FpML Issues Tracker
closed
Minor
Always
FX
Admin
iyermakova
Summary
Could we evaluate if the FX Average Rate Option's strike is properly represented see a question on the forum - http://www.fpml.org/dev/modules/newbbex/viewtopic.php?topic_id=146&forum=4
Should the "strike" be expanded to support the average strike option product?
Notes:
iyermakova
07/21/11 1:00 pm
iyermakova
08/16/11 1:52 pm
See FpML FX WG feedback:
“Average Rate Option’s strike (http://www.fpml.org/issues/view.php?id=1060). Feedback from AJ was that the current model only supports single averaging. Adding a new feature for the double averaging is not acceptable as this feature would not make sense in combination with every feature already present (for example it would probably not make sense to have it in conjunction with the barrier feature). AJ and HM suggested that the best approach would be to create an entirely new product called FXAverageStrikeOption as the difference in the strike is sufficient to warrant for the definition of a totally new product. The group agreed that this addition should be made only if requested by more than one firm.”