11 03 2021 - Commodities Payout Terms Meeting Minutes

astonGS commented 3 years ago

Date

Thursday, 11 03 2021 - 11am ET / 4pm GMT

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[ ] Convene & roll call (5mins)
[ ] Display FINOS Antitrust Policy summary slide
[ ] Review Meeting Notices (see above)
[ ] Approve past meeting minutes
[ ] Agree on Proposals for ISDA ARC Meeting next week:
- [ ] Frequency Extensions: DayType Addition, Enum Additions
- [ ] PricingDates representation in ObservationDates
- [ ] Rounding?
[ ] Asian Option Multi Period - Discussion
[ ] AOB, Q&A & Adjourn (5mins)

[ ] Previous meeting minutes approved
[ ] Frequency Extension: Group agreed on the proposed addition of DayType to the Frequency object to give the differentiation between business and calendar days. There was a number of different views in terms of how the Enum Additions should be added to the existing Period and PeriodExtended Enum objects. The group agreed that Period would be let unchanged and new additions that are needed for the commod use case would be captured in PeriodExtendedEnum.
[ ] Rounding - proposal to add a RoundingRuleType to the rounding object in order to be able to represent the different points applied in the calculation was agreed.
[ ] Rounding & Frequency Enhancements to be proposed to ISDA ARC in next session.
[ ] PricingDates topic was discussed and will require further discussion in the future sessions. The discussion focused predominantly on 1. where in AveragingRateFeature the attributes should sit 2. if the existing parametricDates class is leveraged or instead just add the required attributes themselves to an existing class.

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agitana commented 3 years ago

Irina Yermakova / ISDA Jim Wang / Regnosys Jing Wu / GS

Vijayesh-Chandel commented 3 years ago

Hello

RichardWagener365 commented 3 years ago

hi

TSanborn-ISDA commented 3 years ago

Hi everyone!

astonGS commented 3 years ago

Minutes approved.