JEAN BAPTISTE ZIADE MetadataAddressForAllPayoutPrice

[regnosys-prod-user]

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[JBZ-Fragmos]

Background :

• agreed with DPBE : CDM Derivatives Products and Business Events Working Group - November 6th, 2024 #3210
• this particular PR is part of a list of multiple other PRs, referred to in DPBE minutes as "wish list" submitted to the group

Target :

• merge any agreed components into Dev, before next major release that will incorporate such changes into Prod

[JBZ-Fragmos]

as an info, had already raised the Issue about it last year...
see #2582

[JBZ-Fragmos]

@Oblongs

thas it the PR mentioning today in CRWG call

kidnly review if this one might be merged in coming month with Dev 6

Thanks a lot

[LionelSG-REGnosys]

kidnly review if this one might be merged in coming month with Dev 6

Can you please add a release note and reach out to a CDM Maintainer to review and approve. If this is done, we can release to CDM 6-dev on Friday,

[JBZ-Fragmos]

Release Note

Background

Purpose is to ensure consistent usage accross the model of referencing accross the model for Price or PriceSchedule i.e. any attribute of such type in Payout model shall have [metadata address] for being possibly referenced in TradeLot->PriceQuantity.

Rationale :

• Prior to change being released, issue is inconsistent situation where :
  • some attributes already have [metadata] annotation e.g. performancePayout->initialValuationPrice
  • others do not have it e.g. optionPayout->strike
• One key benefit of having [metadata location] placed at TradeLot->PriceQuantity level as a consistent/generic characteristic is to leverage the reference mechanism in Event model, for designing Instruction which functional behavior is simple/smart i.e. updating Price (or Quantity) accross the Product model without having to create new instance of the whole Trade object.

What is being released ?

1 -
[metadata address] is added to the following attributes in Product model, when of type Price or PriceSchedule :

• level (an attribute of Trigger)
• varianceStrikePrice
• volatilityStrikePrice
• correlationStrikePrice
• initialRate (an attribute of FloatingRateSpecification)

2 -
multiplierValue type (an attribute of QuantityMultiplier) is upgraded : from number to PriceQuantity.

Rationale : prior type number' is considered being both :

• (a) poor in terms of business representation (because does permit to specify which value is at stake e.g. Price, Quantity, which unit, perUnit, etc. also there are use cases where the multiplierValue is an Observable value, hence an enrichment with new type PriceQuantity which also includes this attribute)
• and (b) also lacking of [metadata] annotation, which cannot be added to type number (whereas such annotation is already included in the attributes of type PriceQuantity i.e. Price, Quantity, Observable)

[JBZ-Fragmos]

@Oblongs @lolabeis @hugohills-regnosys
have included Release Note, please feel free to amend if missing anything, and then please release to Dev