FinancialUnitEnum
Enum CDM 7.2.0Provides enumerated values for financial units, generally used in the context of defining quantities for securities.
Values 8
Namespace cdm.base.math
Values
8 permitted values.
| Value | Description |
|---|---|
| Contract | Denotes financial contracts, such as listed futures and options. |
| ContractualProduct | Denotes a Contractual Product as defined in the CDM. This unit type would be used when the price applies to the whole product, for example, in the case of a premium expressed as a cash amount. |
| IndexUnit | Denotes a price expressed in index points, e.g. for a stock index. |
| LogNormalVolatility | Denotes a log normal volatility, expressed in %/month, where the percentage is represented as a decimal. For example, 0.15 means a log-normal volatility of 15% per month. |
| Share | Denotes the number of units of financial stock shares. |
| ValuePerDay | Denotes a value (expressed in currency units) for a one day change in a valuation date, which is typically used for expressing sensitivity to the passage of time, also known as theta risk, or carry, or other names. |
| ValuePerPercent | Denotes a value (expressed in currency units) per percent change in the underlying rate which is typically used for expressing sensitivity to volatility changes, also known as vega risk. |
| Weight | Denotes a quantity (expressed as a decimal value) represented the weight of a component in a basket. |
Referenced by
1 type holds a FinancialUnitEnum 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 |
|---|---|---|
| MapFinancialUnitWithScheme | returns | — |
| MapFinancialUnitEnum | returns | — |
| FilterQuantityByFinancialUnit | takes | Filter list of quantities based on unit type. |
| MapNotionalAmountWithIdToQuantityWithLocation | takes | — |
| MapCurrencyAmountToQuantity | takes | — |
| MapNumberOfOptionsAndOptionEntitlementToQuantity | takes | — |
| MapOpenUnitsToQuantity | takes | — |
| MapEquityDerivativeBaseQuantityWithLocation | takes | — |
| MapNetPriceToPriceWithLocation | takes | — |
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