FpML Issues Tracker
Have not tried
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.
10/10/18 12:07 pm
Assigned to me.
10/10/18 5:03 pm
assigned to 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.
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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