Skip to main content

Future (FUTUR)

Description​

Keeps track of value changes for any basic CT as underlying (PAM, ANN etc. but also FXOUT, STK, COM). Handles margining calls.

Real-world Instrument Examples (but not limited to)​

Standard interest rate, FX, stock and commodity futures.

Required Terms​

  • contractDealDate
  • contractID
  • contractRole
  • contractStructure
  • contractType
  • counterpartyID
  • creatorID
  • currency
  • futuresPrice
  • maturityDate
  • priceAtPurchaseDate
  • purchaseDate
  • statusDate

Conditional Groups​

Group 1​

  • Drivers: initialMargin
  • Required if triggered: clearingHouse
  • Optional: maintenanceMarginLowerBound, maintenanceMarginUpperBound, cycleAnchorDateOfMargining, cycleOfMargining, variationMargin

Group 6​

  • Drivers: terminationDate
  • Required if triggered: priceAtTerminationDate
  • Optional: None

Group 7​

  • Drivers: exerciseDate
  • Required if triggered: exerciseAmount
  • Optional: None

Standalone Optional Terms​

  • businessDayConvention
  • calendar
  • contractPerformance
  • delinquencyPeriod
  • delinquencyRate
  • deliverySettlement
  • endOfMonthConvention
  • gracePeriod
  • marketObjectCode
  • marketValueObserved
  • nonPerformingDate
  • seniority
  • settlementCurrency
  • settlementPeriod

Notes​

  • contractType is automatically set to "FUTUR" when using the class.