[pcstockman]

We have created a new example, number 46, which models a simple commodity option: no Asian feature, no multiple expirations, no floating strike, just a one-month financially settling option. It will be published in FpML 5-8. If you would like to see the .xml and example confirmation please email me at peter.c.stockman@deeprivergroup.com and I will send it to you directly.

[pcstockman]

David: While the ISDA opeations working group is the author of the commodity taxonomy let me take a crack at your question. Yes: a basket comprised of base and precious metals should be classified as “Commodity:MultiCommodityExotic”. Per the design of the taxonomy, the only multi-commodity trade which should not be classified this way is a trade with two or more energy commodity underlyers. These fall into the “Commodity:InterEnergy:….” taxonomy code group. Peter Stockman

[pcstockman]

L: In commodity FpML the only forwards which are represented by ‘commodityForward’ are physical metal forwards. All other forwards, both physical and financial, are represented using ‘commoditySwap’. Under ‘commoditySwap’ are ‘fixedLeg’, ‘floatingLeg’ and ‘weatherLeg’ all of which are cash settled. Peter Stockman, Co-Chair, FpML Commodity Product Working Group

[Author]

Posts

[pcstockman]

We have created a new example, number 46, which models a simple commodity option: no Asian feature, no multiple expirations, no floating strike, just a one-month financially settling option. It will be published in FpML 5-8. If you would like to see the .xml and example confirmation please email me at peter.c.stockman@deeprivergroup.com and I will send it to you directly.

[pcstockman]

David: While the ISDA opeations working group is the author of the commodity taxonomy let me take a crack at your question. Yes: a basket comprised of base and precious metals should be classified as “Commodity:MultiCommodityExotic”. Per the design of the taxonomy, the only multi-commodity trade which should not be classified this way is a trade with two or more energy commodity underlyers. These fall into the “Commodity:InterEnergy:….” taxonomy code group. Peter Stockman

[pcstockman]

L: In commodity FpML the only forwards which are represented by ‘commodityForward’ are physical metal forwards. All other forwards, both physical and financial, are represented using ‘commoditySwap’. Under ‘commoditySwap’ are ‘fixedLeg’, ‘floatingLeg’ and ‘weatherLeg’ all of which are cash settled. Peter Stockman, Co-Chair, FpML Commodity Product Working Group

[Author]

Posts