FpML Issues Tracker
closed
Tweak
Always
Schema
Admin
mgratacos
Summary
We've seen some Bond Option trades based on a Bond Future. Currently the FpML Schema only allows the representation of Bond Options on Bonds or Convertible Bonds. The support is modelled using a choice between the bond and convertibleBond underlyers.
Would be possible to add the Future underlyer in the existing choice?
Notes:
andrew
04/30/13 10:28 am
I don’t think this is the right way to solve this deficiency. I would rather see a future/future option product in the model (Such as in the extension schemas).
mgratacos
04/30/13 10:35 am
This is still considered an OTC option product, not a security, but with a future underlyer.
We have an interesting modelling problem here: bondOption vs. option.
andrew
04/30/13 11:13 am
Sorry, jumped on the ‘future/future option’ bit.
I can see a case for extending bondOption to allow a bond future as an underlying but not sure about allowing a bond future option here.
I still wonder if a more generic option on future/option on future option product(s) might not be better.
mgratacos
04/30/13 1:17 pm
The case is only for extending bondOption to allow a bond future as an underlying.
mgratacos
11/12/19 7:32 am
AWG 2019-11-07