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Contents
Overview Key ISDA CDM Structures FpML to CDM Conversion Special Considerations

Exotic - FX Digital Option

Exotic - FX Digital Option Documentation

Overview

The Exotic_FXDigitalOptionCDMMapper class is responsible for mapping FpML (Financial Products Markup Language) FX Digital Options to the ISDA Common Domain Model (CDM) format. A digital option (also known as a binary option) pays out a fixed amount if certain conditions are met at expiry.

Key ISDA CDM Structures

The following key ISDA CDM structures are important for this mapper:

  1. Trade - The top-level container for trade information

    • Contains trade date, identifiers, parties, and tradable product

  2. TradeIdentifier - Identifies the trade uniquely

    • Contains issuer and identifier values

  3. TradableProduct - Represents the tradable product

    • Contains product information and counterparty details

  4. OptionPayout - Represents the digital option terms

    • Contains exercise terms, expiration details, and payout conditions

  5. ExerciseTerms - Defines when and how the option can be exercised

    • Contains exercise style (European) and expiration details

  6. EuropeanExercise - Specifies European exercise style details

    • Contains expiration date and time

  7. BusinessCenterTime - Defines the expiration time details

    • Contains time and business center information

FpML to CDM Mapping

Main Mapping Structures

FpML Element/StructureCDM Class/StructureContext
<trade>TradeTop-level trade container
<tradeHeader>Fields in TradeContains trade date and identifiers
<fxDigitalOption>TradableProduct with OptionPayoutDigital option-specific information
<europeanExercise>EuropeanExercise in OptionStyleExercise terms
<expiryTime>BusinessCenterTime in EuropeanExerciseExpiration time details

Detailed Element Mapping

FpML ElementCDM FieldParent CDM ClassType
<tradeDate>tradeDate.valueTradeDate
<partyTradeIdentifier>/<tradeId>tradeIdentifier[].assignedIdentifier[].identifier.valueTradeString
<buyerPartyReference>payerReceiver.payerOptionPayoutCounterpartyRoleEnum
<sellerPartyReference>payerReceiver.receiverOptionPayoutCounterpartyRoleEnum
<expiryDate>expirationDate.adjustableDate.unadjustedDateEuropeanExerciseDate
<expiryTime>/<hourMinuteTime>expirationTime.hourMinuteTimeEuropeanExerciseString
<expiryTime>/<businessCenter>expirationTime.businessCenterEuropeanExerciseString

Special Considerations

Implementation Details

  1. Exercise Style: The mapper handles European-style exercise, which means the option can only be exercised at expiration.

  2. Expiration Time: The mapper processes both time and business center information for accurate expiration timing.

  3. Business Center: The business center is used to determine the time zone and business day calendar for expiration.

  4. Digital Payout: The mapper handles the fixed payout amount that occurs if the option expires in-the-money.

  5. Party Roles: The mapper maintains clear buyer/seller relationships which determine who pays and receives the digital payout.