fpml:asian

An option where and average price is taken on valuation.

Element information

Content

• Sequence [1..1]
  1. fpml:averagingInOut [1..1]    
  2. fpml:strikeFactor [0..1]    The factor of strike.
  3. fpml:averagingPeriodIn [0..1]    The averaging in period.
  4. fpml:averagingPeriodOut [0..1]    The averaging out period.

Attributes

None

Used in

• Group fpml:OptionFeature.model
• Type fpml:OptionFeatures (Element fpml:feature)
• Type fpml:OptionFeature via reference to fpml:OptionFeature.model (Element fpml:feature)

Sample instance

<asian>
   <averagingInOut>Out</averagingInOut>
   <averagingPeriodOut>
      <averagingDateTimes>
         <dateTime>2000-08-01T08:57:00</dateTime>
         <dateTime>2000-09-01T08:57:00</dateTime>
         <dateTime>2000-10-01T08:57:00</dateTime>
         <dateTime>2000-11-01T08:57:00</dateTime>
         <dateTime>2000-12-01T08:57:00</dateTime>
         <dateTime>2001-01-04T08:57:00</dateTime>
         <dateTime>2001-02-01T08:57:00</dateTime>
         <dateTime>2001-03-01T08:57:00</dateTime>
      </averagingDateTimes>
      <marketDisruption>ModifiedPostponement</marketDisruption>
   </averagingPeriodOut>
</asian>