Reply To: Netting (B&S) vs Aggregation (B&B; S&S)

KWA Staff M

If we understood you correctly, are you wanting aggregation logic to include Unique instrument types?

Endur has closeout processing for futures (using a variety of closeout methods – see the Closeout Processing module in Ops manager), and scripts that perform aggregation of shared instruments, i.e. futures and fwds (perhaps more associated with rollover processing). This is generally at portfolio level and for the same contract codes (instrument). However, one or two clients have implemented custom logic for closeout or aggregation logic cross-portfolio or more rarely for unique deal types.

Download PDF version

This field is for validation purposes and should be left unchanged.