IT Documentation

This document sets out the file format specifications for Total Return Futures Conversion Parameters files and provides detailed field descriptions.

The purpose of this document is to provide useful additional information to developers about trading facilities for the Total Return Futures (TRF) Contract on Optiq Derivatives.

The TRF Conversion Parameters files provide the following data to the members on a daily basis:
■ Contract referential data: Contract code, Maturity, Number of days to expiry, Daily Settlement Price,etc.
■ Pricing of Funding leg and Dividend leg: Daily accrued funding, Daily accrued dividend, Accumulated funding, Accumulated dividend, etc.