TABLE OF CONTENTS
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The performance toolkit calculates market value-based performance for Options on Futures using data supplied by the S2P process. However, this can be misleading because traditional market values do not capture an Option’s true exposure. Exposure-based analyses, which can be implemented using Eagle Enrichment, calculate more accurate returns. The documentation and .egl files linked below as attachments are available for beta testing. Additional details are available in Exposure Reporting and the Eagle Enrichment User Guide 2015
- Options on Futures Enrichment Rule EGIE_008.egl
- Options on Futures Enrichment Inventory EGIE_008.xlsx
AUTOMATION
Option on Future security master files (SMFs) and trades can be loaded through the standard Message Center streams. The SMF must be loaded prior to the trade (trades do not spawn SMFs). Refer to the Supported Generic Interfaces guide for more information.
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Below are the standard interfaces provided out-of-the-box for Message Center.
Variation Margin | Transaction Type | Default Message Center Stream | Sample Files |
No | SMF Setup | eagle_default_in_csv_smf | |
Trade Open | eagle_default_in_csv_trades OR eagle_default_in_csv_all | ||
Partial/Full Close | eagle_default_in_csv_trades OR eagle_default_in_csv_all | ||
Yes | SMF Setup | eagle_default_in_csv_smf | |
Trade Open | eagle_default_in_csv_trades OR eagle_default_in_csv_all | ||
Partial/Full Close | eagle_default_in_csv_trades OR eagle_default_in_csv_all |