Posts related to reporting, extracts, and the data model
Like many of Openlink’s standard scripts, STD_Margin_Call_Process is partially complete.
The generation of variation margin on futures and options on futures can be standardized.
Read more about how we have made improvements here.
A trade snapshot in Findur is an archived version of a trade that preserves its state.
Saving your first trade snapshot is easy. Knowing how to reroute downstream processes to use trade snapshots is a lot more difficult.
User defined sim results, reports, extracts and accounting need to be snapshot-aware. Openlink has no out-of-the-box content for taking, managing or using trade snapshots. Long-term, you will also need to keep an eye on database growth and performance.
P&L attribution is very important to users, and unexplained P&L that is easily understood to be the result of a change in dividend yield should not be a difficult mountain to climb. We have a solution that allows users to see the P&L attributed to a change in dividends.
Every client has a need to know the position of each trade in the portfolio. This would be taken for granted by the user community as a straight-forward feature available in Findur. It turns out, it isn’t that simple.
In this paper, we describe how we have helped clients report on this key requirement.
Realized P&L on fungible instruments is usually a straight-forward calculation, but Findur gets it wrong for a few trade types.
We look at two of those trade types in this paper.
In the absence of a bug fix, which Openlink would likely argue is an enhancement, we discuss methods to workaround the issue.
All users in the front-office to the back should be concerned about the degree of opacity of equity derivative pricing.
This paper showcases an enhancement that improves the transparency of pricing of equity index derivatives.
Most Openlink clients report frustration with the difficulty of introducing a new financial instrument to the application.
Modern project management methodology and development techniques are able to mitigate the concern that business leaders have when they find it necessary to extend enterprise software functionality, or integrate an enterprise application with a new platform to handle niche functionality.
In this paper, we describe no technology, technique or pattern that is bleeding-edge, or in any way controversial.
Findur does not support importing the dividend yield on equity indices out-of-the-box.
In this paper we describe a method to import dividend yields. The method described is powerful, and can be quickly and easily customized if necessary.
As it stands, the solution delivers significant benefits to users that demand an easier, more reliable, secure, and transparent solution to control pricing of a portfolio of equity index derivatives.
On the face of it, a repo seems like a simple instrument. But much can happen between the start and maturity of a repo.
This paper includes some of the difficulties that analysts may encounter capturing the terms and conditions, and supporting the lifecycle events, including trade extracts and system integration.
