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[ ] 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.
Date
Thursday,18 02 2021 - 11am ET / 4pm GMT
Untracked attendees
Meeting notices
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All participants in FINOS project meetings are subject to the LF Antitrust Policy, the FINOS Community Code of Conduct and all other FINOS policies.
FINOS meetings involve participation by industry competitors, and it is the intention of FINOS and the Linux Foundation to conduct all of its activities in accordance with applicable antitrust and competition laws. It is therefore extremely important that attendees adhere to meeting agendas, and be aware of, and not participate in, any activities that are prohibited under applicable US state, federal or foreign antitrust and competition laws. Please contact legal@finos.org with any questions.
FINOS project meetings may be recorded for use solely by the FINOS team for administration purposes. In very limited instances, and with explicit approval, recordings may be made more widely available.
Agenda
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:
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