Specific values and Bloomberg fields for different security types

EQUITIES

– Cost Factor = 1
– Notional Factor = PX_POS_MULT_FACTOR
– Exposure Factor = PX_POS_MULT_FACTOR
– Principal Factor = 1
– PricingID = NULL

SWAPS

– Cost Factor = 0
– Notional Factor = PX_POS_MULT_FACTOR
– Exposure Factor = PX_POS_MULT_FACTOR
– Principal Factor = 1
– PricingID = Select the Underlying

OPTIONS

– Cost Factor = OPT_CONT_SIZE_REAL
– Notional Factor = OPT_VAL_PT or PX_POS_MULT_FACTOR
– Exposure Factor = OPT_VAL_PT or PX_POS_MULT_FACTOR
– Principal Factor = 1
– PricingID = NULL

– ExpirationDate: Bloomberg mnemonic is OPT_EXPIRE_DT.
– StrikePrice: Bloomberg mnemonic is OPT_STRIKE_PX.

FUTURES

– Cost Factor = 0
– Notional Factor = PX_POS_MULT_FACTOR
– Exposure Factor = PX_POS_MULT_FACTOR
– Principal Factor = 1
– PricingID = NULL
– DeliveryDate: Bloomberg mnemonic is FUT_DLV_DT_LAST or FUT_DLV_DT_FIRST.

BONDS

– Cost Factor = 0.01
– Notional Factor = 0.01
– Exposure Factor = 0.01
– Principal Factor = PRINCIPAL_FACTOR
– PricingID = NULL

– CouponRate: Bloomberg mnemonic is CPN.
– Facevalue: 100 by default.
– MaturityDate: Bloomberg mnemonic is MATURITY.
– IssueDate: Bloomberg mnemonic is CPN_ASOF_DT.
– CouponFrequency: Bloomberg mnemonic is CPN_FREQ.
– FirstCouponDate: Bloomberg mnemonic is FIRST_CPN_DT.
– LastCouponDate: This is the addition of a period to the Penultimate Coupon Date – (PENULTIMATE_CPN_DT + CPN_FREQ)
– CouponPaidAt: Bloomberg mnemonic is PREV_CPN_DT.