FpML Issues Tracker

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

November 16, 2022

assigned

Tweak

Always

Schema

5.13 Second Working Draft (Build 2)

XAPWG

MAZA

mgratacos

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>

Notes:

  • JasonPolis

    02/15/23 12:19 pm

    XAPWG:

    Digging down into the annotation of the types, it looks like dateRelativeTo should reference an identifiable date.

    In the context of a Swaption, we don’t really need it at all as it is implicitly relative to the exercise date as per the annotation on EuropeanExercise/relevantUnderlyingDate:

    The date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).

    The example could be amended to remove the EuropeanExercise/relevantUnderlyingDate/relativeDates/dateRelativeTo

  • MAZA

    03/20/23 1:25 pm

    Thank you, all crystal clear.

     

    Regards,

    Maksym

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