18 02 2021 - Commodities Payout Terms Meeting Minutes

astonGS commented 3 years ago

Date

Thursday,18 02 2021 - 11am ET / 4pm GMT

Untracked attendees

Fullname, Affiliation, GitHub username

Meeting notices

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Agenda

[ ] Convene & roll call (5mins)
[ ] Display FINOS Antitrust Policy summary slide
[ ] Review Meeting Notices (see above)
[ ] Approve past meeting minutes
[ ] Existing OptionPayout Review - Ted (ISDA)/All
[ ] Asian Option fPML Sample Review - Shaun (GS)/All
[ ] AOB, Q&A & Adjourn (5mins)

Discussion Points

-[ ] ISDA walked the group through the existing optionPayout, the price/quantity refactor and the commodities underlier representation that is held within the CDM. During the walkthrough some points were called out:

Quantity Frequency in the Quantity refactor is misrepresented and needs to be updated to be able to represent commodities quantities as a combination of Quantity/Unit/Frequency.
The underlier representation currently holds the terms that allow specification of which nearby contract is being referenced in relation to the benchmark commodity.
ISDA are looking to refactor the existing OptionStyle class within the CDM and could be addressed through this group.
A number of classes were identified as potentially being able to be incorporated into the OptionPayout to cover basic Commodities use case, with those being (PricingDates, Paymentdates & Rounding). This will be explored further in future sessions. -[ ] Group walked through an fPML example of a multi month asian option. It was suggested that optimal approach would be to focus on single period option to start and address multi period at a later date. The example fPML will be updated before the next session to factor this in.

WebEx info

Meeting link: https://finos.webex.com/finos/j.php?MTID=m67d73e1fc1592e699f3cf95d4627de8d
Meeting number: 127 391 7484
Password: JMrsuEmY376
Call-in:
- Join by video system: Dial 1273917484@finos.webex.com. You can also dial 173.243.2.68 and enter your meeting number.
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