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[ ] ISDA ARC Feedback on Quantity Frequency & AveragingObservation Changes
[ ] Begin Options Strategies Discussion
[ ] Deferred Item to 6th May - Continued Physical European Option Discussion
Discussion Points
[ ] Feedback on ARC Proposals 1) Quantity Frequency: Group were advised that the proposed change relating to quantity frequency has been approved by the ISDA ARC & means that additions of 'DayType' to the Frequency object and a number enum of 'H' (Hour) will be added to periodExtendedEnum. 2) The proposals to refactor the current averaging feature are still open with the ARC. The reviews yielded question marks over the broader representation of date parameters within the CDM that need to be considered in line with the AveragingObservation changes.
[ ] Option Strategies Discussion: Group talked through different methods in how option strategies with multiple components could be represented. There were 2 possible approaches identified, i) leverage multiple optionPayouts within a single contract & ii) link multiple contracts via some form of identifier. The general consensus was the the first approach makes most sense and this is in line with other standard practices for representing structures/packages in the industry. The topic is due to continued to be discussed in future sessions so a finalized view can be formed and fed back into ISDA.
[ ] GS to takeaway and provide example scenarios of physical option contracts (deferred item) & also additional potential scenarios for options strategies for added context.
Date
Thursday, 29 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
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