FpML Issues Tracker

1253: Future Hedge Cross on Equity Index Option Trade

June 25, 2018

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closed

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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.
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