FRAGMOS - Referencing TradeLots PQs in Product

[JBZ-Fragmos]

BACKGROUND - recap, situation as of today

• TradeLot has PriceQuantity attribute (hereafter "PQ"), with unbounded cardinality (0..*)
• PQ attributes consist in
  • Price ("P") & Quantity ("Q") with same unbounded card.(0..*)
  • Observable, an optional item i.e. card.(0..1), which attributes (e.g. "productIdentifier", "floatingRateOption", etc.) have "meta.location" property, for the purpose of being referenced as need be inside Payout, by the components with the corresponding "address.value" property (e.g. "performancePayout->underlier->security->productIdentifier", "interestRatePayout->rateSpecification->floatingRate->rateOption", etc.)

PROBLEM STATEMENT - not all kinds of PQs components may be referenced via address.value

the fact not all kinds of PQs components may be referenced via address.value potentially lead to two types of issues

- inconsistent representation of PQs accross the model

• some PQ can be defined at TradeLot level and referenced inside Payout such as the ones mentioned in above examples e.g. productIdentifier in performancePayout, rateOption in interestPayout, etc.
• other PQ cannot, thus have to be defined at Payout level only, with no referencing to any TradeLot PQ e.g. "performancePayout->returnTerms->priceReturnTerms->valuationPriceInitial", "performancePayout->returnTerms->varianceReturnTerms->volatilityStrikePrice", etc.

- gaps in the represention of PQs, notably "strike" or "initial prices" in Payout

• for instance, it is impossible to designate which underlier/obervable a given "valuationPriceInitial" or "volatilityStrikePrice" - more generally any similar kind of end-object of type PQ in Payout - would refer to...
  • an obvious business case is for Basket : indeed, it is impossible to specify which particular underlier/observable a given "valuationPriceInitial" or "volatilityStrikePrice" would refer to among multiple components in the Basket - hence the need for a referencing...
  • other use cases most certainly exist... where the absence of referencing for PQ in Payout are causing gaps in the model

PROPOSALS

• a) ensure generic/consistent usage of referencing for PQs accross the model

• b) move referencing at upper level i.e. at PQ level, compared to current one, that is at low level e.g. productIdentifier, etc.
  that is to say we would :

  • replace any Price or Quantity in Payout by PriceQuantity with referencing property pointing to PriceQuantity in Payout, which would solve the issue above mentioned about referencing which particular "observable/underlier" a given Price or Quantity may refer to when multiple ones exist
  • also add some "condition" whenever required, to specify/restrict the scope of PQ for being only a Price or only a Quantity, depending the attribute - for instance "price only exists" if given PQ must only represent a Price and no Quantity, etc.