Imported from previous forum
Hi,
For a JGB june contract expiring on the last day of the previous month
should the MaturityMonthYear be 200206 or 200205 to validate the contract
Thanks in advance for any clarification,
> I would think that the MaturityMonthYear should reference the normal nomeclature for the June contract which generally would be June. The contact expiration date is a known based on the June contract month. A similar scenario exists for options in which the June option expires in May. In that scenario it is still referenced as June in MaturityMonthYear
Tom McCabe
Hi,
>
> For a JGB june contract expiring on the last day of the previous month
>
> should the MaturityMonthYear be 200206 or 200205 to validate the contract
>
> Thanks in advance for any clarification,
>
>
>
[ original email was from Donald Mendelson - dmendelson@cmcplace.com ]
The contract month generally refers to the month in which delivery or settlement occurs. That may be different than when the derivative stops trading. So you could have a contract that stops trading at the end of May, but delivery occurs in the first week of June. In that case it would be called a June contract.
Don Mendelson
> > I would think that the MaturityMonthYear should reference the normal nomeclature for the June contract which generally would be June. The contact expiration date is a known based on the June contract month. A similar scenario exists for options in which the June option expires in May. In that scenario it is still referenced as June in MaturityMonthYear
>
>
> Tom McCabe
>
>
>
> Hi,
> >
> > For a JGB june contract expiring on the last day of the previous month
> >
> > should the MaturityMonthYear be 200206 or 200205 to validate the contract
> >
> > Thanks in advance for any clarification,
> >
> >
> >
>
[ original email was from Jim Northey - jnorthey@lasalletech.com ]
Here is the post sent to the direct inquiry of the F&O Working Group:
Rupal,
However market participants (counterparties)agree it should be represented is the general answer.
If you are looking for a recommendation, here is one recommendation you may want to consider:
If traders trade the contract as the "JGB June" contract - then it makes sense to encode this as "200206".
This is an ideal case for the change we put into FIX 4.3 where we have MaturityMonthYear and MaturityDate. In FIX 4.3, you could implement as follows:
For messages inbound to the exchange, require only the MaturityMonthYear - "200206".
For all messages outbound from the exchange, provide both:
MaturityMonthYear - "200206"
MaturityDate - "20020530"
Jim
> The contract month generally refers to the month in which delivery or settlement occurs. That may be different than when the derivative stops trading. So you could have a contract that stops trading at the end of May, but delivery occurs in the first week of June. In that case it would be called a June contract.
>
> Don Mendelson
>
> > > I would think that the MaturityMonthYear should reference the normal nomeclature for the June contract which generally would be June. The contact expiration date is a known based on the June contract month. A similar scenario exists for options in which the June option expires in May. In that scenario it is still referenced as June in MaturityMonthYear
> >
> >
> > Tom McCabe
> >
> >
> >
> > Hi,
> > >
> > > For a JGB june contract expiring on the last day of the previous month
> > >
> > > should the MaturityMonthYear be 200206 or 200205 to validate the contract
> > >
> > > Thanks in advance for any clarification,
> > >
> > >
> > >
> >
>
[ original email was from Jim Northey - jnorthey@lasalletech.com ]
The MaturityMonthYear field and the MonthYear datatype in FIX 4.4 has been expanded to include an optional two characters which can be:
A day of the month: 01-31
Or a week: w1, w2, … w5
> Here is the post sent to the direct inquiry of the F&O Working Group:
>
> Rupal,
>
> However market participants (counterparties)agree it should be represented is the general answer.
>
> If you are looking for a recommendation, here is one recommendation you may want to consider:
>
> If traders trade the contract as the "JGB June" contract - then it makes sense to encode this as "200206".
>
> This is an ideal case for the change we put into FIX 4.3 where we have MaturityMonthYear and MaturityDate. In FIX 4.3, you could implement as follows:
>
> For messages inbound to the exchange, require only the MaturityMonthYear - "200206".
>
> For all messages outbound from the exchange, provide both:
> MaturityMonthYear - "200206"
> MaturityDate - "20020530"
>
>
> Jim
>
> > The contract month generally refers to the month in which delivery or settlement occurs. That may be different than when the derivative stops trading. So you could have a contract that stops trading at the end of May, but delivery occurs in the first week of June. In that case it would be called a June contract.
> >
> > Don Mendelson
> >
> > > > I would think that the MaturityMonthYear should reference the normal nomeclature for the June contract which generally would be June. The contact expiration date is a known based on the June contract month. A similar scenario exists for options in which the June option expires in May. In that scenario it is still referenced as June in MaturityMonthYear
> > >
> > >
> > > Tom McCabe
> > >
> > >
> > >
> > > Hi,
> > > >
> > > > For a JGB june contract expiring on the last day of the previous month
> > > >
> > > > should the MaturityMonthYear be 200206 or 200205 to validate the contract
> > > >
> > > > Thanks in advance for any clarification,
> > > >
> > > >
> > > >
> > >
> >
>