Documentation

Fields

bondOption_ID :: Maybe ID

 

bondOption_primaryAssetClass :: Maybe AssetClass

A classification of the most important risk class of the trade. FpML defines a simple asset class categorization using a coding scheme.

bondOption_secondaryAssetClass :: [AssetClass]

A classification of additional risk classes of the trade, if any. FpML defines a simple asset class categorization using a coding scheme.

bondOption_productType :: [ProductType]

A classification of the type of product. FpML defines a simple product categorization using a coding scheme.

bondOption_productId :: [ProductId]

A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the UPI (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list.

bondOption_buyerPartyReference :: Maybe PartyReference

A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.

bondOption_buyerAccountReference :: Maybe AccountReference

A reference to the account that buys this instrument.

bondOption_sellerPartyReference :: Maybe PartyReference

A reference to the party that sells (writes) this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.

bondOption_sellerAccountReference :: Maybe AccountReference

A reference to the account that sells this instrument.

bondOption_optionType :: OptionTypeEnum

The type of option transaction. From a usage standpoint, putcall is the default option type, while payerreceiver indicator is used for options index credit default swaps, consistently with the industry practice. Straddle is used for the case of straddle strategy, that combine a call and a put with the same strike.

bondOption_premium :: Premium

The option premium payable by the buyer to the seller.

bondOption_exercise :: Exercise

An placeholder for the actual option exercise definitions.

bondOption_exerciseProcedure :: Maybe ExerciseProcedure

A set of parameters defining procedures associated with the exercise.

bondOption_feature :: Maybe OptionFeature

An Option feature such as quanto, asian, barrier, knock.

bondOption_choice13 :: Maybe (OneOf2 NotionalAmountReference Money)

A choice between an explicit representation of the notional amount, or a reference to a notional amount defined elsewhere in this document.

Choice between:

1. notionalReference
2. notionalAmount

bondOption_optionEntitlement :: Maybe PositiveDecimal

The number of units of underlyer per option comprised in the option transaction.

bondOption_entitlementCurrency :: Maybe Currency

TODO

bondOption_numberOfOptions :: Maybe PositiveDecimal

The number of options comprised in the option transaction.

bondOption_settlementType :: Maybe SettlementTypeEnum

 

bondOption_settlementDate :: Maybe AdjustableOrRelativeDate

 

bondOption_choice19 :: Maybe (OneOf2 Money Currency)

Choice between:

1. Settlement Amount
2. Settlement Currency for use where the Settlement Amount cannot be known in advance

bondOption_strike :: BondOptionStrike

Strike of the the Bond Option.

bondOption_choice21 :: OneOf2 Bond ConvertibleBond

Choice between:

1. Identifies the underlying asset when it is a series or a class of bonds.
2. Identifies the underlying asset when it is a convertible bond.

Fields

bondOptionStrike_choice0 :: Maybe (OneOf2 ReferenceSwapCurve OptionStrike)

Choice between:

1. The strike of an option when expressed by reference to a swap curve. (Typically the case for a convertible bond option.)
2. price

Fields

makeWholeAmount_floatingRateIndex :: FloatingRateIndex

 

makeWholeAmount_indexTenor :: Maybe Period

The ISDA Designated Maturity, i.e. the tenor of the floating rate.

makeWholeAmount_spread :: Maybe Decimal

Spread in basis points over the floating rate index.

makeWholeAmount_side :: Maybe QuotationSideEnum

The side (bidmidask) of the measure.

makeWholeAmount_interpolationMethod :: Maybe InterpolationMethod

The type of interpolation method that the calculation agent reserves the right to use.

makeWholeAmount_earlyCallDate :: Maybe IdentifiedDate

Date prior to which the option buyer will have to pay a Make Whole Amount to the option seller if he/she exercises the option.

Fields

refSwapCurve_swapUnwindValue :: Maybe SwapCurveValuation

 

refSwapCurve_makeWholeAmount :: Maybe MakeWholeAmount

Amount to be paid by the buyer of the option if the option is exercised prior to the Early Call Date. (The market practice in the convertible bond option space being that the buyer should be penalized if he/she exercises the option early on.)

Fields

swapCurveVal_floatingRateIndex :: FloatingRateIndex

 

swapCurveVal_indexTenor :: Maybe Period

The ISDA Designated Maturity, i.e. the tenor of the floating rate.

swapCurveVal_spread :: Maybe Decimal

Spread in basis points over the floating rate index.

swapCurveVal_side :: Maybe QuotationSideEnum

The side (bidmidask) of the measure.