IR Bermudan Swaption – notice dates and effective dates

[amitmerla]

Hi all, For IR Bermudan Swaption – Where should I put notice dates and effective dates??? 10x, Amit

[mgratacos]

Hi Amit, What do you mean by effective date? Do you mean effective date of the underlying swap OR the start/commencement date of the exercise? What do you mean by notice date? Is this when you send some time of notification message? Regards, Marc

[amitmerla]

Effective date should be called effective called date (for callable instruments) / effective exercise date (for Bermudan swaption) and means the date the deal is effectively called / exercised (for Bermudan swap it would be the date the underlying swap starts). Notice date – is the date the trader needs to inform the ctpy that the deal is being called or exercised, which usually happens 2 business days before the effective date.

[mgratacos]

I think that the effective date is part of the exercise component of the swaption. In case of Bermudan swaption, look for the bermudaExercise component (substitutes the exercise element), which contains the bermudaExerciseDates. I think the notice date is not part of the confirmation data so that is why is not represented in FpML. Thanks and Regards, Marc

[boryann]

I just faced the same issue while trying to model the details which are agreed during the confirmation process of a swaption trade. The problem is not with the notice date, but number of days for a notice gap. Since there are multiple dates when a holder can exercise swaption, thereis usually a notice gap agreed between parties upfront when a holder should notify the seller of the intention to exercise on one of the specified dates. This is a part of an agreement between two parties, so I assume should be a part of a confirmation process as well. The bermudan optional termination provision has the similar element in the fpml which is Notice Gap (how many days before the event one party should notify another of the intention to terminate a deal). I think it should be an optional element in confirmation process of bermudan style swaptions.

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