How to represent :: Additional Disruption Events, and etc

[mshahid]

I would appreciate if you could please suggest how to represent the following elements of Equity – Cash Settled Index Option. The type Im using is EqyityOption and the version is 4.5. General Terms —————- 1) Index Name Example Value: S&P / TSX60 2) Index RIC Code Example Value: SPTSE Settlement Terms: —————- 3) Cash Settlement Payment Date Additional Disruption Events: —————- 4) Hedging Party on Hedging Disruption 5) Hedging Party on Increased Cost of Hedging 6) Maximum Stock Loan Rate on Loss of Stock Borrow 7) Hedging Party on Loss of Stock Borrow 8) Initial Stock Loan Rate on Increased Cost of Stock Borrow 9) Hedging Party on Increased Cost of Stock Borrow If the above elements are not supported in v4.5, are they supported in the later version? If yes; may I know the mapping? Thanks in advance.

[iyermakova]

Hello, Take a look at the example eqd-ex04-european-call-index-long-form.xml of the specifications (equity-options folder). It illustrates the additional disruption events for Cash Settled Index Option (long form) FpML 4-5 supports all Additional Disruption Events from your list except Maximum Stock Loan Rate and Initial Stock Loan Rate. maximumStockLoanRate and initialStockLoanRate are added in 4-6 LCWD (that is going to be public this week) as an optional elements of type “RestrictedPercentage” within AdditionalDisruptionEvents complex type to support US Share Swaps additional disruption events. Let us know if you have other questions. Regards, Irina Yermakova

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