Hi Robert, See answer in the e-mail exchange with Harry McAllister (chair irdwg) below: Hi Marc, Unfortunately the swaption model does not support option strategies with the same economy of expression as the cap/floor model, which permits multiple cap/floor buy/sells at varying strikes to be combined in a common structure. So while it would be nice to be able to produce the common features of the swaption strangle underlyers exactly once, with multiple instances of the Payer/Receiver buy/sells & strikes, we don’t have this facility in the current model. Therefore I agree that the best we can manage is to clip two swaptions together in a strategy. The suggestion of using productType to indicate that the product is a strangle is a reasonable one. Clearly the resulting structure carries a great deal of redundancy. Perhaps the IRD-WG might be interested in re-factoring the swaption to support a better solution? Best regards. Harry Internet Marc Gratacos 03/02/2009 17:37 To Harry MCALLISTER cc Subject Question on strangles Hi Harry, I got a question from Robert Stowsky on the Forum. He asks the following question: interest rate swaption strangle FpML has a straddle element to signify that the buyer has an option to take either side of the trade at exercise. How would one specify a similar choice for a strangle? (http://www.fpml.org/dev/modules/newbbex/viewtopic.php?topic_id=59&forum=4) Should this be represented using the Strategy element including two distinct swaptions and maybe using the product type to indicate that it is a strangle? Thanks in advance, Marc
