Valuation data are (daily) trade valuations sourced from third-party providers. They will be stored in a valuation data group (as described below) and will be required when defining a valuation data environment.
For each trade, Xplain automatically generates a unique identifier, referred to as a valuation data key (VDK). (*)
VDKs will be used to map valuation data to the relevant trade when performing valuation data anomaly detection.
(*) VDK = CompanyID & “_” & EntityID & “_” & PortfolioID & “_” & TradeID
On this page, we will discuss how to upload data in the relevant valuation data environment.
Valuation Data Group Example
You can use for example the predefined ‘COB LONDON’ valuation data group, or define your own independently. This page will guide you through the process using an example: defining a ‘NEW VD GROUP’ that replicates ‘COB LONDON’. You can download the example .CSV data import files here.
Valuation Data Groups
A valuation data group comprises raw valuation data from various third-party providers.
Each valuation data group is associated to a pricing slot which will determine eligibility when performing valuation data anomaly detection.
The two steps required to upload valuation data are as follows:
1. Creating a Valuation Data Group
Under
setting Name = NEW VD GROUP,
setting Pricing Slot = LDN COB,
selecting Companies = NEWCOMP, and
unselecting Shared between teams
A description of a valuation data group’s attributes and corresponding permissible values are set out in the table below.
| Field Name | Description | Permissible Values |
|---|---|---|
| Name | The name of the valuation data group | Free text |
| Pricing Slot | The pricing slot associated with the valuation data group | See pricing slot permissible values |
| Company | The company that will have access to the valuation data group |
Any existing company See company configuration |
| Shared between teams | Whether the valuation data group will be accessible across all teams | Boolean |
| Teams |
The team(s) that will have access to the valuation data group Applicable only if Shared between Teams = FALSE |
Any existing team(s) See creating a team |
2. Uploading Valuation Data
Under
Valuation Data Key
For each trade, Xplain automatically generates a unique identifier, referred to as a valuation data key (VDK).
Valuation data that cannot be mapped to a trade via a valid VDK will be flagged as “UNRESOLVED Valuation Data”.
To manually add valuation data to your valuation data group, click on
inputting Key = NEWCOMP_NEWENT_NEWPORTFOLIO_USDOIS_10Y,
Provider = ICE, Date = 2022-11-30, and Value = -1,353,341.99
To import valuation data, click on and select the relevant valuation data list definition .CSV import file.
You can download the import file template here 
.
| Field Name | Description | Permissible Values |
|---|---|---|
| Key | The associated valuation data key |
CompanyID & “_” & EntityID & “_” & PortfolioID & “_” & TradeID See portfolios section |
| Provider | The valuation data’s provider |
Any existing data provider See data providers, including XPLAIN, NAV and NOTIONAL |
| Valuation Date | The trade’s historical valuation date | YYYY-MM-DD (ISO 8601) |
| Value | The trade’s historical valuation | Numeric |
| Delta | The trade’s historical delta (optional) | Numeric |
| Vega | The trade’s historical vega (optional) | Numeric |
| Gamma | The trade’s historical gamma (optional) | Numeric |
| Theta | The trade’s historical theta (optional) | Numeric |
| Rho | The trade’s historical rho (optional) | Numeric |
| Par Rate | The trade's historical par rate (optional) | Numeric |
| Spot Rate | The trade's historical spot rate (optional) | Numeric |
| Implied Vol | The trade's historical implied volatility (optional) | Numeric |
| ATM Implied Vol | The trade's historical ATM implied volatility (optional) | Numeric |
| Realised Vol | The trade's historical realised volatility (optional) | Numeric |
| Fair Vol | The trade's historical fair volatility (optional) | Numeric |
