Manuel Carrera Standard Schedule Contribution 2

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[vallslaura]

Implementation of the Standardized Schedule Method for Initial Margin Calculation in CDM - Release Notes

Standardised Schedule - Key Features

Background

Following the initial contribution of the Standardized Schedule Method for calculating Initial Margin (IM) within the Common Domain Model (CDM) and after receiving feedback from the working group, further work has been carried out to enhance the model by introducing new functionalities.

What is being released

In this second contribution, improvements have been made to the model, categorized into three main areas: the creation of conditions, code optimization, and cosmetic changes.

Key components of this release include:

• New conditions have been added to validate the outputs of functions, ensuring they make sense from a business perspective.
• Code optimization has been implemented to reduce redundancy by avoiding repetitive use of qualifying functions within data extraction functions, resulting in improved efficiency.
• The name of one function has been updated, and some definitions have been expanded for better user understanding.

Conditions

• Added new PositiveNotional post-condition:
  • Ensure the notional is greater than 0.
• Added new ValidCurrency post-condition:
  • Ensure the currency is a valid ISO 3-Letter Currency Code.
• Added new PositiveDuration post-condition:
  • Ensure the duration is greater than 0.
• Added new PositiveGrossInitialMargin post-condition:
  • Ensure the gross initial margin is greater than 0.
• Added new NonNegativeNetInitialMargin post-condition:
  • Ensure net initial margin is non-negative.
• Added new TotalGIMAddition post-condition:
  • Ensure that only a single currency exists.
• Added new NGRAddition post-condition:
  • Ensure that only a single currency exists.

Types

• Modification to the StandardizedSchedule type
  • The following conditions have been added: PositiveNotional , ValidCurrency , and PositiveDuration .
• Modification to the StandardizedScheduleTradeInfo type
  • The attributes grossInitialMargin and markToMarketValue, which were previously of type Quantity, are now of type Money. Additionally, the conditions PositiveGrossInitialMargin and SameCurrency have been included.
• Modification to the StandardizedScheduleInitialMargin type
  • The condition NonNegativeNetInitialMargin has also been added.

Functions

• Modification to the BuildStandardizedSchedule function
  • Aliases for productClass and assetClass have been introduced to serve as temporary variable assignments.
• Modification to the StandardizedScheduleNotional function
  • The qualifying functions have been substituted with the newly created aliases.
• Modification to the StandardizedScheduleNotionalCurrency function
  • The qualifying functions have been substituted with the newly created aliases.
• Modification to the StandardizedScheduleDuration function
  • The qualifying functions have been substituted with the newly created aliases.

Rename

• GetStandardizedScheduleMarginRate is now used instead of GetIMRequirement.