Derivative Instrument Type - Config Issues (Doc ID 2809938.1)

Last updated on OCTOBER 03, 2021

Applies to:

Symptoms

Version: RRS 80940, Seeded Dimension table 'DIM_INSTRUMENT_TYPE' issues

Issues:
1) Following Instrument codes are provided in Seeded dimension file for Wells mapping, but configuration (RC-L/HC-L) do not refer to them
IRSPOTCLN
IRSPOTELN
IRSWAPBCDS
BONFUT
EQFUTSBFUE
BFO
CMFUOPFUT
EQFUOPFUT
EQOPTSBSK
XSSWAPTION
CMOPTSBSK
SWAPTION
XSOPTSBSK
CCSWAPTION
CMSWAPTION
OISWAP
CMSPOTSPT
EQSPOTSPT
IXXSSPOT

2) Overlapping values: Following Instrument codes are provided in Seeded dimension file for Wells mapping, but configuration uses different value not in Seeded dim file
IRSWAPCDS - Credit Default Swap >> Overlaps with CDS used in config
XSSWAPSWP - Cross Currency Swap >> Overlaps with FXSWAP used in config

3) Following values are missing in seeded dimension file, but used in configuration
CDS - Used in RC-L 7.a.1
TRS - Used in RC-L 7.a.2
COPT - Used in RC-L 7.a.3
OTHCDS - Used in RC-L 7.a.4
EQFWDSFWD - Used in RC-L 12.b - Col C
CMFWDSFWD - Used in RC-L 12.b - Col D
CMSWAPSWP - Used in RC-L 12.e - Col D

4) Following instruments have same instrument type code in seeded dimension file
IXSPOTSPT - Spot Index Commodity
IXSPOTSPT - Spot Index Equity
IXSPOTSPT - Spot Index Currency

5) Certain instrument types are wrongly mapped to Reg Instrument Class
Instrument Type Code >> Reg Instrument Class
[HIFD5028].[EQOPTSVAN] >> [HIFD5004].[DERIVATIVE].[ETFFXOPT] (Eq Option mapped to FX Option)
[HIFD5028].[IRSWAPSWP] >> [HIFD5004].[DERIVATIVE].[ETFCOMOTHOPT] (IR Swap mapped to Commodity Option)
[HIFD5028].[XSOPTSVAN] >> [HIFD5004].[DERIVATIVE].[ETFINTOPT] (FX Option mapped to IR Option)
[HIFD5028].[CMOPTSVAN] >> [HIFD5004].[DERIVATIVE].[ETFEQOPT] (Commodity Option mapped to Eq Option)

Cause

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