Exposure
Type CDM 7.2.0Represents the current mark to market value or IM calculation value of the trade portfolio as recorded by the principle (in base currency).
Extends —
Extended by —
Attributes 4
Namespace cdm.event.common
Attributes
All 4 declared on Exposure. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| tradePortfolio | PortfolioState | 1..1 | Represents a Portfolio that describes all the positions held at a given time, in various states which can be either traded, settled, etc., with lineage information to the previous state. |
| aggregateValue | Money | 1..1 | Represents the aggregate value of the portfolio in base currency. |
| calculationDateTime | zonedDateTime | 0..1 | Indicates the date when the exposure is calculated if different from valuation date. |
| valuationDateTime | zonedDateTime | 1..1 | Indicates the valuation date of the exposure underlying the calculation. |
Referenced by
1 type holds an Exposure as an attribute.
Functions
Model functions that produce or consume this type. These are the CDM's own behaviour — the logic a correct implementation has to match.
| Function | Role | Description |
|---|---|---|
| Create_ExposureFromTrades | returns | Builds an Exposure structure from a list of trades. |
| GetNetInitialMarginFromExposure | takes | Computes the net initial margin, taking the gross initial margin result and the mark to market value for each trade in the portfolio. |
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