CDM Event Modelling - KnockIn Function

[Vijayesh-Chandel]

CDM Event Modelling - KnockIn Function

As part of Phase 2 of the FX Pilot for Legend Studio, the WG had designed a CDM event function for KnockIn (KI) lifecycle events: See Minutes 9Jul20 for details.

At the time the Studio feature for creating functions was to be built and submission was pending, but now the feature is ready for use.

The following CDM primitives formed the proposed KI function:

• ObservationPrimitive
• ExercisePrimitive

However the CDM event model has since evolved and these primitives are deprecated. As a result, the proposed KI function will need further review and update, and ask is to collaborate on creating a new KI function solution for the CDM.

[JamesR5270]

Hello, happy to get involved - I work for Skylight IPV covering FX options. James

[Vijayesh-Chandel]

Hello, happy to get involved - I work for Skylight IPV covering FX options. James

Hi @JamesR5270, thanks for reaching out, be great to have you onboard. We're working on formalising a working group for this, will keep you posted. Best, Vijay

[rvincentISDA]

Hi, Include me in the thread. Thank you

[markajeffries]

Hi Vijay, I have recently joined Skylight IPV and have taken over from James to head up our FX options service. Can you please include me on this going forwards? Thanks, Mark

[Vijayesh-Chandel]

Hi @markajeffries - yes sure will include yourself. We are currently working through the planning of the WG with FINOS who will share more details soon. Thanks, Vijay

[JBZ-Fragmos]

hi @Vijayesh-Chandel - please include me and let mw know when you want to start working group Thanks Jean-Baptiste

[Vijayesh-Chandel]

hi @Vijayesh-Chandel - please include me and let mw know when you want to start working group Thanks Jean-Baptiste

Thanks @JBZ-Fragmos we'll be in touch on this once good to start

[ffionwiggins]

This will be the first issue tackled in the Structured Products Working Group. Look out for the upcoming invitations.