Valuation
Type CDM 7.2.0Defines the value of an investment, asset, or security
Extends —
Extended by —
Attributes 8
Namespace cdm.event.common
Attributes
All 8 declared on Valuation. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| amount | Money | 1..1 | Current value of the outstanding contract |
| timestamp | zonedDateTime | 1..1 | Date and time of the last valuation marked to market, provided by the central counterparty (CCP) or calculated using the current or last available market price of the inputs. |
| method | ValuationTypeEnum | 0..1 | Method used for the valuation of the transaction by the valuation party. |
| source | ValuationSourceEnum | 0..1 | Source of the valuation of the transaction by the valuation party. |
| scope | ValuationScopeEnum | 1..1 | Defines the scope of the valuation, what it applies to e.g. the collateral or the trade |
| delta | number | 0..1 | The ratio of the change in the price of a derivative transaction to the change in the price of the underlying. This field is applicable only to options and swaptions. |
| valuationTiming | PriceTimingEnum | 0..1 | Denotes when the valuation was sourced during a business day. |
| priceComponent | Price | 0..1 | Denotes the price used to compute the valuation. |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
ValuationType Condition
The below condition ensures one and only one of the two attributes: 'Valuation Method' or 'Valuation Source' is allowed. Valuation of a trade or a portfolio is either internally calculated (via M2Market or M2Model methods) or supplied from an external source (e.g Central Counterparty's Valuation). Valuation cannot be based upon internal calculations and external source at the same time.
required choice method, sourceReferenced by
3 types hold a Valuation as an attribute.
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