Timing of end of day prices

Example 3 Timing of end of day prices
A London-based firm is trading in Europe, Asia and the Americas in exchange traded
futures. For end of day price testing the organization must determine if they will use
closing price for each of the exchanges or take the price of each of the exchanges at
a certain point in time. Some exchanges close to generate an ‘official exchange closing
price’ and then reopen for late hours changing (i.e. LIFFE and DTB). In this global
environment and end of day batch processing cycles standard pricing policies are
required.
The risk practitioner chose to implement the price of all of the exchanges at a
specific point in time for financial reporting purposes. This was weighed with the
trade-off of not having the official close in the Americas, after 9 p.m. in London. The
procedure was documented and agreed with front office, systems Financial and
Operations teams. At a granular implementation level, this means specifying .LAST
on the market data screen rather than .CLOSE (that would provide the previous
days’ close in the Americas). 567