fpml:commodityOption

Defines a commodity option product. The product support for financially-settled exercises or exercise into physical forward contracts written on precious and non-precious metals. options in FpML is based on the creation of a 'commodityOption' product. The product references the 'commodity' underlyer in order to support the underlying asset of the option.

Element information

Content

• Sequence [1..1]
  from type fpml:Product
  from group fpml:Product.model
  Sequence [0..1]
  1. fpml:primaryAssetClass [0..1]    A classification of the most important risk class of the trade. FpML defines a simple asset class categorization using a coding scheme.
  2. fpml:secondaryAssetClass [0..*]    A classification of additional risk classes of the trade, if any. FpML defines a simple asset class categorization using a coding scheme.
  3. fpml:productType [0..*]    A classification of the type of product. FpML defines a simple product categorization using a coding scheme.
  4. fpml:productId [0..*]    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.
  5. fpml:embeddedOptionType [0..2]    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.
  1. fpml:optionType [1..1]    The type of option transaction.
  2. Choice [1..1]
     from group fpml:CommodityFinancialOption.model
     Sequence [1..1]
     1. fpml:commodity [1..1]    Specifies the underlying instrument. Usual content is an ISDA Commodity Reference Price Name. The 'commodity' underlyer component is specified using a reference to the 'commodity' asset (see description above at the Commodity Underlyer section).
     from group fpml:CommodityOptionFeatures.model
     Sequence [0..1]
     1. fpml:effectiveDate [1..1]    The effective date of the Commodity Option Transaction. Note that the Termination/Expiration Date should be specified in expirationDate within the CommodityAmericanExercise type or the CommodityEuropeanExercise type, as applicable.
     2. fpml:terminationDate [0..1]    Specifies the termination date of the Commodity Option Transaction. In some confirmations this will be indicated as the second date in "Option Term" or "Term". Note: If provided, terminationDate should not be before specified expirationDate within the CommodityAmericanExercise type or the CommodityEuropeanExercise type.
     from group fpml:CommodityAsian.model
     Sequence [0..1]
     1. fpml:calculationPeriodsSchedule [0..1]    A parametric representation of the Calculation Periods of the Commodity Option Transaction.
     2. fpml:pricingDates [0..1]    The dates on which the option will price.
     3. fpml:averagingMethod [0..1]    The Method of Averaging if there is more than one Pricing Date.
     from group fpml:CommodityNotionalQuantity.model
     fpml:notionalQuantity [1..1]    The Notional Quantity.
     fpml:totalNotionalQuantity [1..1]    The Total Notional Quantity.
     2. fpml:exercise [1..1]    The parameters for defining how the commodity option can be exercised and how it is settled.
     3. Choice [0..1]
        from group fpml:CommodityStrikePrice.model
        fpml:strikePricePerUnit    The currency amount of the strike price per unit.
        from group fpml:CommodityFloatingStrikePrice.model
        fpml:floatingStrikePricePerUnit    The currency amount of the strike price per unit.
     from group fpml:CommodityPhysicalOption.model
     Sequence [1..1]
     1. fpml:commodityForward [1..1]    Defines a commodity forward product.
     2. fpml:physicalExercise [1..1]    The parameters for defining how the commodity option can be exercised into a physical transaction.
     from group fpml:CommodityWeatherOption.model
     Sequence [1..1]
     1. fpml:effectiveDate [1..1]    Effective date of an option.
     from group fpml:WeatherCalculationPeriod.model
     fpml:weatherCalculationPeriods [1..1]    
     2. fpml:weatherNotionalAmount [0..1]    
     3. fpml:exercise [1..1]    
     4. fpml:weatherIndexStrikeLevel [1..1]    Weather Index strike price level is specified in terms of weather index units (e.g. 1 Days, 3 Inches, etc.)
     5. fpml:calculation [0..1]    Contains parameters which figure in the calculation of payments on a Weather Index Option.
     6. fpml:weatherIndexData [0..1]    Specifies where the data (e.g. CPD) have been collected, an actual physical reference point (weather station) and various fall back arrangements.
  3. fpml:premium [1..*]    The option premium payable by the buyer to the seller.

Attributes

Used in

• Type fpml:Strategy
• Type fpml:PhysicalSettlement (Element fpml:physicalSettlement)
• Type fpml:Trade (Elements fpml:trade, fpml:originalTrade, fpml:resultingTrade, fpml:trade, fpml:originalTrade, fpml:oldTrade, fpml:trade, fpml:feeTrade, fpml:newTrade, fpml:oldTrade, fpml:trade, fpml:trade)

Substitution hierarchy

• fpml:product
  • can be substituted with fpml:commodityOption

Sample instance

<commodityOption>
   <primaryAssetClass>Commodity</primaryAssetClass>
   <productType>Commodity:Energy:NatGas:Option:Cash</productType>
   <optionType>Put</optionType>
   <commodity>
      <instrumentId instrumentIdScheme="http://www.fpml.org/coding-scheme/commodity-reference-price-1-0">OIL-WTI-NYMEX</instrumentId>
      <specifiedPrice>Settlement</specifiedPrice>
      <deliveryDates>FirstNearby</deliveryDates>
   </commodity>
   <effectiveDate>
      <adjustableDate>
         <unadjustedDate>2007-06-01</unadjustedDate>
      </adjustableDate>
   </effectiveDate>
   <calculationPeriodsSchedule id="CalculationPeriods">
      <periodMultiplier>1</periodMultiplier>
      <period>M</period>
   </calculationPeriodsSchedule>
   <pricingDates>
      <dayDistribution>All</dayDistribution>
      <calendarSource>ListedOption</calendarSource>
   </pricingDates>
   <notionalQuantity>
      <quantityUnit>BBL</quantityUnit>
   </notionalQuantity>
   <totalNotionalQuantity>15000</totalNotionalQuantity>
   <exercise>
      <europeanExercise>
         <expirationDate>
            <adjustableDate>
               <unadjustedDate>2007-06-30</unadjustedDate>
            </adjustableDate>
         </expirationDate>
      </europeanExercise>
   </exercise>
   <strikePricePerUnit>
      <currency>USD</currency>
      <amount>88</amount>
   </strikePricePerUnit>
   <premium>
      <paymentAmount>
         <currency>USD</currency>
         <amount>32000</amount>
      </paymentAmount>
      <premiumPerUnit>
         <currency>USD</currency>
         <amount>2.13</amount>
      </premiumPerUnit>
   </premium>
</commodityOption>