fpml:pricingDates

The dates on which the option will price.

Element information

Content

• Sequence [1..1]
  from group fpml:CommodityCalculationPeriodsPointer.model
  Choice [1..1]
  • fpml:calculationPeriodsReference    A pointer style reference to the Calculation Periods defined on another leg.
  • fpml:calculationPeriodsScheduleReference    A pointer style reference to the Calculation Periods Schedule defined on another leg.
  • fpml:calculationPeriodsDatesReference    A pointer style reference to single-day-duration Calculation Periods defined on another leg.
  1. Choice [1..1]
     • Sequence [1..1]
       1. fpml:lag [0..1]    The pricing period per calculation period if the pricing days do not wholly fall within the respective calculation period.
       2. Choice [1..1]
          • Sequence [1..1]
            from group fpml:PricingDays.model
            fpml:dayType [1..1]    The type of day on which pricing occurs.
            Choice [1..1]
            • Sequence [1..1]
              1. fpml:dayDistribution [1..1]    The method by which the pricing days are distributed across the pricing period.
              2. fpml:dayCount [0..1]    The number of days over which pricing should take place.
            • Sequence [1..1]
              1. fpml:dayOfWeek [1..7]    The day(s) of the week on which pricing will take place during the pricing period.
              2. fpml:dayNumber [0..1]    The occurrence of the dayOfWeek within the pricing period on which pricing will take place, e.g. the 3rd Friday within each Calculation Period. If omitted, every dayOfWeek will be a pricing day.
            1. fpml:businessCalendar [0..1]    Identifies a commodity business day calendar from which the pricing dates will be determined.
            2. fpml:calendarSource [0..1]    Used in conjunction with an exchange-based pricing source. Identifies a date source calendar from which the pricing dates and thus roll to the next contract will be based off (e.g. pricing is based on the NYMEX WTI First Nearby Futures Contract, if “Future” is chosen, the pricing will roll to the next futures contract on expiration, if “ListedOption” is chosen, the pricing will roll to the next futures contract on the Option expiration date which is three business days before the expiration of the NYMEX WTI futures contract.) Omitting this element will result in the default behavior expected with the pricing source described within the commodity element.
          • fpml:settlementPeriods [1..*]    Specifies a set of Settlement Periods associated with an Electricity Transaction for delivery on an Applicable Day or for a series of Applicable Days.
          • fpml:settlementPeriodsReference [1..*]    Allows a set of Settlement Periods to reference one already defined elsewhere in the trade structure.
     • fpml:pricingDates [1..*]    A list of adjustable dates on which the trade will price. Each date will price for the Calculation Period within which it falls.

Attributes

Used in

• Group fpml:CommodityAsian.model
• Group fpml:CommodityFinancialOption.model via reference to fpml:CommodityAsian.model
• Group fpml:CommodityOptionFeatures.model via reference to fpml:CommodityAsian.model
• Type fpml:CommodityOption via reference to fpml:CommodityFinancialOption.model (Element fpml:commodityOption)

Sample instance

<pricingDates>
   <calculationPeriodsScheduleReference href="floatingLegCalculationPeriods"/>
   <dayType>CommodityBusiness</dayType>
   <dayDistribution>Last</dayDistribution>
   <businessCalendar>NYMEX-NATURAL-GAS</businessCalendar>
</pricingDates>