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.
[ ] 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)
Discussion Points
[ ] 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.
Date
Thursday, 11 03 2021 - 11am ET / 4pm GMT
Untracked attendees
Meeting notices
FINOS Project leads are responsible for observing the FINOS guidelines for running project meetings. Project maintainers can find additional resources in the FINOS Maintainers Cheatsheet.
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
WebEx info