Latest Posts

Modeling change recommendation: Generalize the IRD swaption model to use the new generic option model.

Modeling change recommendation: replace multiple product elements for short vs. long form with a single product element. Explore the use of views to accommodate at least the broker short form (e.g. pre-trade view).

Modeling change recommendation: Generalize the equityOption model to use the new generic option model. All options should be based off an abstract option type.

Modeling change recommendation: Eliminate the optional empty element as a synonym for Boolean and replace with Boolean. This will clarify meaning, e.g. for short form vs. long form, at the expense of some extra verbosity.

Modeling change recommendation: Review optionality of all elements, especially booleans, and remove it where no longer necessary to maintain backward compatibility.

Modeling change recommendation: Derive all leg/stream types from an abstract leg type to allow referencing, etc. This is already done except for some equity types, where there was a conflict on the attribute name.

Modeling change recommendation: Develop a more simple, reliable, and consistent way to uniquely identify business objects such as trades, contracts, and post-trade events.

Modeling change recommendation: Explore the feasibility of generalizing the TRS and IRS interest legs.

Modeling change recommendation: As part of FX rate structuring, attempt to make rate observation representation for FX and IRD consistent.

Modeling change recommendation: Refactor FX option products into a single product with a variety of features, based on the new generic option model.