| ID |
Name |
Abbr |
Presence |
Description |
| 2581 | BusinessDayType | BizDayTyp |
optional |
SYNOPSIS:
Relative identification of a business day.
|
| 2582 | ClearingPriceOffset | ClrPxOfst |
optional |
SYNOPSIS:
Constant value required for the calculation of the clearing price, e.g. for variance futures.
|
| 2583 | VegaMultiplier | VegaMult |
optional |
SYNOPSIS:
Constant value required for the calculation of the clearing quantity, e.g. for variance futures.
|
| 2584 | AnnualTradingBusinessDays | AnnlTrdgBizDays |
optional |
SYNOPSIS:
Number of trading business days in a year.
|
| 2585 | TotalTradingBusinessDays | TotTrdgBizDays |
optional |
SYNOPSIS:
Number of trading business days over the lifetime of an instrument.
|
| 2586 | TradingBusinessDays | TrdgBizDays |
optional |
SYNOPSIS:
Number of actual trading business days of an instrument.
|
| 2588 | StandardVariance | StdVarnc |
optional |
SYNOPSIS:
Standard variance (over the lifetime of an instrument) or initial variance used to calculate settlement prices, e.g. for variance futures.
|
| 2587 | RealizedVariance | RlzdVarnc |
optional |
SYNOPSIS:
Actual or realized variance of an instrument used to calculate settlement prices, e.g. for variance futures.
|
| 2589 | RelatedClosePrice | ReltdClsPx |
optional |
SYNOPSIS:
Closing price of the underlying required to calculate the RealizedVariance(2587).
|
| 1190 | RiskFreeRate | RFR |
optional |
SYNOPSIS:
Interest rate. Usually some form of short term rate.
|
| 2590 | OvernightInterestRate | OvrNiteIntRt |
optional |
SYNOPSIS:
Overnight interest rate.
|
| 2591 | AccumulatedReturnModifiedVariationMargin | ARMVM |
optional |
SYNOPSIS:
The economic cost of the variation margin from one trading day to the next.
|
| 1592 | DiscountFactor | DiscFctr |
optional |
SYNOPSIS:
Used to calculate the present value of an amount to be paid in the future.
|
| 1188 | Volatility | Vol |
optional |
SYNOPSIS:
Annualized volatility for option model calculations
|
| 2528 | ClearingSettlPrice | SetPx |
optional |
SYNOPSIS:
Clearing settlement price.
|
| 2592 | CalculationMethod | CalcMeth |
optional |
SYNOPSIS:
Specifies how the calculation will be made.
|