[iyermakova]

Hello Mark, This means for example with forward starting, the deal needs to be updated on/after the strike date to add (Initial Price) and replace with (Equity Notional) numeric values, so you first in the pre deal specify method by which the values will be determined : 2009-10-09 … … AgreedInitialPrice StrikeDateDetermination and then in the post deal (on/after the strike date) replace with actual amount there are two samples for the same deal pre and post: 2009-10-09 … … AgreedInitialPrice EUR 10 AbsoluteTerms EUR 1000000 For more information you can take a look at our online documentation (section 10:”Return Swap Product Architecture”) and examples (the equity-swap folder has numbers of examples that are utilizing determinationMethod with different values; ex18 and 19 demonstrates the above described situation) Regards, Irina Yermakova

[iyermakova]

Hi, Here is feedback from FpML FX WG on supporting FXTargetRedemption product in FpML: “if there is enough interest, it could be added to FpML.” Regards, Irina Yermakova

[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

[iyermakova]

Hi, I doubt FX target redemption forwards can be represented. Could you explain the mechanics of this type of instrument? Thanks, Irina Yermakova

[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]

Changes like that will not be describing FpML as FpML instant documents will require element.

[iyermakova]

Hello Mark, Underlyer – a type describing the whole set of possible underlyers: single underlyers or multiple underlyers, each of these having either security or index components. SingleUnderlyer – Describes the swap’s underlyer when it has only one asset component (bond, commodity, equity, etc). Basket – Describes the swap’s underlyer when it has multiple asset components (basket constituents such as equity, index, convertible bond, or basket components, or some combination of these). BasketConstituent can hold one asset component (e.g. equity see eqcs-ex01-correlation-swap), or another basket (e.g. nested basket see eqd-ex20-nested-basket). People would use a “basket” where they had a reference data system that could lookup basket constituents and weights, rather than state them in each message. Basket and SingleUnderlyer are both Underlyers, the current design (Equity Asset and Basket share a common base class to allow nested baskets) allows you to do all sorts of nesting within “basket” BasketConstituent, but “basket” and its nesting do not make sense within SingleUnderlyer. In the schema, to add an appropriate underlying component, // is an abstract element, a place holder for actual asset component e.g. Or // is an abstract element, a place holder for actual asset component e.g. a “substitution group” mechanism is used. To be a part of the substitution group, underlying asset component should extend UnderlyingAsset abstract type and be itself a part of the “underlyingAsset” substitution group, for instance, or As you see from the above snippets above, since they both are part of the underlying substitution group, in the schema they appear interchangeably as elements that can appear within a BasketConstituent and SingleUnderlyer structures. Therefore, while “equity” component can appear in both structures, the “basket” component appears only in the BasketConstituent structure. Regards, Irina Yermakova

[iyermakova]

Hello Mark, These are the proposed values. The coding scheme will be published today. – “BillOfLading” – The date on which a Bill of Lading is issued. – “CompletionOfDischarge” – The date on which Completion of Discharge occurs. – “NoticeOfReadiness” – The date on which a Notice of Readiness is issued. Thank you for your suggestions. However, it is not always clear to determine if the coding schemes are missing. Regards, Irina Yermakova

[iyermakova]

Hello Mark, Yes, some commodity coding schemes, including commodity-pay-relative-to-event appears to be missing. We are working on it see issue http://www.fpml.org/issues/view.php?id=1058. We will reply to this thread once we publish the missing schemes. Regards, Irina Yermakova

[iyermakova]

Hello, yes, can have a negative value. To say, for example, that fixing dates are 2 Business D-ays prior of the irs reset dates. Another words, minus (-) would say “prior”, 2 days before some other days. -2 D Business NONE Regards, Irina Yermakova

[iyermakova]

Hello Etai, Thank you for bring to our attention the discrepancy in their English vs XPath Descriptions within the eqd-31-32 rules. After consulting ISDA Legal and FpML Eqd and Val Working Groups, there was agreement that the term Effective Date only makes sense if it used strictly for a forward starting option, otherwise the effective date has no economic significance in equity options. An explicit forward effective date only makes sense if the strike remains undetermined at tradeDate. As a result, eqd-31-32 rules will be amended to say: English Description: “If equityEffectiveDate exists, then the equityEffectiveDate date of an equity option must be strictly after the trade date.” XPath Description: EquityDerivativeBase)[exists(equityEffectiveDate)] satisfies $equityDerivativeBase/equityEffectiveDate gt tradeHeader/tradeDate Thank you, Irina Yermakova

[iyermakova]

Hello Guy, Thank you for the deal example. I showed your example to a couple of people and we agree that the example: (a) looks like a barrier (knock out) option, but that there is also a one-touch element to it (a payoff of 100K EUR if the rate hits 1.5) (b) looks like digital with a barrier option (knock out) component. And so, you can NOT use FpML fx option products directly, but you could try to represent your deal with extensions. For example, create a OneTouchWithKoOption product similar to fxDigitalOption product (as you would not be able to extend FxDigitalOption type to include your KO trigger as an american style’s). Touch trigger would be activated, in your example, at any point up until expiry when 1.5 is hit and payout is secured at delivery). Knockout trigger would be activated, in your example, at any point up until expiry when 1.1 is hit which would terminates the option and there is no payout at delivery. If you think FxOption fits better, you can create a product similar to FxOption adding the missing components to it. Regards, Irina Yermakova

[iyermakova]

Guy, Could you send us an example of the deal for better understanding. I dont think there is a way to model in FpML the knock out trigger time (i.e., until expiry). However, tn FpML, fx option model covers the cases, when an option is a barrier type – knockout, for example, touches the trigger and the option is knocked out (no longer exists) or when the option reaches expiry then it is ” knocked out ” (no longer exists) as well. Thank you, Irina Yermakova

[iyermakova]

Knockout – an fx barrier type when triggered causes an option ceased to exist. The trigger rate is out of the money in relationship to the strike rate. I believe your points can be represented in FpML with FX Option model, by providing spot rate, fx barrier (FxBarrierTypeEnum where you specify “knockin”) and trigger payout. a. KO trigger is live until Expiry – The option will stay “Knock Out” until its expiry, or b. KO trigger is live until the One Touch trigger is hit. – until the trigger reaches a pre-set barrier price, in which case the option will be knocked-in Take also a look at FX example 12 “FX OTC Barrier Option” and 13 “FX OTC Double Barrier Option” Let me know if I answered your question. Regards, Irina Yermakova

[iyermakova]

Hello Eli, Asian normally means averaging for valuation this is handled by FpML. see http://www.fpml.org/spec/fpml-4-8-2-lcwd-1/xml/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml http://www.fpml.org/spec/fpml-4-8-2-lcwd-1/xml/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml To see whether ‘Rainbow Asian’ can be handled by FpML basket structure or strategy with some additional controls requires a proper analysis. Could you send us a sample of your confirmation? Regards, Irina Yermakova

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