Package org.isda.cdm

Class 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
    • 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()  
      • Methods inherited from class com.rosetta.model.lib.RosettaModelObject

        optionalStream, processRosetta, processRosetta
      • Methods inherited from class java.lang.Object

        clone, finalize, getClass, notify, notifyAll, wait, wait, wait
    • 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 class com.rosetta.model.lib.RosettaModelObject
      • process

        public void process​(com.rosetta.model.lib.path.RosettaPath path,
                            com.rosetta.model.lib.process.Processor processor)
        Specified by:
        process in class com.rosetta.model.lib.RosettaModelObject
      • equals

        public boolean equals​(java.lang.Object o)
        Overrides:
        equals in class java.lang.Object
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class java.lang.Object
      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object