Transition to HTTPS July 19 – Be advised that the FpML website has transitioned to secure HTTP on July 19. URLs are now forwarded to HTTPS automatically. Please make sure you update any internal implementation relying on HTTP URLs accordingly. For further information please email info@fpml.org
We are new to FpML and are currently trying to model a physical power option using the commoditySwaption model. It seems to be a reasonable start according to the product architecture 16.5 and indeed it allows to capture most deal information. However, we were unable to see if we an define a strike price.
Would commoditySwaption be the correct product to use when modelling a physical power option and if yes, where would be the best place to capture the strike information?
just my personal opinion: if your are using “commoditySwaption” you are defining an option on a swap. In this case the strike price is the price of the fixed leg of the swap.
If you are using “commodityOption” instead the strike price should be defined as per group “CommodityStrikePrice.model” or “CommodityFloatingStrikePrice.model”
