1) Use Case reminder
2) Where we are on our road map.
3) Open Action Items
4) JIRA Issues Review - https://jira.edmcouncil.org/projects/DER/issues/DER-10?filter=allopenissues
5) Todays content discussion.
6) For next week.
Today we discussed updating the MIC codes by end of quarter, so we would like the code freeze for the quarterly release to be COB 9/29 in order to get that done.
On review we determined that we already have all of the information included in the equity options ontology (provisional) and can eliminate that - see DER-109.
Also reviewed the equity forwards ontology - we determined that being a subclass of equity derivative is too narrow - the union with respect to the underlier needs to include equity options and equity futures, among other issues. See DER-110 for this. We likely can't release this before next week due to various restrictions/properties related to dividend cash flows, however. Also see https://financetrain.com/how-equity-forward-contracts-work/ with respect to more detail about equity forwards. With respect to how dividends are handled between the execution date and maturity date, there is more detail in https://analystnotes.com/cfa-study-notes-calculate-and-interpret-the-price-and-value-of-an-equity-forward-contract-assuming-dividends-are-paid-either-discretely-or-continuously.html#:~:text=An%20equity%20forward%20contract%20is,expiration%20date%20of%20the%20contract.
We might consider excluding the parameters related to dividends but add an explanatory note that discusses the fact that forward contract holders do not benefit from dividend payments in the same way that holders of the underlying shares do, and that the dividend payments are reflected in the pricing of the forwards - see the link above for some of those details. There may be a need to account for extraordinary dividends that haven't been announced prior to the execution of the forward - see
https://community.ig.com/forums/topic/14733-do-you-receive-dividend-adjustments-when-long-equity-forward-contracts/ and https://www.merrilledge.com/investment-products/options/adjusted-options-contracts. See DER-111 for dealing with dividend adjustments, which can apply to various kinds of equity derivatives.
We agreed to attempt to complete DER-109 and DER-110 as a part of the work we finish this quarter, but to push DER-111 out to next quarter as it requires more work than we have time to complete this week.
Reminder to all - there is no DER call next week due to the OMG technical meeting - we will resume on 10/5.