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2021-02-16 Meeting notes

2021-02-16 Meeting notes

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:

So, as it turns out, an option can have multiple legs - up to 4 legs.  To what extent should we model that in FIBO?  One pattern is called a straddle - you purchase two options, which include a call and put, specifically with respect to stocks.  It might be limited to stock options - John will check and let us know.  You can straddle a future, so he will check to see what they call those patterns.  The question is do we need to model those combinations - might be called collar or straddle, depending on whether it is 'in the money' or 'out of the money'.  There is no specific instrument that does this, but you could do so with a structured product.

See https://www.investopedia.com/articles/optioninvestor/07/structured_products.asp#:~:text=Structured%20products%20are%20pre%2Dpackaged,features%20with%20non%2Dtraditional%20payoffs.

These might be considered structured products, but are not packaged per se - one that involves multiple instruments.  The CFTC does use the term 'leg' for some structured products, including in futures and options, which might be something like a master contract that has multiple legs, each of which is a contract in its own right, and there may be more than two.  These are deals involving trading strategies ... a straddle is a mechanism, not a product per se.  We might call a straddle an instrument that is a subclass of an option that has multiple legs. Perhaps what we really need is a top level multileg or structured instrument, which is a pattern - and a swap would be a structured instrument as would a straddle or collar be, then move the notion of a leg up to derivatives basics. 

StructuredFinanceInstrument in ABS should be changed to PackagedFinancialProduct.

Decisions:

Action items

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