FpML Issues Tracker
closed
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Interest Rate Derivatives
Admin
h_mcallister
Summary
DSWG requests support for Non-deliverable currencies at the Swaption product.
The CashSettlement type has been extended to allow reporting of settlement rate options and fixing dates for non-deliverable currencies. These are represented using the previously defined SettlementRateOption type and the FpML AdjustableDates type.
Notes:
mgratacos
06/23/20 12:03 pm
AWG 2020-06-18
mgratacos
09/28/20 11:51 am
The IRDWG thinks that the issue doesn’t arise for cash-settled swaptions, which:
So the use case for non-deliverable settlement would arise for e.g. a USD-BRL underlyer settling in USD – but in this case, we would assume that the non-deliverable settlement properties of the underlyer would prevail i.e. no need to specify at the level of the option. We suspect this is entirely hypothetical in any case, so not worth pursuing – supported by the observation that nobody has asked for it in the intervening 15 years.
mgratacos
10/14/20 1:09 pm
AWG 2020-10-01