FpML Issues Tracker
High
new
Tweak
Have not tried
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> |