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Detailed Glossary
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C |
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Confirmation | ||
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A Confirmation is a document describing a trade that has been executed, and is generally sent by the Seller to the Buyer to check the trade details, to be returned by the Buyer confirming that the trade details match the trade as they have recorded it The Confirmation, or Confirm, process allows both parties to agree the trade details Detail The Confirmation process, and the form of the Confirmation document are defined in the Master Agreement, usually as an Appendix The Confirmation match is the final stage of the contract between the two parties, without it the trade is not legally binding, as well as specifying the trade details the Confirmation also specified the Master Agreement under which the trade was executed Confirmations are not normally produced for Exchange trades Some parties produce and send Confirmations for both Buy and Sell trades Confirmations must be signed by an authorized signatory in the Trading Organization Confirmations are normally produced and signed electronically Matching Confirms tends to be a manual process - systems of bar coding have been proposed There are schemes that electronically confirm trades, generically known as ECM (Electronic Confirmation Matching) These are generally point to point - but there is no reason not to utilize a centralized matching service | ||
Curve | ||
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Curve is a relatively general term to describe a set of time series data, for example prices, interest rates, foreign exchange rates (FX), volatilities etc. Detail In general curve is used as a term to describe time series data that is used to value trades, that is to calculate the unrealized p&l of a trade, or set of trades. Curve data is usually derived from published data Curve data is typically published each day - so a curve consists of a set of time series data for each publication date Publication dates are ususally daily Point dates may be daily, hourly, monthly, quarter hourly Because of the separate publication date and point date dimensions there may be a huge amount of data over time for a single curve A forward curve is usually a set of future price points used to calculate the future value of the physical side of Forwards, Futures, Spreads and Swaps Curves typically have dimensionality of: | ||