FpML-Com Physically settled options schema proposal for FpML 4.7

["Owen King" <owen.king@xxxxxxxxxx>]

All,

 

Please find attached a schema, example trade and diagram representing a draft proposal to add support for physically settled options to the FpML commodities schema. It would be appreciated if you could take a moment to review this proposal prior to Friday's scheduled working group call.

 

Notes and assumptions:

• Physical options with floating strike prices are not considered in this proposal.
• As with the financial options schema, bermudan-style options and knock-in/out provisions are not considered.
• The proposal currently assumes that delivery provisions for options are identical to those for forwards. A detailed analysis of the various documentation standards will be required to validate this.
• This proposal is intended for FpML 4.7 but since a 4.7 release has yet to be published it retains the 4.6 namespace and filename for ease of use.

Some items for further discussion:

• Is periodic/multiple delivery for bullion options required?
• Are variable quantity (min/max) options traded (gas)?
• How should daily expiring options be modelled?
• Can the Delivery Period start date be relative to the Exercise date?

Many thanks,

 

Owen King
+44 20 7071 0137

 

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Attachment: commodityPhysicalOption.png
Description: commodityPhysicalOption.png

Attachment: com-ex22-physical-bullion-option-ISDA.xml
Description: com-ex22-physical-bullion-option-ISDA.xml

Attachment: fpml-com-4-6.xsd
Description: fpml-com-4-6.xsd