FpML Issues Tracker

Summary

Good morning FpML experts.

I have a question about the elements expirationTime and earliestExerciseTime in swaption FpML schema.

XPaths:

1.swaption/europeanExercise (american +bemudan) /expirationTime

2.swaption/europeanExercise (american +bemudan) /earliestExerciseTime

These elements are mandatory according to the scheme.

Suppose I use the system that does not contain separate fields where these data can be specified.

I want to make an output document built on the basis of the FpML scheme, which will include these elements as well.

So I need to have some default list that will contain the list of business centers and earliestExerciseTime values and expirationTime for each of them. This list will be binded with particular currency.

I have the document "2021 ISDA Interest Rate Derivatives Definitions Settlement Matrix for Settlement, Early Termination and Swaptions(V5)" in which the earliestExerciseTime and expirationTime are indicated, which includes 27 currencies (although there are more than 150 currencies and business centers in the world).

I have the following questions:

1) Is there somewhere a list (information) about the earliestExerciseTime and the expirationTime for all currencies, including those that are not included in this list ?

2) Is it right to use the aforementioned matrix as the main source for building my default list (i.e take time and business center from there) ?

3) Let's imagine that we have USD currency as a main currency in a swaption fixed/float contract. Can the business center in the element earliestExerciseTime or in the element expirationTime be, for example, JPTO, or is it necessary to use only those business centers that are indicated in the above matrix?

Thank you in advance.

Hope for cooperation as usual.

Best regards,

Maksym