FpML Issues Tracker

997: Refactor ExerciseProcedure type

December 30, 2009





FpML 6 (Build 1)





Between FpML 4.2 and 4.3 two additional optional elements where added to ExerciseProcedure to support bond options namely limitedRightToConfirm and splitTicket. The new elements appear as valid content within the Swaption product even though they are not appropriate.

I would like to use the original portion of this class in the refactored 5.0 FX products and propose to reinstate the ExerciseProcedure as it was in 4.2 and create extension from it called BondOptionExerciseProcedure type for use in bond options.

This will remove the two bond option specific elements from Swaption. We might like to make the same change in the 4.x series


  • iyermakova

    11/11/10 7:51 pm

    This issue needs to be reviewed by the Coordination Committee, as there is no clear ownership of the Bond Option model

  • lyteck

    11/15/10 8:51 pm

    The Coordination Committee discussed the issue on 11/15/2010:
    – Harry recalled an IRD proposal he and Jaimie Orme started developing early 2008 to refactor the interest rate swaption product basing it on the new OptionBase which had been devised for the bondOption and creditDefaultSwapOption. The unpublished conclusion was that the OptionBase is overly inclusive/overfeatured as a type and needs some cutting back. One approach is to create a tighter boundary around common components i.e., by creating a new type, e.g., OptionBaseCommon. The ExerciseProcedure issue can probably be merged with this refactoring work.
    – For the refactoring, Andrew Jacobs advised against an option base with too much content as there is little commonality between different option types and favored a more compositional approach. Brian agreed that while all options conceptually have similar components at a high-level, these components quickly start varying tremendously when looking at requirements for each asset class. Generalization across asset classes is not easy.
    – Andrew noted complex type restriction may possibly have worked to model the intricacies of options but the design technique was ruled out in the Architecture Specification because some tools have had issues supporting complex type restriction and it can be a confusing technique not well understood by everyone.

    Action Item: Harry will try to finalize the option refactoring proposal -time permitting- and share with the group.

  • mgratacos

    11/29/19 9:55 am

    AWG 2019-11-21

    • We missed an opportunity to further refactor the Option Base type
    • We agreed to deprecate the following two elements in swaption/exerciseProcedure:
      • limitedRightToConfirm
      • splitTicket
    • These two elements don’t make business sense for a swaption and they should be removed in the next major version of FpML.
  • mgratacos

    10/27/20 10:38 am

    The deprecation annotations have been added to the elements limitedRightToConfirm and splitTicket.

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