fpml: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.)

Element information

Content

• Sequence [1..1]
  from type fpml:SwapCurveValuation
  from group fpml:FloatingRateIndex.model
  fpml:floatingRateIndex [1..1]    
  fpml:indexTenor [0..1]    The ISDA Designated Maturity, i.e. the tenor of the floating rate.
  fpml:spread [1..1]    Spread in basis points over the floating rate index.
  fpml:side [0..1]    The side (bid/mid/ask) of the measure.
  1. fpml:interpolationMethod [0..1]    The type of interpolation method that the calculation agent reserves the right to use.
  2. fpml:earlyCallDate [1..1]    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.

Attributes

None

Used in

• Type fpml:ReferenceSwapCurve (Element fpml:referenceSwapCurve)

Sample instance

<makeWholeAmount>
   <floatingRateIndex>EUR-LIBOR-BBA</floatingRateIndex>
   <spread>85</spread>
   <side>Bid</side>
   <interpolationMethod>LinearZeroYield</interpolationMethod>
   <earlyCallDate>2006-07-19</earlyCallDate>
</makeWholeAmount>