FxOption

Describes an FX option with optional asian and barrier features.

Nested view
Tree view

Field	Type	Description	Print form title	FFSM title	Properties	Conditions
primaryAssetClass	AssetClass	A classification of the most important risk class of the trade.	Primary asset class.		0-1, ncf	At the first stage this element is not used in the repository messages.
secondaryAssetClass	AssetClass	A classification of additional risk classes of the trade, if any.	Secondary asset class.		0-∞, ncf	At the first stage this element is not used in the repository messages.
productType	ProductType	A classification of the type of product.	Product type.	Derivative instrument type.	0-∞, mre, mfr	This element is mandatory for NSD messages, except for messages, related to master agreement registration.
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.	Derivatives classification code.	Classification code of the derivative financial instrument.	0-∞, mre, mfr	Mandatory field for NSD messages, except for messages, related to the registration of master agreements, repo transactions and quarterly representation of trades exercised within 4 working days period. This is used to hold classification codes for derivatives transactions required by FFMS.
embeddedOptionType	EmbeddedOptionType	Describes the type of any embedded optionality in the transaction that might not otherwise be apparent. Can be used to represent embedded optionality such as early termination provisions, extendible provisions, or cancelable provisions, etc., where applicable. If omitted, no embedded optionality is applicable.	Embedded option type.		0-2, ncf	Optional field for NSD repository messages. It is not used in messages, related to the registration of master agreements and quarterly representation of trades exercised within 4 working days period. This is used only if trade terms include embedded option of a type specified in the coding scheme. At the first stage this element is not used in the repository messages.
@id	xsd:ID				1-1
buyerPartyReference	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.	Buyer party.	Party code.	0-1, mre, mfr
buyerAccountReference	AccountReference	A reference to the account that buys this instrument.	Buyer's account.	Party's client.	0-1, ncf	At the first stage this element is not used in the repository messages.
sellerPartyReference	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.	Seller party.	Party code.	0-1, mre, mfr
sellerAccountReference	AccountReference	A reference to the account that sells this instrument.	Seller's account.	Party's client.	0-1, ncf	At the first stage this element is not used in the repository messages.
effectiveDate	AdjustableOrRelativeDate	Effective date for a forward starting derivative. If this element is not present, the effective date is the trade date.	Effective date.	Effective date / Start date.	0-1, ncf
tenorPeriod	Period	A tenor expressed as a period type and multiplier (e.g. 1D, 1Y, etc.)	Tenor period.		0-1, ncf
Choice begin
Branch1
americanExercise	FxAmericanExercise	The parameters for defining the exercise period for an American style option.	American style option.		1-1, mre	Conditionally filled element. This is to be included in case of reporting information about American style option exercise. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
Branch2
europeanExercise	FxEuropeanExercise	The parameters for defining the exercise period for an European style option.	European style option.		1-1, mre	Conditionally filled element. This is to be included in case of reporting information about European style option exercise. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
Choice end
exerciseProcedure	ExerciseProcedure	A set of parameters defining procedures associated with the exercise.	Exercise procedures.		0-1, ncf	This is not used in messages to the repository.
putCurrencyAmount	NonNegativeMoney	The currency amount that the option gives the right to sell.	Put currency amount.	Underlying asset code; Notional amount / Total notional quantity.	1-1, mre
callCurrencyAmount	NonNegativeMoney	The currency amount that the option gives the right to buy.	Call currency amount.	Underlying asset code; Notional amount / Total notional quantity.	1-1, mre
soldAs	PutCallEnum	Indicates how the product was original sold as a Put or a Call.	Agreed option type.	Classification code of derivative financial instrument.	0-1, mre, mfr
strike	FxStrikePrice	Defines the option strike price.	Strike price.	Strike price.	1-1, mre
spotRate	PositiveDecimal	An optional element used for FX forwards and certain types of FX OTC options. For deals consumated in the FX Forwards Market, this represents the current market rate for a particular currency pair. For barrier and digital/binary options, it can be useful to include the spot rate at the time the option was executed to make it easier to know whether the option needs to move "up" or "down" to be triggered.	Spot rate.		0-1, ncf	This is not used in messages to the repository.
features	FxOptionFeatures	Describes additional features within the option.	Additional features.		0-1	Conditionally filled element. This is to be included in case of reporting information about special features of asian and/or barrier options. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
premium	FxOptionPremium	Premium amount or premium installment amount for an option.	Option premium.	Option premium.	1-1, mre
cashSettlement	FxCashSettlement	Specifies the currency and fixing details for cash settlement. This optional element is produced only where it has been specified at execution time that the option will be settled into a single cash payment - for example, in the case of a non-deliverable option (although note that an Fx option may be contractually cash settled, without necessarily being non-deliverable).	Cash-settlement.	Settlement method code.	0-1	Conditionally filled element. This is to be included in case of reporting information about cash settlement (non-deliverable settlement) of the option. In other cases this is not supposed to be used. All underlying elements are included only in specified case.

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FxOption

productType(ProductType)

	This element is mandatory for NSD messages, except for messages, related to master agreement registration.
	A classification of the type of product.
	Derivative instrument type.

productId(ProductId)

	Mandatory field for NSD messages, except for messages, related to the registration of master agreements, repo transactions and quarterly representation of trades exercised within 4 working days period. This is used to hold classification codes for derivatives transactions required by FFMS.
	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.
	Classification code of the derivative financial instrument.

buyerPartyReference(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.
	Party code.

sellerPartyReference(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.
	Party code.

A choice of the option exercise style.

americanExercise(FxAmericanExercise)

	Conditionally filled element. This is to be included in case of reporting information about American style option exercise. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	The parameters for defining the exercise period for an American style option.

commencementDate(AdjustableOrRelativeDate)

	The earliest date on which the option can be exercised.
	Exercise period.

A choice of the date specification.

adjustableDate(AdjustableDate)

	Conditionally filled element. This is to be included in case of reporting information about explicit adjustable dates. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	A date that shall be subject to adjustment if it would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

expiryDate(date)

	The latest date on which the option can be exercised.
	Exercise period.

multipleExercise(FxMultipleExercise)

Characteristics for multiple exercise.

minimumNotionalAmount(NonNegativeMoney)

The minimum amount of notional that can be exercised.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(NonNegativeDecimal)

	The non negative monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.
	Total payment.
	[0;

maximumNotionalAmount(NonNegativeMoney)

The maximum amount of notiional that can be exercised.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(NonNegativeDecimal)

	The non negative monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.
	Total payment.
	[0;

europeanExercise(FxEuropeanExercise)

	Conditionally filled element. This is to be included in case of reporting information about European style option exercise. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	The parameters for defining the exercise period for an European style option.

expiryDate(date)

	Represents a standard expiry date as defined for an FX OTC option.
	Exercise date.

putCurrencyAmount(NonNegativeMoney)

	The currency amount that the option gives the right to sell.
	Underlying asset code; Notional amount / Total notional quantity.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(NonNegativeDecimal)

	The non negative monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.
	Total payment.
	[0;

callCurrencyAmount(NonNegativeMoney)

	The currency amount that the option gives the right to buy.
	Underlying asset code; Notional amount / Total notional quantity.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(NonNegativeDecimal)

	The non negative monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.
	Total payment.
	[0;

soldAs(PutCallEnum)

	Indicates how the product was original sold as a Put or a Call.
	Classification code of derivative financial instrument.
	Put;Call;

strike(FxStrikePrice)

	Defines the option strike price.
	Strike price.

rate(PositiveDecimal)

	The rate of exchange between the two currencies of the leg of a deal.
	(0;

strikeQuoteBasis(StrikeQuoteBasisEnum)

	The method by which the strike rate is quoted.
	PutCurrencyPerCallCurrency;CallCurrencyPerPutCurrency;

features(FxOptionFeatures)

	Conditionally filled element. This is to be included in case of reporting information about special features of asian and/or barrier options. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	Describes additional features within the option.

A choice of exotic option features.

barrier(FxBarrierFeature)

	Conditionally filled element. This is to be included in case of reporting information about special features of barrier options. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	Describes FX barrier option features.

barrierType(FxBarrierTypeEnum)

	This specifies whether the option becomes effective ("knock-in") or is annulled ("knock-out") when the respective trigger event occurs.
	Knockin;Knockout;ReverseKnockin;ReverseKnockout;

quotedCurrencyPair(QuotedCurrencyPair)

	Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
	Code of knock-in currency of denomination; Code of knock-out currency of denomination.

currency1(Currency)

	The first currency specified when a pair of currencies is to be evaluated.

currency2(Currency)

	The second currency specified when a pair of currencies is to be evaluated.

quoteBasis(QuoteBasisEnum)

	The method by which the exchange rate is quoted.
	Currency1PerCurrency2;Currency2PerCurrency1;

triggerRate(PositiveDecimal)

	The market rate is observed relative to the trigger rate, and if it is found to be on the predefined side of (above or below) the trigger rate, a trigger event is deemed to have occurred.
	Knock-in price; Knock-out price.
	(0;

informationSource(InformationSource)

	The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.

rateSource(InformationProvider)

An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.

observationStartDate(date)

The start of the period over which observations are made to determine whether a trigger has occurred.

observationEndDate(date)

The end of the period over which observations are made to determine whether a trigger event has occurred.

Sequence

asian(FxAsianFeature)

	Conditionally filled element. This is to be included in case of reporting information about special features of asian options. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	Describes FX asian option features.

primaryRateSource(InformationSource)

The primary source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.

rateSource(InformationProvider)

An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.

observationSchedule(FxAverageRateObservationSchedule)

	Conditionally filled element. This is to be included in case of reporting information about parametric FX rate observation schedule for asian FX options. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	Parametric schedule of rate observations.
	Period of strike price calculation.

startDate(date)

	The start of the period over which observations of the exchange rate are made to determine whether a trigger has occurred or to calculate payouts.

endDate(date)

	The end of the period over which observations of the exchange rate are made to determine whether a trigger event has occurred or to calculate payouts.

calculationPeriodFrequency(CalculationPeriodFrequency)

The frequency at which calculation period end dates occur with the regular part of the calculation period schedule and their roll date convention.

periodMultiplier(positiveInteger)

	A time period multiplier, e.g. 1, 2 or 3 etc. If the period value is T (Term) then periodMultiplier must contain the value 1.

period(PeriodExtendedEnum)

	A time period, e.g. a day, week, month, year or term of the stream.
	T;

barrier(FxBarrierFeature)

	Conditionally filled element. This is to be included in case of reporting information about special features of barrier options. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	Describes FX barrier option features.

barrierType(FxBarrierTypeEnum)

	This specifies whether the option becomes effective ("knock-in") or is annulled ("knock-out") when the respective trigger event occurs.
	Knockin;Knockout;ReverseKnockin;ReverseKnockout;

quotedCurrencyPair(QuotedCurrencyPair)

	Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
	Code of knock-in currency of denomination; Code of knock-out currency of denomination.

currency1(Currency)

	The first currency specified when a pair of currencies is to be evaluated.

currency2(Currency)

	The second currency specified when a pair of currencies is to be evaluated.

quoteBasis(QuoteBasisEnum)

	The method by which the exchange rate is quoted.
	Currency1PerCurrency2;Currency2PerCurrency1;

triggerRate(PositiveDecimal)

	The market rate is observed relative to the trigger rate, and if it is found to be on the predefined side of (above or below) the trigger rate, a trigger event is deemed to have occurred.
	Knock-in price; Knock-out price.
	(0;

informationSource(InformationSource)

	The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.

rateSource(InformationProvider)

An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.

observationStartDate(date)

The start of the period over which observations are made to determine whether a trigger has occurred.

observationEndDate(date)

The end of the period over which observations are made to determine whether a trigger event has occurred.

premium(FxOptionPremium)

	Premium amount or premium installment amount for an option.
	Option premium.

payerPartyReference(PartyReference)

	A reference to the party responsible for making the payments defined by this structure.
	Party code.

receiverPartyReference(PartyReference)

	A reference to the party that receives the payments corresponding to this structure.
	Party code.

paymentAmount(NonNegativeMoney)

	Non negative payment amount.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(NonNegativeDecimal)

	The non negative monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.
	Total payment.
	[0;

cashSettlement(FxCashSettlement)

	Conditionally filled element. This is to be included in case of reporting information about cash settlement (non-deliverable settlement) of the option. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	Specifies the currency and fixing details for cash settlement. This optional element is produced only where it has been specified at execution time that the option will be settled into a single cash payment - for example, in the case of a non-deliverable option (although note that an Fx option may be contractually cash settled, without necessarily being non-deliverable).
	Settlement method code.

settlementCurrency(Currency)

	The currency in which cash settlement occurs for non-deliverable forwards and cash-settled options (non-deliverable or otherwise).
	Code of payment currency.

fixing(FxFixing)

	Specifies the source for and timing of a fixing of an exchange rate. This is used in the agreement of non-deliverable forward trades as well as various types of FX OTC options that require observations against a particular rate. This element is optional, permitting it to be omitted where fixing details are unavailable at the point of message creation. It has multiple occurrence to support the case where fixing details must be specified for more than one currency pair e.g. on an option settled into a third currency (that is not one of the option currencies).
	Code of price source.

quotedCurrencyPair(QuotedCurrencyPair)

Defines the two currencies for an FX trade and the quotation relationship between the two currencies.

currency1(Currency)

	The first currency specified when a pair of currencies is to be evaluated.

currency2(Currency)

	The second currency specified when a pair of currencies is to be evaluated.

quoteBasis(QuoteBasisEnum)

	The method by which the exchange rate is quoted.
	Currency1PerCurrency2;Currency2PerCurrency1;

fixingDate(date)

	Describes the specific date when a non-deliverable forward or cash-settled option will "fix" against a particular rate, which will be used to compute the ultimate cash settlement. This element should be omitted where a single, discrete fixing date cannot be identified e.g. on an american option, where fixing may occur at any date on a continuous range.

fxSpotRateSource(FxSpotRateSource)

	Specifies the methodology (reference source and, optionally, fixing time) to be used for determining a currency conversion rate.
	Code of price source.

primaryRateSource(InformationSource)

	The primary source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.
	Code of price source.

rateSource(InformationProvider)

An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.