FpML Issues Tracker
closed
Tweak
Always
Schema
XAPWG
MAZA
JasonPolis
Summary
Hello,
Could you please clarify the next:
When adding the new additional element adjustedDate into
/dataDocument/trade/swaption/bermudaExercise/relevantUnderlyingDate/relativeDates/adjustedDate
to have more than one adjustedDates (as it is Bermuda exercise style) the validator (Altova XML Spy) doesn`t allow to do it and demands to delete it.
Is this an issue with the schema, or if not, how can I have more than one adjustedDates exercise dates when using choice via relativeDates ?
Thank you in advance.
Regards,
Maksym
Notes:
JasonPolis
03/27/23 12:31 pm
Assigned to XAPWG
JasonPolis
03/27/23 12:36 pm
In FpML 5-13-WD-1:
RelativeDateOffset is described as “A type defining a date (referred to as the derived date) as a relative offset from another date (referred to as the anchor date).” It has a single adjustedDate, and a dateRelativeTo of type DateReference described as “Reference to an identified date or a complex date structure.”
RelativeDates, “A type describing a set of dates defined as relative to another set of dates.”, extends RelativeDateOffset, without permitting multiple adjustedDates.
The type RelativeDates could be remodelled so that it had the same elements but permitted multiple adjustedDates. It would no longer be based on RelativeDateOffset.
As other uses of DateReference appear to be for single dates, so it could be redescribed as “Reference to an identified date”. A new type DatesReference could be described as “Reference to a complex date structure.”
JasonPolis
04/05/23 5:29 am
assign
JasonPolis
04/26/23 1:21 pm
Discussed at XAPWG
A series of adjusted date wouldn’t typically appear on a confirmation,
as holiday schedules can change affecting the date between confirmation and exercise.
Need further clarification from an experienced swaptions expert.
Even though there is only one adjustedDate in relativeDates, which implies multiple date,
it is within relevantUnderlyingDate which indicates it would be the singular swap effective date.
JasonPolis
04/26/23 1:32 pm
That said, there’s the possibility of multiple partial exercises,
which could result in the creation of multiple swaps each with their own effective date.
Is there an actual requirement to be able to represent the multiple date arising in this scenario in /dataDocument/trade/swaption/bermudaExercise/relevantUnderlyingDate/relativeDates/adjustedDate ?
Or would it be more likely to store each effective date of in the records of
/eventActivityReport/optionExercise/physicalSettlement/resultingTrade
MAZA
04/27/23 2:26 pm
Good evening. Thank you, Jason for such comprehensive reply. Very appreciate it.
Regarding your question
“Is there an actual requirement to be able to represent the multiple date arising in this scenario in /dataDocument/trade/swaption/bermudaExercise/relevantUnderlyingDate/relativeDates/adjustedDate ?”
I think that there are no actual requirements. In the case of the Bermuda exercise style, this will increase the amount of information, although sometimes having this date would be useful.
Thank you again for your help.
Best regards, Maksym
JasonPolis
05/11/23 9:55 am
A rationale for it is to know in advance what the effective date would be for each exercise date.
Nomura has made a change in a new type RelativeDatesType that is similar to RelativeDateType,
but plural to permit multiple adjustedDate and unadjustedDate.
Added to support FX fixing schedule in IRS for FX linked leg, to have full leg schedule defined in advance.
The impact of the proposed change is to be assessed.
mgratacos
03/19/24 11:13 am
No changes required currently.