FpML Issues Tracker

138: Credit Spread Options

October 27, 2005

closed

Major

Always

Credit Derivatives

Admin

benjlis

Summary

Please provide support for Credit Spread Options in FpML.

Notes:

  • hpegeron

    10/27/05 6:06 pm

    Will need to be brought up to the CDWG

  • matthew

    05/16/06 6:05 am

    Is there any progress on this?

  • matthew

    05/16/06 8:56 am

    Marc Gratacos spoke with Matthew Rawlings. Marc will keep pushing this. It will probably occur after the current mortgage derivatives work finishes.

  • matthew

    04/04/07 10:04 am

    it is not on the agenda yet – M Gratacos

  • mgratacos

    05/28/08 1:42 pm

    CDWG 2008-05-28: The group reviewed this issue. Based on background information defining the product http://www.lehman.com/fi/sct/def_credit_spread.htm
    Credit Spread Options, the conclusion is that credit spread options should be able to be represented using the FpML bondOption product.

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