Forums

FpML Discussion

Forum Replies Created

Viewing 2 posts - 1 through 2 (of 2 total)
  • Author
    Posts
  • in reply to: Strategy in FpML #2271
    boryann
    Spectator

    I assume swaption straddles are to be represented with populating a specific element available in swaptions structure: ../FpML/trade/swaption/swaptionStraddle and for capFloors by specifying capRateIndex and floorRateIndex on the same trade

    boryann
    Spectator

    I just faced the same issue while trying to model the details which are agreed during the confirmation process of a swaption trade. The problem is not with the notice date, but number of days for a notice gap. Since there are multiple dates when a holder can exercise swaption, thereis usually a notice gap agreed between parties upfront when a holder should notify the seller of the intention to exercise on one of the specified dates. This is a part of an agreement between two parties, so I assume should be a part of a confirmation process as well. The bermudan optional termination provision has the similar element in the fpml which is Notice Gap (how many days before the event one party should notify another of the intention to terminate a deal). I think it should be an optional element in confirmation process of bermudan style swaptions.

Viewing 2 posts - 1 through 2 (of 2 total)