EP092 – GDC Complex Derivatives Extension and CME Exotic Option Model

This extension pack includes support for a wide variety of complex options. Complex options are used to extend trading and risk management capabilities in both the central market place and the OTC arena.

Creates an extensible instrument-definition model for complex options. New Instrument fields describe strike determination, strike boundaries, underlying-price determination and payout type. Repeating ComplexEvent, ComplexEventDate and ComplexEventTime components model an unlimited number of triggers, barriers, payouts, event relationships, effective dates and intraday time ranges. The proposal draws on FpML-like concepts while defining native FIX fields and components.