1. Cash Flow Engine Reference Guide
  2. Cash Flow Dictionary
  3. Cash Flow Columns
  4. Margin Type Code (IR_MARGIN_TYPE_CD)*
  5. Data Verification Requirements and Suggested Defaults

8.2.75.3 Data Verification Requirements and Suggested Defaults

Margin can be defined as Rate or Percent. IR Margin type code column is used to identify the kind of Margin provided.

  • Possible values are 0 and 1. Rate Spread is referred by 0. If Rate spread is 2%, provided as 2 in margin related columns.This rate will get added to the Forecasted Rate to arrive at the net rate used by the instrument.
  • Percent Spread is referred by 1. If Percent spread is 5% of the repriced rate, then it is provided as 5 in margin related columns.This rate will get multiplied by the forecasted rate to arrive net rate used by the instrument.