2022-02-08 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:
At the start of our call we reviewed open issues in JIRA, and JG will look into mini-futures, which we are missing, as time permits.
We then compared our derivatives class hierarchy against the CFI to see where things stand. One that we didn't find is a fixed-fixed IR swap, which we should look into. We are also missing the notion of an OIS index swap (overnight), and a zero coupon swap (we have zero coupon bond, but not swap), which we should include. See CFI paragraph on rates under swaps. Under commodity swaps, we don't seem to have commodity index swap, and we need to investigate whether our current definitions support multiple commodities in the same swap (different legs, or baskets). We don't call out equity swap explicitly, though we have the subclasses, so we might want to add that for the sake of completeness and for mapping to the CFI, We may also need to add Equity Volatility (we have equity variance). We have currency (foreign exchange) swap but not the two subclasses. We raised issue DER-124 to allow us to address these gaps.