Column | Definition |
HAIRCUT | self-explanatory |
PURCHASEPRICE | self-explanatory |
WTAVGPURCHASEPRICE | For liquidation purposes? |
CURRENTPRICE | self-explanatory |
COMMITMENTAMOUNT | What’s the difference between commitment and face amount? |
FACEAMOUNT | same as COMMITMENTAMOUNT? |
NOTIONALAMOUNT | COMMITMENTAMOUNT*PURCHASEPRICE/100.0 |
MTMAMOUNT | COMMITMENTAMOUNT*(CURRENTPRICE-PURCHASEPRICE)/100.0 |
INDEPENDENTAMOUNT | NOTIONALAMOUNT*HAIRCUT/100.0 |
SPECIFIEDAMOUNT | ? |
STANDARDAMOUNT | ? |
FUNDEDAMOUNT | same as NOTIONALAMOUNT? |
UNFUNDEDAMOUNT | ? |
Double notionalAmount = commitmentAmount * purchasePrice /100.00 ;
// amount of collateral
Double independentAmount = notionalAmount*haircut/100.00;
// mark to market
Double mtmAmount = commitmentAmount*currentPrice/100.00 - notionalAmount;
// funded amount
// if not revolver... have to check
Double fundedAmount = notionalAmount ;
// else fundedAmount = ?
// unfunded amount
Double unFundedAmount = notionalAmount - fundedAmount;
// if SRO.. ?
Double nonSpecifiedAmount = fundedAmount;
//double specifiedAmount = 0.0;
// else (if NonSRO)
// double nonSpecifiedAmount = 0.0;
Double specifiedAmount = unFundedAmount;
