Valuation Data Permissible Values

Top ↑

Valuation Data Groups

Valuation Data Group Attributes and Permissible Values

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

Valuation Data

Valuation Data Attributes and Permissible Values

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

Introduction to Xplain
Curves
Portfolios
Data
Valuations
Data Cleansing
Preferences
Admin
Importing and Versioning
XVA Module
TRS Module