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FIXtags

GROUP · SOURCE ID 2258

ClearingPriceParametersGrp

Definition

This component is used convey parameters that are relevant for the calculation of clearing prices that are different from the trading prices due to the nature of the product, e.g. variance futures.

This is a reusable definition. Requiredness is relative to this structure; its use and conditions in a message remain on that message's page. Version links browse the other dictionary, not an assumed equivalent component.

Direct members

  1. 2580 NoClearingPriceParametersGroup countFrom usage

    Number of parameter sets.

  2. 2581 BusinessDayTypefield—

    Required if NoClearingPriceParameters (2580) > 0. Use to identify the relative business day to which the parameters apply.

  3. 2582 ClearingPriceOffsetfield—
  4. 2583 VegaMultiplierfield—
  5. 2584 AnnualTradingBusinessDaysfield—
  6. 2585 TotalTradingBusinessDaysfield—
  7. 2586 TradingBusinessDaysfield—
  8. 2588 StandardVariancefield—
  9. 2587 RealizedVariancefield—
  10. 2589 RelatedClosePricefield—
  11. 1190 RiskFreeRatefield—

    Interest rate until the instrument expires and used to calculate DiscountFactor(1592).

  12. 2590 OvernightInterestRatefield—

    Used to calculate AccumulatedReturnModifiedVariationMargin(2591).

  13. 2591 AccumulatedReturnModifiedVariationMarginfield—
  14. 1592 DiscountFactorfield—
  15. 1188 Volatilityfield—
  16. 2528 ClearingSettlPricefield—
  17. 2592 CalculationMethodfield—

Used in messages

Direct parent structures

No parent component or group in this snapshot.