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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> |