[This message was posted by Jim Northey of The LaSalle Technology Group <[email protected]> to the "Foreign Exchange" discussion forum at http://fixprotocol.org/discuss/1. You can reply to it on-line at http://fixprotocol.org/discuss/read/b6e07153 - PLEASE DO NOT REPLY BY MAIL.]
Nathan These are covered within the current FX OTC Options proposal. A Delta Basis field is proposed with three values: 0-unhedged 1-Spot hedge 2-Forward hedge Right now, and I am not sure I am 100% on board with this - but I have been reassured by many more knowledgeable than myself that placing the greeks within the stipulations component is the right approach - so that is what we have proposed. We almost put in the options pricing derivatives (greeks) in 4.4 and I pulled it at the last minute. I have modeled a separate component for them more than once and have been hesitant to move forward with the recommendation. Ambivalence abounds. Please see the GFXC Tech Subcommittee draft for FX Options for further information. Feedback always appreciated. > Has anybody run accross the need to specify forward delta as opposed to spot > delta? > We only have PriceDelta [811], should we introduce delta type? > > We may think of a block for greeks with value and value type pairs. > [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] -- You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/fix-protocol?hl=en.
