I have a query about the representation of fxOptionPremium /premiumQuote. The element is documented as “for information only”, so is not critical for confirmation purposes, but it raises a problem of interpretation which I’d like to resolve. premiumQuote has two components: premiumValue, a decimal amount, and premiumQuoteBasis, which qualifies the amount. premiumQuoteBasis is an enumerated type with values such as “PercentageOfCallCurrencyAmount”. Throughout FpML, policy is always to represent rates, ratios, multipliers etc. as real number values, so 5% is represented as 0.05. The advantage is that document publisher & consumer never have to worry about scaling values from percentages, basis points etc. However in this case, values of premiumQuoteBasis such as PercentageOf[Call|Put]CurrencyAmount suggest that the premiumValue is actually quoted as a percentage (so 1 means 1%, equivalent to a multiplier of 0.01). The instances of premiumQuote found in the fx samples (fx-ex09, ex10, ex13, ex22, ex23) have all been produced with premiumValue as per the FpML convention (0.01 meaning 1%) – but this reads rather unnaturally. As the schema stands, it is difficult to insist that a document producer should observe the FpML convention, when the resulting message is less intuitive than writing premiumValue as the equivalent percentage amount. The question I’d put to the forum is: should we insist that premiumValue is produced as per FpML convention for percentage amounts, even if this results in an unnatural or ambiguous representation? Or can we accept documents where the producer has opted for the “intuitive” approach?
