KWA Staff M

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  • in reply to: Interbook Futures #7362
    KWA Staff M
    Participant

    I’ve not seen any significant issues with booking internal futures, although there maybe some considerations when using std OL rollover script where it has been known to create 2 inter book phys deals (hence 4 deals in total).

    in reply to: Netting (B&S) vs Aggregation (B&B; S&S) #7204
    KWA Staff M
    Participant

    You could have a look at STD_EOD_ComFut_Roll_Trades. It contains parameters in the header, so you can turn off cascading. However, I think it may still need some tweaking depending on the specific aggregation logic you require.

    in reply to: Netting (B&S) vs Aggregation (B&B; S&S) #7202
    KWA Staff M
    Participant

    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.

    in reply to: LNG Modelling #7133
    KWA Staff M
    Participant

    This is dependent on whether cMotion is being implemented as part of the overall solution. If it’s not then the general approach would be to use Natural Gas as the commodity group and LNG as an index sub group. Use of one or more UDIs to capture the physical deals (e.g. LNG-PHYS), transport (LNG-TRANS) and storage (LNG-STOR or GAS-STOR depending on whether the desire is to capture dry gas-equivalent volumes). Charters would be captured as transit deals and usually valued against Worldscale prices.

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