Pricing vs Valuation

Contract Valuation: Contracts tab

When a contract is created, you select a future instrument per contract delivery line. This future instrument can then be changed on the main contract tab if the contract is not priced (partial or complete).

The Future Instrument on the Contract tab controls the valuation instrument of the contract delivery line.

Contract Pricing: Risk tab

The future instrument selected on the Risk tab on the pricing section will be the future instrument used for pricing. This can be changed per contract delivery line when there is no pricing fixed yet (partial of complete).

Note: A contract can have different valuation and pricing instruments.

For Futures To be fixed, the "Pricing period" is taken into account to determine the position of the asset in Mark to Market.

Pricing and Valuation for Contracts with Multiple Deliveries

When a new To be Fixed Contract with multiple deliveries is created, the pricing period is always set to the futures period which has been assigned to the Contract delivery line. This has no association or connection with the delivery period for the delivery line.

For example, if there are 3 delivery lines on a Contract scheduled for April 2020, May 2020 and June 2020 and the Future assigned to them is May 2020, all the delivery lines will have the pricing and the valuation period set to May 2020. However, the reporting period will follow the delivery timelines which would be April 2020, May 2020 and June 2020.

If a new delivery line is added to an existing contract, the pricing period will be the same pricing period assigned on all the existing deliveries in the Contract.  The same valuation period is also assigned which keeps the pricing and valuation period consistent. Similarly, the reporting period is based on the delivery timeline selected by the user at the time of delivery creation.