Reply To: Ins Type MTL-OUTRIGHT not storing Cash Leg in Parameter Table

Greg Eves

When I raised this with OpenLink this was the response I got:

“In PNL Detail result, for a ComFwd, we break out the physical and financial settlement into two separate rows. The physical settlement row (leg 0) represents the leg seen on the deal. The financial side (leg 1) represents the portion associated with the Strike or Transaction Price. This is different than ComFut, in which there are two rows with leg = 0; the cash flow types (Premium and Interest) are used to create the uniqueness between those two rows (not param_seq_num_1, which only applies to the Commodity toolset, not ComFut nor ComFwd).”

Download PDF version

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