finos/common-domain-model

CDM Derivatives Products and Business Events Working Group - May 8th, 2024

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eteridvalishvili commented

CDM Derivatives Products and Business Events Working Group Minutes

Meeting Host: David Shone, ISDA

May 8th, 2024 - 11:30 am EST / 4:30 pm BST

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Agenda

Minutes

Discussions

  • Some agenda items were deferred to the next meeting when JB can attend
    o FRAGMOS – remove condition "PrincipalAmount" that forces PrincipalAmount to exist inside PrincipalPayment #2163
    o fixedPricePayout – continuation of discussion on usage (JBZ Fragmos) [see comments from email to DPBE dist ]
    o commodityPayout – does “delivery” need refactoring (JBZ Fragmos) [see comments from email to DPBE dist ]

  • Proposed modification of AmericanExercise condition under ExerciseTerms #2913 (Roger Guitart TH)
    o AmericanExercise condition update #2914
     The proposal was approved for implementation
     Discussions:
    • Background: A refactoring of the optionPayout that was done some time ago.
    o As part of changing the model to be more generic expirationDate now can appear multiple times for things like Bermuda options. it was noticed that the condition for the American exercise was not restrictive enough because it allows multiple expiration dates. So for American exercise, it makes sense to add this condition and only have one expiration date as we would expect for American options.
    • Harry thought that we had discrete models for each European, Bermudan and American exercise style. He always thoughts the changes to the exerciseTerms was a mistake that’s why he opposed it originally. The refactoring opened the door to issues like the one we’re discussing.
    o You could argue that every day and the term of an American exercise period is an expiration date. It's a calculation of daily expirations. That’s not we need here.
     The way that we understand it is the expiration date means the final expiration date of the American exercise period. So you have the opportunity for continuous exercise period from the commencement date through to the expiration date.
    o That means something different from expiration date under European exercise or expiration date under Bermudan exercise, where you have multiple opportunities at intervals to do the exercise. The only situation under which you get multiple expiration dates, though the only meaningful one will be Bermuda exercise where you have opportunities to exercise at intervals, e.g. yearly intervals.
    o With the refactoring done and as it is, we do need the proposed modification of the condition provided we understand expiration date as meaning the final expirationDate in the context of an American.

  • AOB - None

Action Items

Zoom info

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manucarreramoreno commented

Manuel Carrera / TradeHeader

lolabeis commented

Leo Labeis / REGnosys

mgratacos commented

Marc Gratacos / TradeHeader

rogerguitart commented

Roger Guitart / TradeHeader

HajnalOB commented

Hajnal /Regnosys

llynhiavu commented

Lyteck Lynhiavu / ISDA