FpML Issues Tracker

222: Add ability to specify earlyTerminationProvision within capFloor product

September 26, 2006

closed

Feature

N/A

Request New Feature

ggurden

iyermakova

Summary

We would like the capFloor product to be extended to include the existing earlyTerminationProvision element to allow early termination provisions to be captured on caps/floors.

An optional earlyTerminationProvision element of type EarlyTerminationProvision should be added to the CapFloor complex type.

... ... ... ...

Regards Guy Gurden

Notes:

  • h_mcallister

    09/27/06 5:25 am

    This is okay with me. We have noted the same requirement at BNP Paribas (although not with high frequency).

  • mgratacos

    11/13/06 3:42 pm

    Added ability to specify earlyTerminationProvisions within capFloor & swaption products as agreed by FpML IRDWG. This will be published in the next version of FpML 4.2

  • ggurden

    11/13/06 4:49 pm

    Marc – can you confirm you didn’t add this to the swaption product. The WG agreed it would only be added to capFloor and the existing swaption/swap/earlyTerminationProvision would be used for swaptions.

  • mgratacos

    11/13/06 4:54 pm

    Guy,

    Sorry, we made a mistake. It’s not included within Swaption.

    Thanks,
    Marc

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