25 02 2021 - Commodities Payout Terms Meeting Minutes

astonGS commented 3 years ago

Date

Thursday, 25 02 2021 - 11am ET / 4pm GMT

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[ ] Group walked through the updated fPML example which represents a single period Asian Option.
[ ] Discussion around how quantity/unit/frequency should be represented and suggestions were made to re-adjust the refactored quantity class to bring the frequency out of the unit class and directly within quanitity. Proposals will be put together for next weeks session.
[ ] The topic of how strike and premium are represented was discussed and it was explained that both will leverage the price refactor in the new version of the model.
[ ] Initial model additions were proposed to cover the commodities use case. PaymentDates class that was proposed is captured elsewhere on the model so not required. PricingDates which is a specific Commodities class needs more thought before next weeks session. Initial proposal regarding rounding looks like it fits into the CDM principles, will dive into this in more detail in future sessions.

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