FpML Issues Tracker
5.13 Second Working Draft (Build 2)
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.
|<dateRelativeTo href="europeanExercise0" />|
02/15/23 12:19 pm
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
03/20/23 1:25 pm
Thank you, all crystal clear.
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