This component is used convey parameters that are relevant for the calculation of clearing prices that are different from the trading prices due to the nature of the product, e.g. variance futures.


Tag Field Name Req'd Comments
2580 NoClearingPriceParameters N

Number of parameter sets.

2581 BusinessDayType N

Required if NoClearingPriceParameters <2580> > 0. Use to identify the relative business day to which the parameters apply.

2582 ClearingPriceOffset N
2583 VegaMultiplier N
2584 AnnualTradingBusinessDays N
2585 TotalTradingBusinessDays N
2586 TradingBusinessDays N
2588 StandardVariance N
2587 RealizedVariance N
2589 RelatedClosePrice N
1190 RiskFreeRate N

Interest rate until the instrument expires and used to calculate DiscountFactor <1592>.

2590 OvernightInterestRate N

Used to calculate AccumulatedReturnModifiedVariationMargin <2591>.

2591 AccumulatedReturnModifiedVariationMargin N
1592 DiscountFactor N
1188 Volatility N
2528 ClearingSettlPrice N
2592 CalculationMethod N

Used In