Guy - you are correct.
Termination date is included in the schema and example, but remains
undefined. It is part of the best practise document but we are unsure as
to what it means.
We are hoping that within this group's review we could find usage or
eliminate this aspect of the process.
Matthew Rawlings
Prime Brokerage Strategy & Architecture
+44 791 539 7824
"Guy Gurden" <guy.gurden@xxxxxxxxxxxxx>
24/03/2005 22:35
Please respond to mwg
To: <mwg@xxxxxxxxxxxxxxxxxxxxxx>
cc:
Subject: RE: FpML-MWG40 Option Exercise
Matthew,
>> The best practise document requires a termination date. We have not
included this as we could not identify a use for it.
Your example for physical settlement includes a termination date. Is there
another one you are referring to?
<file:///C:/Temporary%20Internet%20Files/OLK72/msg_ex17_option_exercise_pa
rtial.xml#> - <settlement>
<file:///C:/Temporary%20Internet%20Files/OLK72/msg_ex17_option_exercise_pa
rtial.xml#> - <physical>
<effectiveDate>2005-03-15</effectiveDate>
<terminationDate>2005-03-17</terminationDate>
Guy
_____
From: matthew.d.rawlings@xxxxxxxxxxxx [mailto:matthew.d.rawlings@jpmchase.
com]
Sent: Thursday, March 24, 2005 5:26 PM
To: mwg@xxxxxxxxxxxxxxxxxxxxxx
Cc: fpml-bpm@xxxxxxxxxxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-MWG40 Option Exercise
Dear Messaging Working Group members.
As discussed in today's meeting, I wish to make the following proposal to
the MWG for Option Exercise.
It is based to a large extent on the ISDA Operations Working Groups's
document for Best Practise for Option Exercise Documentation:
<http://www.isda.org/c_and_a/docs/BPDocOptionsExercise.doc>
http://www.isda.org/c_and_a/docs/BPDocOptionsExercise.doc
Here is the modified schema (based on the latest from CVS), plus examples.
Significiant points:
1. An option to be exercised is identified by the contract's
tradeIdentifier. Implicitly this assumes that a contract has at most one
option. This is currently always the case but may change. There is no way
to specify more than one option currently. There is no way to identify an
option independently of the contract. This may be revised if FpML in
future supports multi-option contracts with identifiers for the options.
2. The best practise document requires a termination date. We have
not included this as we could not identify a use for it.
3. Exercise time is not included, only a date.
4. The paper process includes an "exercise advice" which is a
simple echo of the message. This is excluded from the FpML version as the
working assumption is the transport mechanism is reliable.
Matthew Rawlings
+44 791 539 7824
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