FpML Issues Tracker

1271: Fx- Asian Feature

July 1, 2021









Currently in FX Asian feature, there is no way to represent  schedule for strike  (especially average strike option or double average option)


But in Equity derivatives - Asian features, this feature  is available. Please could you extend the equity -Asian feature to fx Asian feature





  • mgratacos

    02/20/22 5:37 am

    Minutes AWG 2022-02-10

    • This should be moved to the FpML Cross Asset Product Working Group. The feature is now available in the CDM model.
    • Action: Move this issue to the XAPWG.
  • JasonPolis

    02/05/23 3:00 am

    Assigned to XAPWG Cross Asset Class Product Working Group – FpML

  • JasonPolis

    02/15/23 7:05 am

    XAPWG 20230201:

    • How do we distinguish contractual terms vs derived terms ?
    • Also an issue in CDM, which we should look at together.
      Some of the same content has different names for the same concepts in different asset classes.
    • averaging in relation to strike price, averaging out in relation to valuation.
    • FX world models FX strike and FX rate.
    • having it self contained in relevant area makes it easier to find. Doesn’t expect model to change as constrained by existing design.
  • JasonPolis

    02/17/23 11:45 am

    assigned to XAPWG

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