Proposed CDM amendments for Equity Products

[winitall01]

Background

Following proposal is to make amendments for Equity Products

Issue 1: Zero Strike option

Problem Statement: in PriceSchedule, Positive Price condition requires Cash Price to be greater than 0. This causes a CDM error for Zero Strike Option products:

Proposal: Relax the Positive Price condition to allow to 0

Issue 2: Quantity Condition in Payout

Problem Statement: in type Payout, Quantity condition expects a priceQuantity or interestRatePayout legs only. For FX Options, there’re no interestRatePayout legs, hence this condition throws an error for FX Options.

Proposal: Add foreignExchange check in condition Quantity

Issue 3 cardinality of expirationTime

Problem Statement: in type ExerciseTerms, expirationTime has a mandatory cardinality (1..1). For FX Options, there’s no fix expirationTime.

Proposal: relax expirationTime cardinality rule. Also, add a condition to require expirationTimeType when expirationTime exists or vice versa (to be added to AmericanExercise, BermudaExercise and EuropeanExercise)

in CDM Prod 6 - ExerciseTerms

Issue 4: Currently, there’re no qualification functions for Equity Forwards

Proposal: Add following Qualification functions:
Qualify_EquityForward_PriceReturnBasicPerformance_SingleName
Qualify_EquityForward_PriceReturnBasicPerformance_SingleIndex
Qualify_EquityForward_PriceReturnBasicPerformance_Basket

Issue 5: Equity Option requires check for fxFeature.

Problem Statement: Currently, FX Option does not qualify from the existing functions
Proposal: Add Quanto and Composite check for Equity Option in the following functions:
Qualify_EquityOption_PriceReturnBasicPerformance_SingleName
Qualify_EquityOption_PriceReturnBasicPerformance_Index
Qualify_EquityOption_PriceReturnBasicPerformance_Basket