08 04 2021 - Commodities Payout Terms Meeting Minutes

astonGS commented 3 years ago

Date

Thursday, 08 04 2021 - 11am ET / 4pm GMT

Untracked attendees

Fullname, Affiliation, GitHub username

Meeting notices

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Agenda

[ ] Convene & roll call (5mins)
[ ] Display FINOS Antitrust Policy summary slide
[ ] Review Meeting Notices (see above)
[ ] Approve past meeting minutes
[ ] ARC Feedback on Quantity Frequency Proposal
[ ] Continued Discussion on PricingDates Enhancement

Discussion Points

[ ] Quantity Frequency - initial proposal to ISDA ARC was to add DayType to existing CDM Frequency type (to differentiate Business and Calendar Days), and new enum 'H' (hour) to periodExtendedEnum. There were some points raised from the ARC suggesting that the usage of the 'Frequency' data type itself may not be correct here however the ARC discussion was not closed off so will need to be revisited in that forum before finalized feedback needs to be considered by this group. Members who were involved in that design did not receive any opposition at the time however the usage may have been expanded. This will be revisited post next discussion with ARC.
[ ] An additional question was raised in relation the the Business Day Convention that is applied to dates within the model and whether the model caters for it in relation to the different day types that can be used. It was demonstrated that the BDC is handled in multiple places within the model and also at the contract level which is used if not other BDC is specified at a sub level.
[ ] PricingDates: Group walked through the 3 fPML samples of pricingDates to give context of the potential enhancement that is needed within AveragingRateFeature to handle the Commodities use case. Currently within the existing design, ObservationDates object is used to specify either specific dates when a price is observed or periodic dates that would specify a frequency within a time period. The commodities use case for Asian options requires both the CalculationPeriods (frequency/interval the calculation is measured within the term of the contract) and the PricingDates (the specific/relative dates that the price is observed WITHIN each calculation period). This conflicts with the existing design and the group discussed through potential changes that would handle both the existing use case and the proposed commodities use case. Discussion was left open on proposal to potentially add CalculationPeriodDates to the AveragingRateFeature, remove PeriodicDates & add ParametricDates to ObservationDates. To be picked up again next week.
[ ] Takeaway: GS to share discussion material & examples.

WebEx info

Meeting link: https://finos.webex.com/finos/j.php?MTID=m67d73e1fc1592e699f3cf95d4627de8d
Meeting number: 127 391 7484
Password: JMrsuEmY376
Call-in:
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