an existing element exerciseNotice in the swaption product structure but it specifies only the party which should notify of the exercise and businessCenters of the notice, but not the number of days (gap), so it will also be more clear what the holiday calendars should be applied to.



    Thanks for this useful info.



    Great information, thanks for sharing it
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