FpML Issues Tracker

1292: Represent Accumulators and Decumulators as products

March 15, 2023

assigned

Tweak

N/A

Equity Derivatives

5.13 Second Working Draft (Build 2)

XAPWG

paulBagnicki

John.Booth

Summary

This item is a proposal to represent Accumulators and Decumulators as products in their own right, with a product representation that has the specific attributes that would provide a rich/fuller picture of this product.

This was attempted by the EQD working group in 2015 but did not have reach a quorum:

https://www.fpml.org/mg_threads/dce272cf/

 

Notes:

  • JasonPolis

    07/06/23 6:38 am

    XAPWG:

    • HM: Requests that Accumulator’s components could span asset classes, rather than Equity specific.
      There was work on FX accumulators in 2017 for FpML 5-10, with FX accruals and targets. Components should be capable of reuse.
    • JB: Doesn’t have FX SMEs, but will reconsider the FX components.
    • JB & HM to discuss making proposal more generic to span asset classes.

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