Compression Event in CDM

ffionwiggins commented 3 years ago

CapitalLab are keen to expand the CDM Events to include processes required for completing cross industry compression and aggregation.

Description of Problem:

The CDM is the right place to hold the business event logic for industry compressions, yet today it doesn't have the complete representation to facilitate the process.

Potential Solutions:

Using current primitives (and considering some new) it is felt the business events needed to complete cross industry compressions, from data pulls to aggregation and facilitating the communication of input and output files can be build and contributed to the CDM.

gjackson-cl commented 3 years ago

Portfolio Extract

A compression cycle begins with an extract of the derivative contract details in scope for the exercise. For example for interest rate options:

legal entity
counterparty legal entity
notional currency
notional amount
expiry date
underlying swap start date
underlying swap end date etc.

Currently this is generally provided as an Excel file (xlsx / csv) line-item extract, with one row per derivative contract. Instead this could be automated via CDM:

"pull" rather than "push": the compression vendor ideally could perform the portfolio extract on their users' behalves (suitably permissioned)
automated extract: ideally little to no development work would be required at each participant: only support of CDM

Compression Results

The output of a compression cycle is a list of trade unwinds / amendments / replacement trades, which similarly could be automated via CDM, as opposed to using an xlsx / csv type format.

nigelcobb commented 2 years ago

The CDM Business Event model has been adjusted to work based on the CDM design principles of composability reusability. This means that a broader range of business events can be supported in the CDM without the need for creating BusinessEvent creation functions that are specific to each one. For the Compression Results component there will be a visualisation added to the CDM shortly that demonstrates the approach. Happy to talk to the design decisions previously made at the CDM ARC and current plans for the event model at a future Financial Objects SIG meeting. As well as the areas where help is needed.

ffionwiggins commented 2 years ago

Thanks Nigel, would be great to include this in next months meeting. Will be in touch nearer the time.

finos / financial-objects