Forums

FpML Discussion

General FpML Discussion Technical & Implementation Questions Unbounded? notionalReference in multipleExercise

Viewing 1 post (of 1 total)
  • Author
    Posts
  • #1919
    brusckeabax
    Spectator

    In americanExercise (as well as bermudaExercise multipleExercise has an unbounded notionalReference. I can’t imagine a use-case for multiple notionalReference instances. I’ll grant there are underlyings that can have multiple notionals; but in such cases I can imagine a reference to one notional is sufficient to imply the other notional. (e.g., 1m-GBP/USD-2m; a reference to the GBP denominates the …Amount’s in GBP; a reference to the USD denominates the …Amount’s in USD.) Suppose a confirm does include multiple notionalReference; how do the …Amount elements relate to each of the notionalReferences? E.g., must one exercse an integralMultipleAmount of each of the multiple notionalReferences? Or, will it suffice if the aggreate of exercises equals the integralMultipleAmount? Without a use case it’s hard to imagine the related semantics. Perhaps the applicable use-case is very narrow; e.g., Electricity. If so, an implementor may take a calculated risk of allowing but a single notionalReference. Were the use-cases broadly applicable, this risk must be taken with great caution. If there are use cases it’s desireable to know the breadth of the cases to determine the risk of limiting an implementation. Thanks Mark

Viewing 1 post (of 1 total)
  • You must be logged in to reply to this topic.