FpML Issues Tracker

142: Non-deliverable feature for Swaptions

December 19, 2005

closed

Minor

Always

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.

Attachments

  • IR Swaption.doc
  • Notes:

  • mgratacos

    06/23/20 12:03 pm

    AWG 2020-06-18

    • We need to check with the IRDWG on the support for this product feature.
  • mgratacos

    09/28/20 11:51 am

    The IRDWG thinks that the issue doesn’t arise for cash-settled swaptions, which:

    1. Generally reference a vanilla single-currency fixed-float underlyer
    2. Settle for fair value in the currenc(y|ies) of the underlyer, as specified by the cash settlement properties.

    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

    • Agreement to close this issue based on the input from Harry McAllister.
      • For cash-settled swaptions:
        • Generally reference a vanilla single currency fixed-float underlyer
        • Settle for fair value in the currenc(y|ies) of the underlyer, as specified by the cash settlement properties
      • For physically-settled swaptions:
        • 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.
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