ExerciseTerms

Type CDM 7.2.0

A class defining the exercise period for an option together with any rules governing the notional amount of the underlying which can be exercised on any given exercise date and any associated exercise fees.

Extends —

Extended by —

Attributes 14

Namespace cdm.product.template

Attributes

All 14 declared on ExerciseTerms. Cardinality in amber is required.

Name	Type	Card.	Description
style	OptionExerciseStyleEnum	0..1	Whether the option has a single exercise (european), multiple exercise dates (bermuda), or a continuous range of exercise (american).
commencementDate	AdjustableOrRelativeDate	0..1	The first day of the exercise period for an American style option.
exerciseDates	AdjustableOrRelativeDates	0..1	The dates that define the Bermuda option exercise dates and the expiration date. The last specified date is assumed to be the expiration date. The dates can either be specified as a series of explicit dates and associated adjustments or as a series of dates defined relative to another schedule of dates, for example, the calculation period start dates. Where a relative series of dates are defined the first and last possible exercise dates can be separately specified.
expirationDate	AdjustableOrRelativeDate	0..*	The last day within an exercise period for an American style option. For a European style option it is the only day within the exercise period.
relevantUnderlyingDate	AdjustableOrRelativeDates	0..1	The effective date on the underlying product if the option is exercised. For example, for a swaption it is the swap effective date, for an option on an FX spot or forward it is the value date for settlement, and in an extendible/cancelable provision it is the swap termination date, which is the date on which the termination is effective.'
earliestExerciseTime	BusinessCenterTime	0..1	The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) to, and including, the expiration date.
latestExerciseTime	BusinessCenterTime	0..1	For a Bermuda or American style option, the latest time on an exercise business day (excluding the expiration date) within the exercise period that notice can be given by the buyer to the seller or seller's agent. Notice of exercise given after this time will be deemed to have been given on the next exercise business day.
expirationTime	BusinessCenterTime	0..1	The latest time for exercise on expirationDate. It is made mandatory given that for all option styles, this field is required.
expirationTimeType	ExpirationTimeTypeEnum	1..1	The time of day at which the equity option expires, for example the official closing time of the exchange.
multipleExercise	MultipleExercise	0..1	As defined in the 2000 ISDA Definitions, Section 12.4. Multiple Exercise, the buyer of the option has the right to exercise all or less than all the unexercised notional amount of the underlying swap on one or more days in the exercise period, but on any such day may not exercise less than the minimum notional amount or more that the maximum notional amount, and if an integral multiple amount is specified, the notional amount exercised must be equal to, or be an integral multiple of, the integral multiple amount.
exerciseFeeSchedule	ExerciseFeeSchedule	0..1	The fees associated with an exercise date. The fees are conditional on the exercise occurring. The fees can be specified as actual currency amounts or as percentages of the notional amount being exercised.
exerciseProcedure	ExerciseProcedure	0..1	The set of parameters defining the procedure associated with the exercise, e.g. manual exercise.
exerciseFee	ExerciseFee	0..1	A fee to be paid on exercise. This could be represented as an amount or a rate and notional reference on which to apply the rate.
partialExercise	PartialExercise	0..1	As defined in the 2000 ISDA Definitions, Section 12.3. Partial Exercise, the buyer of the option has the right to exercise all or less than all the notional amount of the underlying swap on the expiration date, but may not exercise less than the minimum notional amount, and if an integral multiple amount is specified, the notional amount exercised must be equal to, or be an integral multiple of, the integral multiple amount.

Conditions

Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.

ExerciseDateExpirationDateChoice Condition

Required choice rule between exercise dates and expiration date. The exerciseDates field can be used to extract the expiration date of a bermuda option, while the expirationDate field refers to the expiration date of an american or european option.

required choice exerciseDates, expirationDate

CommencementAndExpirationDate Condition

Condition to check that expiration date is present when commencement date is present.

if commencementDate exists then expirationDate exists

AmericanExercise Condition

Condition to check that only fields expected for an american option are present.

if style = OptionExerciseStyleEnum -> American
then commencementDate exists
        and exerciseFee is absent
        and partialExercise is absent
        and expirationDate count = 1

EuropeanExercise Condition

Condition to check that only fields expected for a european option are present.

if style = OptionExerciseStyleEnum -> European
then expirationDate exists
        and exerciseFeeSchedule is absent
        and multipleExercise is absent
        and latestExerciseTime is absent
        and commencementDate is absent

BermudaExercise Condition

Condition to check that only fields expected for a bermuda option are present.

if style = OptionExerciseStyleEnum -> Bermuda
then exerciseDates exists
        and earliestExerciseTime exists
        and partialExercise is absent
        and exerciseFee is absent

ExpirationTimeChoice Condition

Condition to validate the correlation between expirationTime and expirationTimeType

(if expirationTime exists
then expirationTimeType = ExpirationTimeTypeEnum -> SpecificTime
        and if expirationTimeType = ExpirationTimeTypeEnum -> SpecificTime
            then expirationTime exists)

Referenced by

4 types hold an ExerciseTerms as an attribute.

CancelableProvision ExtendibleProvision OptionPayout OptionalEarlyTermination

Functions

Model functions that produce or consume this type. These are the CDM's own behaviour — the logic a correct implementation has to match.

Function	Role	Description
MapExerciseTerms	returns	—
MapCommodityPhysicalEuropeanExercise	returns	—
MapEuropeanExerciseTerms	returns	—
MapEquityEuropeanExerciseTerms	returns	—
MapCommodityEuropeanExerciseTerms	returns	—
MapFxEuropeanExerciseTerms	returns	—
MapBermudaExerciseTerms	returns	—
MapEquityBermudaExerciseTerms	returns	—
MapAmericanExerciseTerms	returns	—
MapEquityAmericanExerciseTerms	returns	—
MapCommodityAmericanExerciseTerms	returns	—
MapFxDigitalAmericanExercise	returns	—

Showing 12 of each. All 1286 functions →

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Parsed from CDM 7.2.0 · product-template-type.rosetta cdm.product.template