Derivatives · T656 · Margin & PnL

Derivatives Margin Workbench

One workbench, three related computations: event-market linear PnL (settlement vs strike), margin health (unrealized PnL, buffer, liquidation price, leverage) against a venue margin model you declare (regulated-DCM or offshore-perp class, with its own initial/maintenance margin rates rather than a built-in per-venue table), and, when you add a second position, two-leg correlation-VaR cross-margin efficiency. Closed-form approximations of the same computations live risk engines run, not a stress-grid margin system, and not financial advice.

Margin Health Declared Venue Model Zero PII Client-Side
Scope & reliance: 🔒 All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data — use synthetic or anonymised inputs only. Venue margin conventions, funding mechanics, and event-contract terms vary and change; verify current parameters with the venue before trading. Cross-margin efficiency here is a closed-form correlation-VaR approximation, not the stress-grid your venue's actual risk engine runs. Deterministic logic · no inference · zero PII · runs offline · CC BY 4.0.
Event-Market Position (Linear / Scalar Payoff)
Clamped to [min, max] before the delta is taken.
Margin Position & Venue Margin Model
Declared, never looked up by venue name: same doctrine as the funding-mechanism parameter.
Cross-Margin Efficiency (optional second position)