Knock (In and Out)

[mshahid]

Hi, I’m working on the Confirm generation and couldnt figure out how to map the following Knock Event fields with FpML. The product type is Equity – Cash Settled Index Option. I have pasted at the end of this message the ISDA description of each of the following data elements. 1) Knock-in Event 2) Knock-in Price 3) Knock-in Reference Security 4) Knock-in Determination Day(s) 5) Knock-in Valuation Time Note: FpML Elements available for Knock (In or Out). knock knockIn schedule elements /schedule trigger elements /trigger featurePayment elements /featurePayment /knockIn /knock The Description of the above data elements is below from ISDA document. 1) Knock-in Event This field should be populated as “Applicable” if knock-in event is applicable. If Knock-in Event is applicable, specify the event or occurrence that will trigger the Knock-in Event. The parties must also specify what exercise, payment or delivery rights or obligations are conditional upon the occurrence of a Knock-in Event. 2) Knock-in Price The price, level or amount has been reached with respect to the knock-in event 3) Knock-in Reference Security Index, share, other security or basket associated with the knock-in. If knock-in and no reference security is specified, then Reference Security is deemed the same as the Index. 4) Knock-in Determination Day(s) Trading days / period associated for the knock-in event. If knock-in and determination days not specified, then Determination Days include period from Trade Date to Final Valuation Date. Example: 1st of each month. 5) Knock-in Valuation Time The time on any knock-in determination days for which the index, share, other security or based is to be valued. If knock-in and no valuation time is specified, then valuation time is the actual exchange closing time. Example: 12:00:00 AM.

[iyermakova]

Take a look at the Knock – TriggerEvent type in the fpml-option-shared sub-schema. Also – Select “19 – SCHEMA AND EXAMPLES” in this link http://www.fpml.org/spec/fpml-4-6-3-wd-3/html/index.html – Download “Schema and Example files” zip file. – Find xml/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml which illustrates Knock-In-Knock-Out Features. Let me know if you have more questions. Kind Regards, Irina Yermakova

[mshahid]

Thanks Irina for the response. I should have specified in my post the FpML version I’m using… that is 4.5 (recommended). In v4.5, I can see the type TriggerEvent is there, that has multiple schedules, triggerDate, trigger, and featurePayment. But I’m unable to map the following data elements from ISDA with FpML. – Knock-in Price – Knock-in Reference Security – Knock-in Determination Day(s) – Knock-in Valuation Time Even the example of v4.6 you mentioned does not contain the above elements. FYI; for 4.5, I was looking at the example eqd-ex07-barrier-knockout-rebate-long-form.xml for knock-out. So, I would appreciate if you could please guide me to identify the above elements.

[iyermakova]

– Knock-in Price //”trigger/level” or “trigger/levelPercentage” – Knock-in Reference Security //defaulted to equity “underlyer” – Knock-in Determination Day(s) // “schedule” and/or “triggerDates” components. – Knock-in Valuation Time // “triggerTimeType” Regards, Irina Yermakova

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