TPRICE - F&O Prices
What is
TPRICE is the prices maintenance/query program for Futures, Options and CFDs.
When an Entity is operating PRICEMEC (Pricing Mechanisms), additional features are enabled for entry of Day Values for the different Structures that are active i.e. BRCs, FX Accumulators, Swaps. These values would be supplied by the Bank/Brokers and need to be entered via the right click Import OTC structures or manually by selection of Instrument type 'Structures'. The Report icon enables listing of the historical values, these are used by the OTC valuation procedures (ex PRICEMEC).
TPRICE is used for entry/amendment of prices as complementary to any automatic transfers by an independent broadcast service such as BLOOMBERG or collection from the LCP, CME,LME websites using SPAN_NOW. Prices are usually maintained for each close of business date, but interim prices can be entered to achieve ‘Current Equity’ valuations. Interim prices can be entered en-masse using TPRICE/Import (right click feature). These will be superseded by any overnight collected prices.
HIVEDOME provide several collection/interface procedures; SPAN market prices and data, RUBBERIMP (Sicom prices), TCOMIMP (Tokyo Prices), BMDIMP (BMD prices) and the import of share prices from Bloomberg (very specialist and a cost charged by Bloomberg for the service).
To insert, amend or view terminal prices for any date :
- Enter a date in the 'Date of Price' field
- Choose style of price maintenance , Drive by contents of Open trades database, insert new, amend existing
- Choose to enter Futures prices, Options prices, CFD prices or All using the Instrument type list
- Click the OK button. All the prices for your selection will be displayed in the grid. If you wish to amend these prices or enter new prices may now do so.
Note If no trades are found you may still insert new prices for that day.
There are optional entries for Day Low and High prices but the Close/settlement price is the mandatory entry.
Using the Drive feature will present on the grid a list of all the combinations of instrument/settlement date which have open trades in the database. This list will then be enabled for amendment.
The deletion of prices is available under the ‘Amend Prices’ option.
When entering a TPRICE for an Index style instrument (where there is NO forward curve), the prompt month can be entered = 'SPOT'. In these cases, there is a continuous list of daily prices for the prompt month = ZERO.
Note 1: Update Derived Price: (Right-click) LME & Index style markets.
When a TCCM instrument is setup to apply it’s Prompt Month as ‘Date/Period (B)’; the process will calculate an average price for the Settlement months for which there are day prices.
e.g. Date of process is 15Jan12 and have collected/secured day prices for LMECA for every Jan settlement day, the JAN12 derived price for 15Jan12 would be the sum of forward day prices /number of days. Where daily prices are not secured i.e. 3 months out, ITAS will be instructed to secure specific day of month e.g. 3rd Wednesday (parameter in the COMMAND string … /Average=3 /ForwardDay=Wed /ForwardWeek=3.) These commands mean use daily average for the next 3 months, then use Wednesday prices and use the 3rd Wednesday price.
Note 2: You can export the TPRICE grid to excel, maintain the .xls with the new prices and then use Import to update those TPRICE records. The right-click 'Export' feature is available after the grid has been loaded e.g. Drive by Open Positions to locate ONLY the TPRICE required for current P&L purposes
Note 3: Import Feature (Right-click)
The file can be a .xls or .csv with a selectable number of columns (which need row 1 to contain the column names being imported , see names below).
DATE , optional, dd-mmm-yy, if blank will use TODAY.
COMMODITY, mandatory valid TCCM code that has been nominated as an active Instrument.
PROMPT, mandatory, mmm-yy (this is not validated as a correct expiry period for the Instrument). Word ‘SPOT’ is also allowed for Index type instruments. Can use Reuters format e.g. F14 = JAN-2014. F=Jan, G=Feb, H=Mar, J=Apr, K=May, M=May, N=Jul, Q=Aug, U=Sep, V=Oct, X=Nov, Z=Dec
TYPE, Future, Call or Put
SERIES, mandatory when Type = Call or Put, numeric with correct decimal places, not validated.
PRICE, mandatory, numeric with correct decimal places, not validated
DELTA, optional, numeric with correct decimal places
VOLATILITY, optional, numeric with correct decimal places
LOW, optional, numeric with correct decimal places, not validated
HIGH, optional, numeric with correct decimal places, not validated
If the Delta and Volatility columns are NOT included in the Import File, Delta and Volatility will be calculated by the Import price.
If the Delta and Volatility columns are included and cell value = Zero, Delta and Volatility will be calculated by the Import price.
OTC Structure Values are the current profit/loss value that's been provided by the bank. These may be imported from tab delimited txt files to the tcy26 table using the generic itas import function
Note 5: Sweep BRC (Bonus Repricing Contracts) (Right-click)
All BRC Contracts which are not flagged as having the rebate used will be processed. The highest and lowest Market Prices for the BRC Market/Prompt which are dated between the effective and expiry dates will be gathered. On a Producer BRC if the highest price is greater than the Barrier the Rebate will be added to the Price. On a Consumer BRC if the lowest price is less than the Barrier the Rebate will be deducted from the Price.
Note 6: Remove Daily Fixations (Right-click)
A Fixation Date is prompted and all automatically created Daily Fixations for the entered date will be deleted. The entered date maybe no more than 5 days earlier. If the contract is fully fixed or the fixing type is not 'DAY' or the entered date is outside the fixing date range for the contract the fixations will not be deleted. The average fixing price and number of lots fixed will be adjusted for the contracts updated.
Note 7: Batch procedures available are
a. /FARMONTHS, will ascertain if any TCCM codes are maintained with an Far Month Adjustment factor (tcy20_farmthadj <> 0) and will calculate the prices accordingly. See help? in TCCM for more detail
b. /BRCPRICING, all BRC Contracts which are not flagged as having the rebate used will be processed. The highest and lowest Market Prices for the BRC Market/Prompt which are dated between the effective and expiry dates will be gathered. On a Producer BRC if the highest price is greater than the Barrier the Rebate will be added to the Price. On a Consumer BRC if the lowest price is less than the Barrier the Rebate will be deducted from the Price.
b. /BRCPRICING, all BRC Contracts which are not flagged as having the rebate used will be processed. The highest and lowest Market Prices for the BRC Market/Prompt which are dated between the effective and expiry dates will be gathered. On a Producer BRC if the highest price is greater than the Barrier the Rebate will be added to the Price. On a Consumer BRC if the lowest price is less than the Barrier the Rebate will be deducted from the Price.
c. /DERIVED, process as per manual activation
d. /ADJUST, derives spread on expired months; very specialist (su only)
e. /FORMULA. will ascertain if any TCCM codes are maintained with a formula script (tcy20_formula) and will calculate the prices accordingly. See help? in TCCM for more detail
f. /IMPORTDERIVEDANDFIX
g. /IMPORT, process as per manual activation