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[ ] Group walked through 3 fPML samples of vanilla European Options covering both Cash & Physical Commodities.
[ ] Was identified that there was value in doing the Asian scenario first as the proposal for observations is relevant for certain option scenarios too.
[ ] The existing design of Option with the CDM largely covers the Cash Settled use case for commodities however further thought needs to be given on the Physical side.
[ ] Discussion was raised around the representation of Premium in Commodities which can be given as both a premium per unit (of Commodity) or total premium. Current CDM design allows for both to be represented however thought needs to be given if the Settlement of the premium exists in TradableProduct would handle the calculation of PremiumPerUnit & Quantity to determine the payment. GS & Regnosys to form a proposal on this point.
[ ] The physical scenario of Vanilla European Options has historically been represented in fPML as a Option with an underlying Forward (or Swap). The existing design of OptionPayout in CDM does handle physical settlement however the group will assess if this is appropriate for Commodities or whether a new Payout is potentially required. Additional physical settlement examples will be prepared for next week.
Date
Thursday, 22 04 2021 - 11am ET / 4pm GMT
Untracked attendees
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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