FpML Issues Tracker

1162: Bond Options may be of Bond Futures

February 5, 2013

closed

Tweak

Always

Schema

Admin

mgratacos

Summary

We've seen some Bond Option trades based on a Bond Future. Currently the FpML Schema only allows the representation of Bond Options on Bonds or Convertible Bonds. The support is modelled using a choice between the bond and convertibleBond underlyers.

Would be possible to add the Future underlyer in the existing choice?

Notes:

  • andrew

    04/30/13 10:28 am

    I don’t think this is the right way to solve this deficiency. I would rather see a future/future option product in the model (Such as in the extension schemas).

  • mgratacos

    04/30/13 10:35 am

    This is still considered an OTC option product, not a security, but with a future underlyer.

    We have an interesting modelling problem here: bondOption vs. option.

  • andrew

    04/30/13 11:13 am

    Sorry, jumped on the ‘future/future option’ bit.

    I can see a case for extending bondOption to allow a bond future as an underlying but not sure about allowing a bond future option here.

    I still wonder if a more generic option on future/option on future option product(s) might not be better.

  • mgratacos

    04/30/13 1:17 pm

    The case is only for extending bondOption to allow a bond future as an underlying.

  • mgratacos

    11/12/19 7:32 am

    AWG 2019-11-07

    • Agreement that this product should be modelled as a separate OTC product.
    • Agreement to close the issue.
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