First Accrual Date for BondOption

[otetiura]

Hi,
Could you please advise what the appropriate placeholder for bond related dates (e.g. issue date, first accrual date) at bondOption structure of fpml?
I’ve found ‘relevantUnderlyingDate’ within appropriate exercise section (americanExercise, bermudaExercise, europeanExercide), which may fit. But I’m worrying if it’s right place and how to define date type.
I will be very grateful for any assistance.

[h_mcallister]

Hi, these properties (issue date, first accrual date) sound like reference data relating to the bond, rather than contractual properties of the option as such – so probably should be modelled as properties of the bond underlyer. The Bond type in FpML does contain a number of optional reference data items (e.g. issuerName, seniority, couponType, couponRate …), however the dates you mention are not currently supported.

You are welcome to propose these Bond properties for addition to the Standard, but that may not help with your immediate requirement. Are you able to add these as local extensions to the Bond type e.g. in a private extension namespace?

I don’t recommend re-using existing elements e.g. relevantUnderlyingDate, other than for their intended purpose.

Best regards,
Harry

• This reply was modified 8 years, 1 month ago by h_mcallister.
• This reply was modified 8 years, 1 month ago by h_mcallister.

[Author]

Posts