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mark_to_market

MarkToMarketRule: generates a mark-to-market transaction for FVTPL and FVOCI instruments.

Classes:

  • MarkToMarketRule –

    Generates a MARK_TO_MARKET transaction for instruments classified as FVTPL or FVOCI.

MarkToMarketRule

Generates a MARK_TO_MARKET transaction for instruments classified as FVTPL or FVOCI.

Methods:

  • applies_to –

    Return True if market data is available and the position is FVTPL or FVOCI.

  • generate –

    Generate a mark-to-market transaction based on fair value change from valuation store.

applies_to 

applies_to(
    instrument: Instrument,
    position: Position,
    context: RuleContext,
) -> bool

Return True if market data is available and the position is FVTPL or FVOCI.

Skips instruments that have matured — the maturity rule handles settlement.

generate 

generate(
    _instrument: Instrument,
    position: Position,
    context: RuleContext,
) -> list[Transaction]

Generate a mark-to-market transaction based on fair value change from valuation store.