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iyermakovaSpectator
You are saying that Business date rules are common… Can I ask you what sort of product you are trying to model? Thank you, Irina Yermakova
iyermakovaSpectatorBrowse the interest-rate-derivatives folder; you find many examples there, for instance example – ird-ex01-vanilla-swap.xml No-Business days will be adjusted if you use business day convention “FOLLOWING” or “MODFOLLOWING” for example (take a look at BusinessDayConventionEnum for other options); Note, you would only be checking for a business day in the Business Centers you list.
FOLLOWING USNY GBLO 1 M 10 July 13, 2009 at 11:54 am in reply to: How to represent :: Additional Disruption Events, and etc #1776iyermakovaSpectatorHello, Take a look at the example eqd-ex04-european-call-index-long-form.xml of the specifications (equity-options folder). It illustrates the additional disruption events for Cash Settled Index Option (long form) FpML 4-5 supports all Additional Disruption Events from your list except Maximum Stock Loan Rate and Initial Stock Loan Rate. maximumStockLoanRate and initialStockLoanRate are added in 4-6 LCWD (that is going to be public this week) as an optional elements of type “RestrictedPercentage” within AdditionalDisruptionEvents complex type to support US Share Swaps additional disruption events. Let us know if you have other questions. Regards, Irina Yermakova
iyermakovaSpectatorYou can express some English like values with AveragingSchedule type in 4-5, //First Monday of each month for example
Out 2002-11-11 2003-11-11 1 M 1 MON but not 1-st day of the month. This became possible with addition of averagingPeriodFrequency in 4-6 WD-3.Out 2002-11-11 2003-11-11 1 M //1-st day of the month1
iyermakovaSpectator– 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
iyermakovaSpectatorTake 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
iyermakovaSpectatorThere a many examples for Cash Settled Index Option Transaction in FpML, in long form (equityOption) and short form (equityOptionTransactionSupplement) http://www.fpml.org/spec/fpml-4-6-3-wd-3/html/fpml-4-6-examples-frame.html Take a look at 6-Equity Options Examples. Kind Regards, Irina Yermakova
iyermakovaSpectatorFpML Modeling Task Forces recommendation is to remove all products name prefixes in the elements names across all products in FpML 5-0. The Commodity is a new product, therefore, it should follow the MTF recommendations from the start. The modeling consistency across all products is important to the FpML standards. That was the reason to why the commodityExercise was renamed to exercise. If the name confuses the implementers is one thing, but the element exercise of type CommodityExercise cannot be substituted by any member of global element exercise substitution group as Chris suggests -> the element exercise in the Commodities Schema could be represented by any members of the Substitution Group exercise.
November 30, 2007 at 12:48 pm in reply to: mapping pricing structures in Market to use with specific products #1654iyermakovaSpectatorYour intention is to create a valuation scenario that would reference the set of market inputs to be used, and a separate valuation scenario for each different combination. Theres not really a way to explicitly link product types to market inputs within a single valuation scenario. If you would like to submit a proposal to the Pricing and Risk Working Group, they would be happy to consider it.
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