What are the rules around rounding values? Are they restricted to two decimals places?
The
EFET Standards do not specify to what decimal place counterparties must
match, however, counterparties are required to agree to what decimal place
they will use on each trade.
The EFET Standards do provide an explanation as to the rounding
process:
'For the purposes of rounding the fields for ‘Financial Transactions’:
“Total Contract Value”, “Total Volume” and “Total Premium Value”, the
rounding mechanism to be used must be ‘Rounding to Even’ such that:
• 3.016 rounded to hundredths is 3.02 (because the next digit (6) is 6 or
more)
• 3.013 rounded to hundredths is 3.01 (because the next digit (3) is 4 or
less)
• 3.015 rounded to hundredths is 3.02 (because the next digit is 5, and the
hundredths digit (1) is odd)
• 3.045 rounded to hundredths is 3.04 (because the next digit is 5, and the
hundredths digit (4) is even)
• 3.04501 rounded to hundredths is 3.05 (because the next digit is 5, but
it is followed by non-zero digits)
This rounding mechanism must also be used for “Total Fee” for all
transaction types.
For more information please refer to the EFET Standards V4.4 Page 83