Greg Eves

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Viewing 14 posts - 1 through 14 (of 14 total)
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  • in reply to: DW Table names #9411
    Greg Eves
    Participant

    Ah, I knew it was there somewhere… I didn’t have the CHM file to hand, so I was trying to recall from memory – Glad you found it.

    in reply to: DW Table names #9409
    Greg Eves
    Participant

    We had to go through this at MLP, could have sworn it was the help doc…

    in reply to: DW Table names #9407
    Greg Eves
    Participant

    1) The Simulation Results ‘chm’ is the only place I know of that defines what goes where!

    2) As far as I know

    There’s nothing to stop a script or plugin UDSR writing directly to a user table, have you searched the code base.

    in reply to: What is Pass Thru/Triple Play? #8906
    Greg Eves
    Participant

    We tested it at Citi, in their version it was limited to Commodity Toolset, so no good for what we were trying to do at the time.

    It’s best feature is its ability to keep all trades in line when amending the driving deal. When we tested it for Commodity Toolset we couldn’t fault it.

    When you enable it a new part of the deal input GUI is revealed to complete the details.

    I know OpenLink have added more toolsets recently and are planning to add more, obviously the core logic needs to be pretty complex to deal with amendments / knock-on effects of changing fields.

    in reply to: Market Price Index Pricing #8849
    Greg Eves
    Participant

    There’s nothing as direct as the JVS method.

    Are you coding in Java or C#? If you’re in Java, I’d be inclined to wrap the JVS method in-line in your OC. If you are in C# you can do the same thing with Toolkit.

    If you want to do it in pure OC then depending on the lookup method being used you’d need to pull the Market Price Lookup Type, Market Price Index, Market Price Gridpoint Input/Effective and possibly the Market Price Gridpoint Name fields from the underlying instrument. With these you could then load the curve, find the correct gridpoint and get the price.

    OpenLink may have added functionality to do this in a less roundabout way in OC in later versions but I’d need to see the documentation.

    in reply to: Market Price Index Pricing #8840
    Greg Eves
    Participant

    No problem, it’s available in > V91R2 for anyone else that needs to use it.

    in reply to: Market Price Index Pricing #8838
    Greg Eves
    Participant

    Does INS_GetMarketPrice not do this?

    in reply to: Date Sequence For ICE NBP Monthly Options #8737
    Greg Eves
    Participant

    Does this do what you want?

    begin:
    eom 1
    push
    days -4
    push
    gbd -1
    gbd +1
    cmp
    jmple 5
    gbd -1
    rawdate
    pop
    jmp 3
    rawdate
    pop
    pop
    loop begin

    in reply to: Date Sequence For ICE NBP Monthly Options #8735
    Greg Eves
    Participant

    What’s wrong with gbd -4 instead of days -4 isn’t it the same thing?

    Greg Eves
    Participant

    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).”

    in reply to: TPM approval query #8582
    Greg Eves
    Participant

    Hi Peter,

    As far as I know this functionality remains unavailable as an out-of-the-box solution (V15).

    As you may know already, there exists the facility to set a portion of the workflow to ‘Wait For Msg’ – With this you could write your own solution outside of OpenLink to generate the appropriate ECOM message… This is no small undertaking and there’s a lot to consider in terms of resilience, security etc.

    What do OpenLink have to say on the subject?

    in reply to: Asian Options as Exchange Products #8471
    Greg Eves
    Participant

    Hey Israr, are you sure about this? – [ Reg (2) I’m even not 100% sure what Closeout methodology works for ComOptFuts given that when you book two deals with same strike and P/C they actually generate different ins nums ie holding instruments ].

    You can definitely book multiple option transactions with same strike / call/put onto the same instrument thus creating a position.

    in reply to: Master Netting Agreements #8465
    Greg Eves
    Participant

    It will list any party agreements that have type set to Master Agreement for the counterparty.

    Greg Eves
    Participant

    The Internal Business Unit field must always be set, you won’t be able to set it to ‘None’ or empty (you can’t do this in the GUI either).

    One fairly simple option would be to build your list of possible business units when the Ins Type is selected and just set the field to one of those available – You’d also need to check the BU is available to the user via party_personnel.

    Is your intention to have the BU list entirely driven by the Ins Type or are there other factors (e.g. type of user)?

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