Hi-
I am attempting to create a FIX model around Target Redemption Forward. This is an FX Option product with multiple fixing schedules with Sides / Option Type, for instance : 1. Expiry Date : 18th Jan, 18th Dec, 18th Nov, 18th Oct,
2. Delivery Date : 25th Jan, 25th Dec, 25th Nov, 25th Oct
3. PutorCall : Call, Put, Put, Call
4. Side : Buy, Sell, Buy, Sell
5. Strike : 1.3, 1.5. 1.75, 1.62
I tried mapping these to Complex Events but then only the ComplexEventDate is repeatable, the Strike Price, OptionType etc.
Is there a study on TARF exotic option from FIX that i could look at?