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05_08_2018.txt
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39 lines (33 loc) · 1.45 KB
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Features:
- Variation Margin Posting Amount Estimate (17, 18)
- Client Net Trade Payment Estimate (19, 20)
- Variation Margin Period Start Date (21, 22)
- Variation Margin Period End Date (23, 24)
- Last Client Variation Margin Date (25, 26, 27)
- Last Dealer Variation Margin Date (28, 29, 30)
- Andersen Pykhtin Sokol Client Trade (31, 32)
- Andersen Pykhtin Sokol Dealer Trade (33, 34)
- Andersen Pykhtin Sokol Client VM (35, 36)
- Andersen Pykhtin Sokol Dealer VM (37, 38)
- Variation Margin Trade Vertex #1 (39, 40)
- Variation Margin Trade Vertex #2 (41, 42)
- Variation Margin Trade Vertex #3 (43, 44)
- VM Trade Exposure Date Array (45)
- Variation Margin Trade Pay Calendar (46)
- Variation Margin Trade Vertex Generator (47, 48)
- Variation Margin Trade Market Path (49)
- Variation Margin Trade Timeline Lag (50)
- Variation Margin Trade Trajectory Constructor (51, 52, 53)
- Variation Margin Trade Exposure Trajectory (54, 55)
- Generate the Variation Margin Trajectory (56, 57)
- Client Dealer Trade Payment Trajectory (58, 59, 60)
Bug Fixes/Clean-up:
Samples:
- Long Fixed Classical Plus Timeline #1 (1, 2)
- Long Float Classical Minus Timeline #1 (3, 4)
- Long Float Aggressive Timeline #1 (5, 6)
- Long Float Conservative Timeline #1 (7, 8)
- Short Float Classical Minus Timeline #1 (9, 10)
- Short Float Classical Plus Timeline #1 (11, 12)
- Short Float Aggressive Timeline #1 (13, 14)
- Short Float Conservative Timeline #1 (15, 16)