Cash Position
Table of Contents
A cash position holds an amount of cash in a currency. ORE models it
with the trade type CashPosition. The container node is
CashPositionData. This note records the domain grounding, as ORE
documents it in its product catalogue.
1. Identifiers
What a trader books it as, and what to grep for. The codes are the trade type catalogue's, which is what the database enforces.
| Field | Value |
|---|---|
| Full name | Cash Position |
| Short name | Cash Position |
| ORE Studio product code | CashPosition |
| Asset class | equity |
| Family | Position |
| ORE trade data node | CashPositionData |
| ORE documentation | cashposition.tex |
2. Summary
A cash position is the trade representation of an amount of cash in a
currency. It can be a stand-alone trade type or a trade component
inside a total return swap. The node carries two elements: the
Currency and the Amount.
3. Detail
3.1. What it is
ORE defines the trade node as follows:
The CashPositionData node is the trade data container for the CashPosition trade type.
Source: ORE User Guide, Products catalogue, cashposition.tex.
ORE describes the dual role as follows:
A cash position can be used both as a stand alone trade type (TradeType: CashPosition) or as a trade component within the TotalReturnSwap (Generic TRS) trade type.
Source: ORE User Guide, Products catalogue, cashposition.tex.
3.2. In plain terms
A cash position is the smallest trade there is: a currency and an amount. It books the cash side of a transaction. The amount can be positive or negative, so it also books a debt.
3.3. How it works in ORE
The CashPositionData node is the trade data container for the
CashPosition trade type. Currency is the currency of the cash
position. Amount is the amount of the cash position and can be any
real number. A negative amount represents a cash debt.
3.4. Mathematical notes
The value of a cash position is its amount in its currency. There is no payoff formula and no schedule. The position carries no market risk factors of its own.
3.5. What moves its value (static sensitivities)
- The amount itself.
- Nothing else: cash in its own currency has no market risk factors.
When the position must be valued in another currency, the FX rate into that currency applies.
3.6. How the profile ages (dynamic sensitivities)
A cash position has no schedule and no maturity. Its value does not change with time. It is the fixed reference against which the other legs of a structure are measured.
3.7. Why a customer would want it
A cash position books the funding or return side of a trade. As a stand-alone trade it records a cash balance. As a component of a total return swap it represents the cash leg against the asset leg. In ORE Studio a customer books cash positions to complete the cash flows of a structure.
3.8. Example
ORE's catalogue shows one million euro of cash:
<CashPositionData> <Currency>EUR</Currency> <Amount>1000000</Amount> </CashPositionData>
Source: ORE User Guide, Products catalogue, cashposition.tex,
listing Cash Position data.
4. See also
- Knowledge — the hub of all knowledge notes, with the alphabetical product run.
- ORE User Guide, Product catalogue: products.tex, which inputs cashposition.tex. The upstream project is OpenSourceRisk/Engine.