Commodity Rounding Policies

You can customize the rounding. Select one of the following methods for cross currency deals. For single currency deals, you can select either Average or Don't Round.

Method Description

Average

Round a price after averaging, using the default decimal precision for the FX rate or commodity product.

Or select the checkbox and enter a value for a Custom FX Rounding rather than using the currency pair’s rounding.

Custom Price Rounding is the number of decimal places used when calculating the settlement price captured at the trade level. This can also be set at the Commodity level via the Code > Attributes window in the COMM_INDEX_DEC field. If there is setting at the trade level, it overrides the setting at the Commodity level.

Conversion

Round to commodity decimal precision after conversion to a second currency. This would be on a daily basis for CTA, and a one time basis for ATC.

Both

Round an average FX rate to the FX decimal precision, round an average commodity price to the commodity decimal precision, and round an average converted price to the commodity decimal precision.  Always round a converted price to the commodity decimal precision.

DontRound

Don’t do any rounding in the calculation process.

 

Custom Rounding Policy

You can code a custom averaging rounding policy class, and register it in the CommodityAveragingRoundingPolicy domain. If the policy involves a foreign currency, add it to the CommodityFXAveragingRoundingPolicy domain. The policies appear in the Rounding After menu.

 

Step 1 - For a custom Averaging Rounding Policy, the code should reside in calypsox/tk/product/commodities and be compiled. For reference, please check: calypsox/tk/product/commodities/AveragingRoundingPolicySample.java.

 

Step 2 - Add your custom policy name to the CommodityAveragingRoundingPolicy domain. If the policy involves a foreign currency, add it to the CommodityFXAveragingRoundingPolicy domain.

Note: For Commodity Swaps, Custom Price Rounding is ignored for Custom Cashflows.