PortfolioBasedMargin
-
| Name |
Type |
Description |
|
ExtremeStressFactor
|
Decimal |
Extreme Stress Factor
|
|
Initial
|
Decimal |
Intial Margin Requirement
|
|
IntraWeek
|
Decimal |
Intra Week Margin Requirement
|
|
LiquidityThresholdAmount
|
Decimal |
Liquidity Threshold Amount
|
|
LiquidityThresholdCurrency
|
String |
Liquidity Threshold Currency
|
|
VolatilityAddOn
|
Decimal |
Volatility AddOn
|
|
VolatilityStress
|
Decimal |
Volatility Stress
|
Example
{
"ExtremeStressFactor": 15.6,
"Initial": 185.5,
"IntraWeek": 8.7,
"LiquidityThresholdAmount": 569987.0,
"LiquidityThresholdCurrency": "USD",
"VolatilityAddOn": 1000.68,
"VolatilityStress": 100.0
}