In SDX Commodities & Energy you can enter a strip of instruments, for example, a forward strip or an Asian strip. Using a strip of instruments lets you easily duplicate a series of instruments, all with the same details but each with a different expiry date, as a single structure. You do this by selecting the relevant strip from the Option Class dropdown list.
Subsequently the system enters the strip as a single structure. For this structure you can see the details of each underlying instrument in the Expiry Dates & Rates window (which you access by clicking the Expiry Dates & Rates button or the Expiry Details button depending on the instrument type and the pricing page). In this window you can edit the volume and/or settlement date for each underlying instrument as required.
However, after defining a strip instrument you can then instruct the system to decompose it into its underlying instruments. Each underlying instrument will by default take its parameters from the original strip, but will have its own set of dates.
This functionality:
Gives you more flexibility, that is, you can then edit the parameters for each underlying instrument as required. For example, after decomposing a forward strip you can then edit the traded rate for each underlying forward, or after decomposing an Asian strip you can edit the strike or the price of each underlying Asian.
Lets you see the results for each underlying instrument individually.
You can decompose a strip instrument in both the Portfolio page and the Single Option page. In the:
Portfolio page, after defining a strip instrument you decompose it to its underlying instruments by first selecting the strip instrument by clicking its title bar and then clicking the Strip button on the top ribbon bar in the Trader tab, the Sales tab or the Structurer tab.
The system then decomposes the strip instrument to its underlying instruments.
Single Option page, after defining an instrument you can then choose to add it to an existing portfolio using the Add to Portfolio button.
When defining a supported strip instrument, you must choose whether you want to add it to an existing portfolio as either a single structure (using the “Add as Strip instrument” option) or decomposed into its underlying instruments (using the “Add as multi leg” option).
Which strip instruments can you decompose?
Currently this feature is supported for single asset strips and for strips that are supported as a single structure in the Portfolio page, i.e., swap strip, vanilla strip, Asian strip and forward strip.