Description
Discount value by one-minus-haircut and clamp cash shortfall at zero.
Risk and sensitivity terms depend on return units, horizon and model structure. A covariance contribution or local price approximation describes only part of a portfolio or instrument's risk and does not establish a safe investment.
Discount value by one-minus-haircut and clamp cash shortfall at zero.
When to use this tool
Use Overnight Collateral Haircut Cash Gap when you need one explicit risk or sensitivity term.
How to use the tool and how it works
- Enter marketValue, haircut, cashRequired. Use the units and conventions below.
- Run the tool. Correct any format, range, or cross-field input error before interpreting the output.
- Read eligibleValue, shortfall. Use the output convention below.
Require nonnegative market value/cash required and haircut in [0, 1]. Discount value by one-minus-haircut and clamp cash shortfall at zero.1
| Input field | Meaning and units | Accepted input |
|---|---|---|
| marketValue | Market Value | Required. Finite number; minimum 0. |
| haircut | Haircut | Required. Finite number; minimum 0; maximum 1. |
| cashRequired | Cash Required | Required. Finite number; minimum 0. |
| Output field | Interpretation | Returned shape |
|---|---|---|
| eligibleValue | Eligible Value | Required. Finite number. |
| shortfall | Shortfall | Required. Finite number. |
{
"input": {
"marketValue": 1000,
"haircut": 0.1,
"cashRequired": 950
},
"output": {
"eligibleValue": 900,
"shortfall": 50
}
}Limitations and assumptions
- Haircut is caller supplied. This one collateral term omits volatility, settlement, eligibility and legal collateral rules.
- Inputs must satisfy both the field types and the cross-field conditions above. Invalid input causes an error; a successful false flag or documented placeholder is a different result.
- Numeric calculations use binary floating point unless exact decimal-integer arithmetic is explicitly stated. No hidden measurement tolerance or decimal rounding is added; nonfinite or out-of-contract results are rejected. Numeric signed-zero results are exported as zero.
Alternative or Complementary methods
Use the complete portfolio or instrument model, including covariance consistency, nonlinear effects and scenario analysis. Verify scaling and estimation assumptions before interpreting a partial term as total risk.
References
Similar or alternative tools
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