FpML Issues Tracker

1282: dateRelativeTo href=”europeanExercise0″ / inside of relevantUnderlyingDate

November 16, 2022

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new

Tweak

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Schema

MAZA

None

Summary

Good evening dear FpML experts.

Currently working on the code of example 2.18 Example 10 - European Swaption, Physical Settlement, Relative Underlying Effective Date.

I need a little clarification regarding tag <dateRelativeTo href="europeanExercise0" /> which is nestled inside of <relevantUnderlyingDate> Swaption`s tag structure.

I have two assumptions regarding the meaning of this tag:

1) this is simply the reference to the unadjusted <expirationDate> (e.g. 2001-08-28)

2) this is adjusted <expirationDate> for 2 days  (e.g. 2001-08-28 (+2 days)).

Which of these assumptions is rigth?

Thank you in advance for your time.

Regards, Maksym

 

<expirationDate>

          <adjustableDate>
            <unadjustedDate>2001-08-28</unadjustedDate>
            <dateAdjustments>
              <businessDayConvention>FOLLOWING</businessDayConvention>
              <businessCenters>
                <businessCenter>EUTA</businessCenter>
                <businessCenter>GBLO</businessCenter>
              </businessCenters>
            </dateAdjustments>
          </adjustableDate>
        </expirationDate>
        <relevantUnderlyingDate>
          <relativeDates>
            <periodMultiplier>2</periodMultiplier>
            <period>D</period>
            <dayType>Business</dayType>
            <businessDayConvention>NONE</businessDayConvention>
            <businessCenters>
              <businessCenter>EUTA</businessCenter>
            </businessCenters>
            <dateRelativeTo href="europeanExercise0" />
          </relativeDates>
        </relevantUnderlyingDate>
        <earliestExerciseTime>
          <hourMinuteTime>09:00:00</hourMinuteTime>
          <businessCenter>BEBR</businessCenter>
        </earliestExerciseTime>
        <expirationTime>
          <hourMinuteTime>11:00:00</hourMinuteTime>
          <businessCenter>BEBR</businessCenter>
        </expirationTime>
      </europeanExercise>

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