Non deliverable options - FixingDate, FixingTime, fixingSource



Imported from previous forum


For non deliverable options, where there could be difference between expiry date and fixing date as well as to emphasize the difference, I would like to suggest establishing a separate set of fields for InstrumentLeg component.

LegFixingDate - The date on which the rate is used for which the settlement amount is calculated / the comparison between the NDF / NDO rate and the prevailing spot rate is made.

LegFixingTime - explicit time for fixing date.

Add party role to reflect fixing source.

LegMaturityDate (611) can reflect expiry date
LegMaturityTime (1212) can reflect expiry time

In a similar way add to instrument component block fixingDate and FixingTime.

Input is welcome.


Was there ever any movement on this?