FpML Issues Tracker

1271: Fx- Asian Feature

July 1, 2021

assigned

Feature

N/A

FX

XAPWG

Yuva

John.Booth

Summary

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

 

Thanks

 

Notes:

  • 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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