FpML-FXWG-Legacy Fwd: A couple of problems with average rate options

["Danielle Cauthen" <dcauthen@xxxxxxxx>]

--- In fpml-fx@xxxxxxxxxxxxxxx, Rick Schumacher 
<rick.schumacher@...> wrote:

I was reviewing my examples for average rate options (which I 
originally did
over a month ago, against a sample Chase confirmation, but haven't 
looked at
since) and found a couple of errors in the DTD that I didn't catch 
before.
They're both simple to correct (which I've done in the attached 
DTD). 

1st Issue
Somehow, the strikePrice element was never defined within the 
average rate
option structure.  It should look like the following in the DTD 
(strikePrice
element has been added between callCurrencyAmount and 
spotReferenceRate
elements):

<!ENTITY % FpML_FXAverageRateOption "%FpML_Product; , 
buyerPartyReference ,
sellerPartyReference , expiryDateTime , exerciseStyle , 
fxOptionPremium* ,
valueDate , putCurrencyAmount , callCurrencyAmount , strikePrice ,
spotReferenceRate? , payoutCurrency , averageRateQuoteBasis , 
precision? ,
payoutFormula? , primaryRateSource , secondaryRateSource? , 
fixingTime ,
(averageRateObservationSchedule | averageRateObservationDate+) ,
observedRates*">

I've made the change in the FX DTD.

2nd Issue
This one is a bit more subtle.  For an average rate option, not only 
do you
define the strike price and the quote convention for the strike 
price, but
you also define the quote convention for the average rate that will 
be
computed over the series of observations taken.  This quote 
convention
element has already been defined as follows:

<!ELEMENT averageRateQuoteBasis (#PCDATA)>

<!ATTLIST averageRateQuoteBasis  type             NMTOKEN  
#FIXED 'string'
                                   quoteBasisScheme CDATA    
#IMPLIED >

The problem is that the scheme used (quoteBasisScheme) expects
CURRENCY1PERCURRENCY2 or vice versa as a value.  There is no 
currency1 or
currency2 here ... there is a put currency and a call currency.  The
referenced scheme is incorrect; it should use the strike price quote 
scheme
and look like the following:

<!ELEMENT averageRateQuoteBasis (#PCDATA)>

<!ATTLIST averageRateQuoteBasis  type             NMTOKEN  
#FIXED 'string'
                                   strikeQuoteBasisScheme CDATA    
#IMPLIED
>


I have made both of these changes to the DTD ... see attached.

 <<wip-fpml-dtd-fx.dtd>> 

Rick

--- End forwarded message ---



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