FIX.Latest_EP288 Component



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.

Pedigree Added EP195

Expand Components | Collapse Components

Field or ComponentField NameAbbr NameReq'dCommentsPedigree
Repeating Group 2580NoClearingPriceParameters Number of parameter sets.Added EP195
2581BusinessDayTypeBizDayTyp Required if NoClearingPriceParameters (2580) > 0. Use to identify the relative business day to which the parameters apply.Added EP195
2582ClearingPriceOffsetClrPxOfst Added EP195
2583VegaMultiplierVegaMult Added EP195
2584AnnualTradingBusinessDaysAnnlTrdgBizDays Added EP195
2585TotalTradingBusinessDaysTotTrdgBizDays Added EP195
2586TradingBusinessDaysTrdgBizDays Added EP195
2588StandardVarianceStdVarnc Added EP195
2587RealizedVarianceRlzdVarnc Added EP195
2589RelatedClosePriceReltdClsPx Added EP195
1190RiskFreeRateRFR Interest rate until the instrument expires and used to calculate DiscountFactor(1592).Added EP195
2590OvernightInterestRateOvrNiteIntRt Used to calculate AccumulatedReturnModifiedVariationMargin(2591).Added EP195
2591AccumulatedReturnModifiedVariationMarginARMVM Added EP195
1592DiscountFactorDiscFctr Added EP195
1188VolatilityVol Added EP195
2528ClearingSettlPriceSetPx Added EP195
2592CalculationMethodCalcMeth Added EP195
end Repeating Group

Used in messages: