Fx Digital Option – discrete vs. continuous

[jamesgriffin]

Hello there – I wonder if anyone can advise on this… I’d like to detail whether the American version of Fx Digital Option is discrete/continuous. i.e. whether fx spot rate can be referenced at any time against the barrier (continuous) or only at a particular time each day (discrete) There doesn’t seem to be a place in the Fx Digital Option schema to indicate this… Thanks in advance for any illumination you can bring. All the best James

[mgratacos]

When we developed support for various exotic options in 2001 (like digitals), we didnt specifically differentiate between discrete and continuous options. What we did was supply a start and end date (observationStartDate and observationEndDate within fxAmericanTrigger), and then based upon the information source, this would determine whether the frequency of observation, during a day. That being said, it might be appropriate to specifically designate a discrete or continuous observation period within FpML, to more clearly describe this condition. Rick Schumacher (ex-chair of the FpML FX Working Group)

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