2020-09-01 Meeting notes
- Elisa Kendall
Date
Attendees
Agenda
1) Use Case reminder
2) Where we are on our road map.
3) Open Action Items
4) JIRA Issues Review - https://jira.edmcouncil.org/projects/DER/issues/DER-10?filter=allopenissues
5) Todays content discussion.
6) For next week.
Proceedings:
Discussed Dispersion vs. Variance Swaps - may need to retain both terms and they may be used under different circumstances. Dispersion may be used for a collection / basket whereas variance may be used in a number of ways. Need an SME that understands hedge funds to determine the answer to this. Jeff will ask a colleague for us. From Robert at CFTC - variance swap is based on the magnitude of change in value / volatility. John will follow up for more detail. Variance swaps are based on volatility, but they aren't the same. He'll follow up with more detail.
Discussed need to add the information about the underlier (possibilities) to the highest level - this is a gap in the ontology. So for performance-based swaps, at the leg level, need to connect it to the possible underliers. Then we can eliminate the two children of DispersionLeg in EquitySwaps. We might need to add some specificity related to asset classes to distinguish them further, but performance swaps can have a number of different underliers / asset classes.