FX Average Strike via Fpml???

[amitmerla]

Hi, Is there a way to represent an Average strike option (FX)???

[iyermakova]

Hi, Currently, you cannot represented double the average strike in FpML without extensions. We will be discussing this (see issue http://www.fpml.org/issues/view.php?id=1060 ) at the FX Working Group meeting today. If you want to participate in this discussion, please join the FX WG.

[iyermakova]

Hi, Below is FpML FX WG feedback on “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.” Regards, Irina Yermakova

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