FpML Issues Tracker

1253: Future Hedge Cross on Equity Index Option Trade

June 25, 2018

closed

Tweak

Have not tried

Architecture

mgratacos

mgratacos

Summary

Hi All, How to inlude Delta Cross (future/hedge) as part of the Equity Index Option Trade? SWBML (MarkitWire) have swExtendedTradeDetail contains deltacross details, IS there counterpart as part of FPML? Thanks in advance.

http://www.fpml.org/forums/topic/delta-cross/

http://www.fpml.org/forums/topic/future-hedge-cross-on-equity-index-option-trade/

Notes:

  • mgratacos

    10/10/18 12:07 pm

    Assigned to me.

  • lyteck

    10/10/18 5:03 pm

    assigned to mgratacos

  • mgratacos

    07/15/19 9:41 am

    Minutes AWG 2019-06-27

    • Participants didn’t know how to represent this product. We couldn’t add anything.

  • mgratacos

    07/18/19 12:00 pm

    Minutes AWG 2019-07-18

    • These are represented as two separate trades linked together or as a strategy with two separate products.
    • Some firms are representing them in three parts: generic/header part with aggregate valuation and two separate transactions.
    • In any case, from a reporting perspective they are reported as two separate transactions.
    • There are multiple ways to represent this in FpML but currently there is no specific delta cross structure.

    • Leave an update

    You must be logged in to post an update.

    Report an Issue

    The FpML Issues Tracker is designed to facilitate public interaction in the standard.

    By registering you will be able to submit corrections and comments, generate reports, and view the complete issues archive for FpML.

    Report Issue