FpML Issues Tracker

996: Asian option model allows contradiction

December 29, 2009

Normal

assigned

Feature

Always

Equity Derivatives

Admin

apparry

Summary

The definition of the asian option features allows 'averagingInOut' code to be specified independently of the associated periods. It is possible to define that the option has 'averagingIn' whilst only providing a period for averaging out.

Whilst this could be prevented by the definition of a business rule as few implementations actually check business rules it would be better to derive the type of averaging (e.g. In, Out or Both) from which period definitions are present. This could be achieved by redefining the grammar of the Asian type as:

strikeFactor?,((averagingPeriodIn,averagingPeriodOut?)|averagingPeriodOut)

The content of the AveragingPeriod class is entirely optional so an empty element can appear if the type of averaging is known but the specific dates are not. For example instead of

In

You would have

Notes:

  • mgratacos

    01/24/20 6:43 am

    AWG 2020-01-23

    We need more information on the product to solve this issue. We would need to know whether the schedule is always known upfront.

  • mgratacos

    10/14/20 1:13 pm

    AWG 2020-10-01

    The group agreed to propose a business rule that will check the presence of averagingPeriodIn or averagingPeriodOut. This will avoid breaking backward compatibility on the schema.

  • mgratacos

    10/28/20 7:39 am

    eqd-34

    Context: Asian (complex type)
    averagingPeriodIn or averagingPeriodOut must exist.

  • mgratacos

    10/29/20 11:48 am

    AWG 2020-10-29

    eqd-34
    Context: Asian (complex type)
    If averagingInOut is ‘In’ or ‘Both’ then averagingPeriodIn must exist.

    eqd-35
    Context: Asian (complex type)
    If averagingInOut is ‘Out’ or ‘Both’ then averagingPeriodOut must exist.

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