<ClearingPriceParametersGrp> Component Block

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.

Used in :

SecurityStatus (f)

Tag		Field Name	FIXML	Req'd	Comments
2580		NoClearingPriceParameters		N	Number of parameter sets.
=>	2581	BusinessDayType	@BizDayTyp	C	Required if NoClearingPriceParameters (2580) > 0. Use to identify the relative business day to which the parameters apply.
=>	2582	ClearingPriceOffset	@ClrPxOfst	N	Constant value required for the calculation of the clearing price, e.g. for variance futures.
=>	2583	VegaMultiplier	@VegaMult	N	Constant value required for the calculation of the clearing quantity, e.g. for variance futures.
=>	2584	AnnualTradingBusinessDays	@AnnlTrdgBizDays	N	Number of trading business days in a year.
=>	2585	TotalTradingBusinessDays	@TotTrdgBizDays	N	Number of trading business days over the lifetime of an instrument.
=>	2586	TradingBusinessDays	@TrdgBizDays	N	Number of actual trading business days of an instrument.
=>	2588	StandardVariance	@StdVarnc	N	Standard variance (over the lifetime of an instrument) or initial variance used to calculate settlement prices, e.g. for variance futures.
=>	2587	RealizedVariance	@RlzdVarnc	N	Actual or realized variance of an instrument used to calculate settlement prices, e.g. for variance futures.
=>	2589	RelatedClosePrice	@ReltdClsPx	N	Closing price of the underlying required to calculate the RealizedVariance(2587).
=>	1190	RiskFreeRate	@RFR	N	Interest rate until the instrument expires and used to calculate DiscountFactor(1592).
=>	2590	OvernightInterestRate	@OvrNiteIntRt	N	Used to calculate AccumulatedReturnModifiedVariationMargin(2591).
=>	2591	AccumulatedReturnModifiedVariationMargin	@ARMVM	N	The economic cost of the variation margin from one trading day to the next.
=>	1592	DiscountFactor	@DiscFctr	N	Used to calculate the present value of an amount to be paid in the future.
=>	1188	Volatility	@Vol	N	Annualized volatility for option model calculations
=>	2528	ClearingSettlPrice	@SetPx	N	Clearing settlement price.
=>	2592	CalculationMethod	@CalcMeth	N	Specifies how the calculation will be made.