Running PV Calculations
Valuation Settings and Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
| Curve Date | The market data’s historical curve date (default = system date) | YYYY-MM-DD (ISO 8601) |
| Valuation Date | The valuation date (default = Curve Date) | YYYY-MM-DD (ISO 8601) |
| Company ID | Company -> Entity -> Portfolio | Any existing Company ID |
| Entity ID | Company -> Entity -> Portfolio | Any existing Entity ID |
| Portfolio ID | Company -> Entity -> Portfolio | Any existing Portfolio ID |
| Market Data Group | The market data group that contains the raw market data | See market data |
| Projection Valuation | Market data side for projection curves | Bid | Mid | Ask |
| Discount Valuation | Market data side for discounting curves | Bid | Mid | Ask |
| FX Rates Valuation | Market data side for FX rates | Bid | Mid | Ask |
| Optionality Valuation | Market data side for ATM swaption and FX volatilities | Bid | Mid | Ask |
| Skew Valuation | Market data side for Swaption and FX volatility skews | Bid | Mid | Ask |
| Curve Configuration Type | If Curve Configuration Type = “FX vs non-FX Instruments”, a different Curve Configuration will apply for FX vs non-FX trades |
Single FX vs non-FX Instruments |
| Curve Configuration | The applicable curve configuration(s) | See curve configuration |
| Stripping Type |
Dual stripping (for the projection and discount curves) or Single curve stripping See here. | OIS (DUAL) | SINGLE |
| Discount Ccy |
Applicable single currency for discounting purposes or If Discount Ccy = 'Local Ccy', the discount currency will be a function of the trade type and user parameterisation (see here) |
Any permissible discount currency Local Ccy |
| Reporting Ccy | The currency in which the calculation results are expressed | Any permissible currency |
| Market Data Source |
Data type (raw, preliminary cleansed or overlay) + Data provider (primary or secondary) |
RAW | PRELIMINARY | OVERLAY PRIMARY | SECONDARY See using MD exception management results |
| Triangulation Ccy | The triangulation currency used first when no direct base vs counter curve can be found for foreign cashflow discounting | Any permissible discount currency |
| CSA Discounting | Whether to apply a specific CSA Discount Currency when specified at trade level (see here) | Boolean |
Curve Shift Parameters and Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
| Curve | A curve that belongs to the selected curve configuration | See curve build and calibration |
| All Nodes Shift (in bps) | The parallel upwards shift, expressed in basis points (bp) | Numeric (e.g. 1 for 1bp) |
| Shift (in bps) | The node upwards shift, expressed in basis points | Numeric (e.g. 1 for 1bp) |
PV Calculation Results
PV Calculation Results and Permissible Values (on a Trade Basis)
| CATEGORY | UI Field Name | Description / PERMISSIBLE VALUE |
|---|---|---|
| Trade Summary | Trade Type |
CAP_FLOOR | CDS | CREDIT_INDEX | CREDIT_INDEX_TRANCHE FXFWD | FXOPT | INFLATION | IRS | LOAN_NOTES SWAPTION | XCCY | any custom trade type |
| Trade Summary | Trade ID | Unique trade identifier |
| Trade Summary | Counterparty | Counterparty identifier |
| Trade Summary | Counterparty Type | CLEARED | BILATERAL |
| Trade Summary | CSA Ccy | The discount currency that was applied (if any) if CSA Discounting is set to TRUE at valuation level |
| Trade Summary | Call / Put | Call or Put |
| Trade Summary | Cap / Floor | Cap or Floor |
| Trade Summary | Underlying | The trade's underlying |
| Trade Summary | Buy/Sell | Optionality or credit protection direction (where applicable) |
| Trade Summary | Expiry | Option's expiry date (where applicable) |
| Trade Summary | Start Date | Start date |
| Trade Summary | End Date | End date |
| Trade Summary | Client PV | Client PV |
| Trade Summary | Trade Ccy | The currency in which the trade metrics are expressed |
| Trade Summary | Discount Ccy | The applied discount currency |
| Trade Summary | Valuation Status | OK | ERROR (hover to see error type) |
| Metrics (Reporting Ccy / Trade Ccy) | PV | Dirty PV |
| Metrics (Reporting Ccy / Trade Ccy) | Clean PV | Clean PV |
| Metrics (Reporting Ccy / Trade Ccy) | PV01 | PV sensitivity to 1bp change in the fixed rate |
| Metrics (Reporting Ccy / Trade Ccy) | Total DV01 | Total PV sensitivity to 1bp change in interest rate |
| Metrics (Reporting Ccy / Trade Ccy) | INF01 / CS01 / BR01 | PV sensitivity to 1bp change in inflation / credit / basis |
| Metrics (Reporting Ccy / Trade Ccy) | Delta (Fwd) | FX delta, expressed in forward amount |
| Metrics (Reporting Ccy / Trade Ccy) | Delta (Spot) | FX delta, expressed in spot amount |
| Metrics (Reporting Ccy / Trade Ccy) | Gamma | DV01 sensitivity to 1bp change in interest rate |
| Metrics (Reporting Ccy / Trade Ccy) | Theta | PV sensitivity to 1 day decay |
| Metrics (Reporting Ccy / Trade Ccy) | Vega | PV sensitivity to 1bp (1%) change in the normal (lognormal) volatility |
| Metrics (Reporting Ccy / Trade Ccy) | T0 Net CFS | T0 net cashflows |
| Metrics (Reporting Ccy / Trade Ccy) | Accrued | The amount of accrued interest |
| Breakeven Metrics | Par Rate, % | Par rate |
| Breakeven Metrics | Implied Vol, bps | Implied volatility, expressed in basis points |
| FX Options | Strike | The FX Option Strike |
| FX Options | Underlying FX Rate | The FX Rate for the underlying |
| Inflation | Initial Index | The initial index |
| Inflation | Final Index | The final index |
| Loan Note | Bond Coupon, % | The bond coupon |
| Loan Note | Credit Spread, % | The credit spread |
| Loan Note | YTM (Gvt), % | The yield to maturity (Government) |
| Loan Note | YTM (Bond), % | The yield to maturity (Bond) |
| Loan Note | Clean Price, % | The clean price |
| Loan Note | Accrued (Price), % | The accrued Price |
| Loan Note | Duration | The duration |
| Loan Note | Modified Duration | The modified duration |
| Pay Leg / Rec Leg | Ccy | Leg currency |
| Pay Leg / Rec Leg | Notional | Leg notional |
| Pay Leg / Rec Leg | Rate/Margin, % | Leg fixed rate or margin, expressed in % |
| Pay Leg / Rec Leg | Index | Leg index |
| Pay Leg / Rec Leg | Freq | Leg frequency |
| Pay Leg / Rec Leg | Day Count | Leg daycount |
| Pay Leg / Rec Leg | T0 CFS | Leg T0 cashflow |
| Pay Leg / Rec Leg | PV | Leg dirty PV (in leg currency) |
| Pay Leg / Rec Leg | Accrued | The amount of accrued interest |
| Pay Leg / Rec Leg | Accrued Days | The number of days used in the calculation of accrued interest |
PV Calculation Results and Permissible Values (on a Portfolio Basis)
| Tab Name | Description | Additional Information |
|---|---|---|
| Totals | Total # Trades, dirty PV, clean PV, DV01, INF01, CS01, BR01, PV01, Gamma, Theta, Vega, expressed in the reporting currency (see definitions above) | Per trade type / underlying |
| Cashflows | Aggregated pay / receive leg cashflows (forecast), expressed in the leg currency | Per currency |
| Cashflows | Aggregated pay / receive cashflows (discounted), expressed in the leg currency | Per currency |
| Cashflows | Aggregated net cashflows (discounted), expressed in the reporting currency | Per currency |
| Cashflows | Discount Ccy / The currency used for the purpose of expressing the valuation metrics | See here for permissible values |
| Cashflows | DF | Per currency |
| DV01 | Bucketed PV sensitivity to 1bp change in interest rate, expressed in the local currency | Per curve |
| BR01 | Bucketed PV sensitivity to 1bp change in basis spread, expressed in the local currency | Per curve |
| INF01 | Bucketed PV sensitivity to 1bp change in inflation rate, expressed in the local currency | Per curve |
| CS01 | Bucketed PV sensitivity to 1bp change in credit spread, expressed in the local currency | Per selected curves |
| SPOT01 | PV sensitivity to 1bp change in the spot rate, expressed in the base currency | Per FX pair |
| FX Delta | Bucketed FX delta, expressed in spot/forward amount of the base currency | Per selected FX delta type (Fwd or Spot) |
| Net Ccy Exposure | Net currency exposure, expressed as the aggregate (delta adjusted) FX forward and FX option notionals and currency exposure related to a given currency | See here |
