[peledg]

Thanks for the support Irina. Because both the OT trigger and KO triggers are American there is no way to represent the (b) scenario in pure FpML. Only (a) is supported. My intention is to represent this in the following way: Product: fxOneTouchWithKO – FpML Message body same as fxDigitalOption – FpML KO barrier element (fxBarrier) – XML extention (outside of FpML): KO trigger flag called KOUntil where possible values are: > Expiration (a) > One Touch (b) Thanks again for assisting. Guy

[peledg]

Thanks Irina. I also don’t think there is a way to represent this flag. If you’re interested here are examples. Currency Pair: EURUSD OT Trigger: 1.5 KO Trigger 1.1 Expiry: 2aug11 Delivery: 4aug11 Payout: EUR 100k 2 possibilities: a. KO condition: KO until Expiry. I.e. If EURUSD spot hits 1.1 at any point up until expiry (2aug11) then option is terminated and there is no payout at delivery (even if OT Trigger was hit prior to KO). b. KO condition: KO until One Touch. I.e. KO trigger is american as in ‘a’, and is live until expiry unless EURUSD spot hits 1.5 at any point up until expiry. KO trigger is canceled as soon as EURUSD hits 1.5 and payout is secured (to be paid on delivery date).

[peledg]

Thanks for the quick reply Irina. Problem is I’m trying to represent the deal when it is created. I.e. when traded, the deal can be “flagged” with either ‘a'(KO until expiry) or ‘b'(KO until One Touch). I am lookig for some kind of element/s that will represent this “flag” at trade date.

[peledg]

I’m representing the cashflow alone. Thanks for the detailed and quick reply. This is really helpful.

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