Package org.isda.cdm
Class InitialMarginCalculation
- java.lang.Object
-
- com.rosetta.model.lib.RosettaModelObject
-
- org.isda.cdm.InitialMarginCalculation
-
@RosettaClass public class InitialMarginCalculation extends com.rosetta.model.lib.RosettaModelObject
Defines the initial margin calculation applicable to a single piece of collateral.- Version:
- 2.5.4
-
-
Nested Class Summary
Nested Classes Modifier and Type Class Description static class
InitialMarginCalculation.InitialMarginCalculationBuilder
-
Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description static InitialMarginCalculation.InitialMarginCalculationBuilder
builder()
boolean
equals(java.lang.Object o)
java.math.BigDecimal
getHaircut()
An element defining a haircut expressed as the percentage difference between the Market Value of the collateral and the Purchase Price of the repo and calculated as 100 multiplied by a ratio of the difference between the Market Value of the collateral and the Purchase Price of the repo to the Market Value of the collateral.java.util.List<java.math.BigDecimal>
getHaircutThreshold()
An element defining a haircut percentage threshold which is the value above (when it's lower than initial haircut) or below (when it's higher than initial haircut) which parties agree they will not call a margin from each other.java.math.BigDecimal
getMarginRatio()
An element defining an initial margin expressed as a ratio of the Market Value of the collateral to the Purchase Price.java.util.List<java.math.BigDecimal>
getMarginRatioThreshold()
An element defining a margin ratio threshold which is the value above (when it's lower than initial margin ratio) or below (when it's higher than initial margin ratio) which parties agree they will not call a margin from each other.int
hashCode()
com.rosetta.model.lib.meta.RosettaMetaData<? extends InitialMarginCalculation>
metaData()
void
process(com.rosetta.model.lib.path.RosettaPath path, com.rosetta.model.lib.process.Processor processor)
InitialMarginCalculation.InitialMarginCalculationBuilder
toBuilder()
java.lang.String
toString()
-
-
-
Method Detail
-
getHaircut
@RosettaSynonym(value="haircut", source="FpML_5_10") public final java.math.BigDecimal getHaircut()
An element defining a haircut expressed as the percentage difference between the Market Value of the collateral and the Purchase Price of the repo and calculated as 100 multiplied by a ratio of the difference between the Market Value of the collateral and the Purchase Price of the repo to the Market Value of the collateral. Haircut is alternative way to adjust the value of collateral sold in a repurchase agreement to initial margin ratio. Because an initial margin is a percentage of the Purchase Price, while a haircut is a percentage of the Market Value of collateral, the arithmetic of initial margins and haircuts is slightly different. For example, an initial margin of 102% is not equivalent to a haircut of 2%, but to 1.961% (ie 100/102%). See GMRA 2011 paragraph 2(aa).
-
getHaircutThreshold
@RosettaSynonym(value="haircutThreshold", source="FpML_5_10") public final java.util.List<java.math.BigDecimal> getHaircutThreshold()
An element defining a haircut percentage threshold which is the value above (when it's lower than initial haircut) or below (when it's higher than initial haircut) which parties agree they will not call a margin from each other.
-
getMarginRatio
@RosettaSynonym(value="marginRatio", source="FpML_5_10") public final java.math.BigDecimal getMarginRatio()
An element defining an initial margin expressed as a ratio of the Market Value of the collateral to the Purchase Price. A default value of initial margin ratio of 1.00 means there is no margin and thus no risk related with the collateral. See GMRA 2000 paragraph 2(z) and GMRA 2011 paragraph 2(bb).
-
getMarginRatioThreshold
@RosettaSynonym(value="marginRatioThreshold", source="FpML_5_10") public final java.util.List<java.math.BigDecimal> getMarginRatioThreshold()
An element defining a margin ratio threshold which is the value above (when it's lower than initial margin ratio) or below (when it's higher than initial margin ratio) which parties agree they will not call a margin from each other.
-
metaData
public com.rosetta.model.lib.meta.RosettaMetaData<? extends InitialMarginCalculation> metaData()
- Specified by:
metaData
in classcom.rosetta.model.lib.RosettaModelObject
-
toBuilder
public InitialMarginCalculation.InitialMarginCalculationBuilder toBuilder()
- Specified by:
toBuilder
in classcom.rosetta.model.lib.RosettaModelObject
-
builder
public static InitialMarginCalculation.InitialMarginCalculationBuilder builder()
-
process
public void process(com.rosetta.model.lib.path.RosettaPath path, com.rosetta.model.lib.process.Processor processor)
- Specified by:
process
in classcom.rosetta.model.lib.RosettaModelObject
-
equals
public boolean equals(java.lang.Object o)
- Overrides:
equals
in classjava.lang.Object
-
hashCode
public int hashCode()
- Overrides:
hashCode
in classjava.lang.Object
-
toString
public java.lang.String toString()
- Overrides:
toString
in classjava.lang.Object
-
-