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CDM Event Modelling - KnockIn Function #66

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Vijayesh-Chandel opened this issue Mar 29, 2021 · 3 comments
Open

CDM Event Modelling - KnockIn Function #66

Vijayesh-Chandel opened this issue Mar 29, 2021 · 3 comments

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@Vijayesh-Chandel
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@Vijayesh-Chandel Vijayesh-Chandel commented Mar 29, 2021

CDM Event Modelling - KnockIn Function

As part of Phase 2 of the FX Pilot for Legend Studio, the WG had designed a CDM event function for KnockIn (KI) lifecycle events:
See Minutes 9Jul20 for details.

At the time the Studio feature for creating functions was to be built and submission was pending, but now the feature is ready for use.

The following CDM primitives formed the proposed KI function:

  • ObservationPrimitive
  • ExercisePrimitive

However the CDM event model has since evolved and these primitives are deprecated. As a result, the proposed KI function will need further review and update, and ask is to collaborate on creating a new KI function solution for the CDM.

@JamesR5270
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@JamesR5270 JamesR5270 commented Apr 9, 2021

Hello, happy to get involved - I work for Skylight IPV covering FX options. James

@Vijayesh-Chandel
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@Vijayesh-Chandel Vijayesh-Chandel commented Apr 15, 2021

Hello, happy to get involved - I work for Skylight IPV covering FX options. James

Hi @JamesR5270, thanks for reaching out, be great to have you onboard. We're working on formalising a working group for this, will keep you posted.
Best,
Vijay

@rvincentISDA
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@rvincentISDA rvincentISDA commented Apr 19, 2021

Hi, Include me in the thread. Thank you

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4 participants