Component ClearingPriceParametersGrp (BlockRepeating)

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.

Added in protocol FIX.5.0SP2 (195)

Field or Component Name Description Is Required Added Is Deprecated
2580 NoClearingPriceParameters Number of parameter sets. FIX.5.0SP2 (195)
2581 BusinessDayType Required if NoClearingPriceParameters (2580) > 0. Use to identify the relative business day to which the parameters apply. FIX.5.0SP2 (195)
2582 ClearingPriceOffset FIX.5.0SP2 (195)
2583 VegaMultiplier FIX.5.0SP2 (195)
2584 AnnualTradingBusinessDays FIX.5.0SP2 (195)
2585 TotalTradingBusinessDays FIX.5.0SP2 (195)
2586 TradingBusinessDays FIX.5.0SP2 (195)
2588 StandardVariance FIX.5.0SP2 (195)
2587 RealizedVariance FIX.5.0SP2 (195)
2589 RelatedClosePrice FIX.5.0SP2 (195)
1190 RiskFreeRate Interest rate until the instrument expires and used to calculate DiscountFactor (1592). FIX.5.0SP2 (195)
2590 OvernightInterestRate Used to calculate AccumulatedReturnModifiedVariationMargin (2591). FIX.5.0SP2 (195)
2591 AccumulatedReturnModifiedVariationMargin FIX.5.0SP2 (195)
1592 DiscountFactor FIX.5.0SP2 (195)
1188 Volatility FIX.5.0SP2 (195)
2528 ClearingSettlPrice FIX.5.0SP2 (195)
2592 CalculationMethod FIX.5.0SP2 (195)

Used in messages

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