CoachMargin optimisation is the choice of where to hold each position, and how to pair positions within each account, so that the total margin and financing cost across a firm’s brokers and clearing houses is least for the same book.
| allocation | margin A | margin B | margin C | total margin | annual cost |
|---|---|---|---|---|---|
| all at A | 71.55 | – | – | 71.55 | 6.88 |
| all at B | – | 72.00 | – | 72.00 | 5.99 |
| all at C | – | – | 144.00 | 144.00 | 10.92 |
| pro rata | 14.60 | 24.00 | 15.00 | 53.60 | 5.82 |
| optimised | 20.40 | 6.00 | 7.50 | 33.90 | 4.98 |
fm_treasury.summary.
fm_treasury.summary.