Generating Cashflow from Settlement Payout

[lolabeis]

Background

As a consequence of the Asset Refactoring work, foreign exchange is no longer represented as a Product combining two Cashflow payouts. Instead, a foreign exchange transaction is represented as a single SettlementPayout.

However, for downstream purposes like reporting, there is a need to continue to use the Cashflow objects that are implied by a foreign exchange transaction.

In addition, the Cashflow type itself would benefit from a review to assess:

• Whether it is still required as a type of Payout
• Whether it could be generalised to represent the flow of any asset, not just cash
• Its relationship with the Transfer event

Proposal

The proposed change will be discussed in the Derivatives Products and Business Events Working Group. It is split into 3 parts:

1. Refactor the Cashflow component to harmonise with Transfer, leveraging the new Asset type as an attribute.
2. Implement a function that returns one or more Cashflow from a SettlementPayout. The function is designed to be generic and should work regardless of the type of asset underlying the settlement payout.
3. Remove the Cashflow option from the Payout choice, on the basis that this type of payout is no longer populated or used.

Cashflow Refactoring.pptx

Compatibility

This change would refactor existing components and therefore contains backward incompatible changes. The change would only be built in the current development version (i.e. 6-dev.x) of the CDM.