Reply To: Daylight Savings for Gas Futures rollover into Physical

#7255
Client J
Participant

It seems that the standard cascade script has the following logic for cascading into physical deals : if the holding ins has got “daily size” set then it takes m-value x “daily size” and puts this into the notional field of the physical. If its got “contract size” set then it takes m-vale x “contract size” and puts this into the notional field of the physical.

problem is that to capture DLS on the physical for MWH gas trade , the template needs to be set up a Hourly deal entry notional MW. That’s the only way in which the DLS is recognised by the physical COMM-PHYS. The problem with this is that then the cascade script needs to populate the notional field with “m-value” andnot any of its standard values above.

So doess the cascade script then need to be customised to set the “m-value” in the notional field of the Comm-Phys/

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