Sandbox Environment

FAQs

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On this page, we will find links and worked examples that can be replicated to answer the most frequently asked questions.

  • What are the different types of curves in Xplain?

    In the Curves section, we will learn how to build a curve. First, we will need to set the anchor date for the sandbox environment to 30th November 2022.

    We recommend to refer to the Permissible Values section to get a full description of all inputs for each process.

    There are four types of curves in Xplain:

    • IR_INDEX curves (e.g. USD SOFR)
    • INFLATION_INDEX curves (e.g. GBP RPI)
    • INDEX_BASIS curves (e.g. AUD 3M)
    • XCCY curves (e.g. GBP/USD)

    The difference between an IR_INDEX curve and an INDEX_BASIS curve will be driven by the permissible node types, e.g. FixedIborSwap or IborIborSwap respectively.

    XCCY curves can be defined as hybrid curves with a mix of FxSwap, XCCYIborIborSwap or XCCYIborOvernightSwap, as applicable.

    Permissible values for curve names and associated nodes per currency can be found here.

  • What are the companies/entities/portfolios used for in Xplain?

    In Xplain, a company tree will be defined by a company and its entities (and each entity’s portfolios). This can be used for instance to represent a client account and its funds, or a bank’s business unit and its trading desks.

    At the company level, you can define company’s default valuation settings and preferred valuation data providers. These can also be overriden at entity level.

    In the Portfolios section, we will learn how to create a company tree and a portfolio of trades, with default settings for valuation and exception management, prior to performing the valuation process. First, we will need to set the anchor date for the sandbox environment to 30th November 2022.

    We recommend to refer to the Permissible Values section to get a full description of all inputs for each process.

    The three steps required to define a company tree are as follows:

    1. Create a company
    2. Add entities
    3. Upload documentation, if any

    Once the company tree has been defined, you can create a portfolio of trades and define default settings for valuation and valuation data.

  • What are Market Data and Valuation Data?

    There are two types of data used in Xplain:

    • market data
    • valuation data

    Market data are stored in a market data group and correspond to the (daily) market values associated for instance to a curve node (e.g. 10Y USD SOFR swap) or to a volatility point (e.g. 5Y into 10Y ATM swaption volatility for USD SOFR).

    Valuation data are stored in a valuation data group and correspond to (daily) trade valuations sourced from third-party providers.

    In the Data section, we will learn how to input data in Xplain. First, we will need to set the anchor date for the sandbox environment to 30th November 2022.

    We recommend to refer to the Permissible Values section to get a full description of all inputs for each process.

  • How do we set up Xplain to be able to calibrate curves?

    In the Curves section, we will learn about calibration settings and how to calibrate a curve. First, we will need to set the anchor date for the sandbox environment to 30th November 2022.

    We recommend to refer to the Permissible Values section to get a full description of all inputs for each process.

    The steps required to build then calibrate a curve group are as follows:

    1. Create (or edit) a curve group
    2. Define a curve configuration that will link a curve group to a market data group and to preferred data providers on an instrument type basis
    3. Calibrate the curve group, after selecting market data sources, discount ccy and stripping type (see here)
    4. Export curve calibration results, if need be
  • How do we set up Xplain to perform valuations?

    In the Valuations section, we will learn how to run PV calculations and compare calculation results. First, we will need to set the anchor date for the sandbox environment to 30th November 2022.

    We recommend to refer to the Permissible Values section to get a full description of all inputs for each process.

    Once we have defined a curve configuration, a market data environment, a portfolio and the relevant valuation settings, the PV calculation interface can be accessed i) at the portfolio level under Portfolios/Portfolio List by clicking on PV CALCULATIONS or ii) under VALUATIONS/RUN VALUATION.

    Prior to valuing a portfolio, we need to:

    1. Set the valuation parameters
    2. Apply curve shifts, if any
  • What do the outputs mean in the calculation results?

    At the calculation results level, the various outputs are:

    1. Trades PV, T0 cashflows and greeks on a trade basis
    2. Portfolio metrics (cashflows and bucketed greeks)
    3. Graphs of calibrated curves used in the valuation process
    4. Message log of events that were recorded during the valuation process

    In the Valuations section, we will learn how to run PV calculations. First, we will need to set the anchor date for the sandbox environment to 30th November 2022.

    We recommend to refer to the Permissible Values section to get a full description of all inputs for each process.

  • What is Exception Management?

    With Xplain’s exception management module, you can cleanse and validate data in a fully audited and automated manner, according to bespoke clearing rules. This can be applied to market data and/or valuation data from various sources (including Xplain for valuation data). There is also a trade onboarding functionality.

    The process is started via a dashboard, where progress can then be monitored dynamically.

    This is described in further details in the Introduction to Exception Management section.

    Prior to learning how to start an exception management dashboard, we will learn how to define break tests here and task allocation here. First, we will need to set the anchor date for the sandbox environment to 30th November 2022.

    We recommend to refer to the Permissible Values section to get a full description of all inputs for each process.

    The prerequisites are as follows:

    For market data:

    • Define curve configurations, including primary and secondary market data sources

    For valuation data:

    • Define valuation data sources and, if Xplain is a valuation data provider, default valuation settings
    • Define the trade portfolios

    Exception management settings:

    • Define the applicable break tests for each relevant data type
    • Define the teams that will be authorised to i) clear potential breaks and ii) approve the proposed resolutions, as part of the two-stage exception management workflow
    • Upload raw market data and valuation data in the relevant data groups, as applicable

    Links between market data group, valuation data group(s), portfolio(s) and curve configuration(s) are determined through the company/entity’s valuation and valuation data provider settings. Break tests will be run on data selected according to the test’s scope granularity settings.

  • What is required to start a market data dashboard?

    For a given market data group, the steps in Xplain’s market data exception management workflow are as follows:

    1. Identify all companies/entities that are linked to such market data group
    2. Identify all curve configurations and corresponding market data provider settings that are associated to such companies/entities
    3. Identify the unique list of all market data that are referred to in those curve configurations
    4. Run and resolve preliminary break tests against such market data
    5. On a curve configuration basis, run and resolve overlay break tests against such market data.

    In the XM Dashboard section, we will learn how to perform an exception management workflow on market data. First, we will need to set the anchor date for the sandbox environment to 30th November 2022.

    We recommend to refer to the Permissible Values section to get a full description of all inputs for each process.

    The prerequisites for market data exception management are as follows:

    • Define curve configurations, including primary and secondary market data sources
    • Define the applicable break tests for each relevant data type
    • Define the teams that will be authorised to i) clear potential breaks and ii) approve the proposed resolutions, as part of the two-stage exception management workflow
    • Upload raw market data and valuation data in the relevant data groups, as applicable

    Links between market data group, portfolio(s) and curve configuration(s) are determined through the company/entity’s valuation settings. Break tests will be run on data selected according to the test’s scope granularity settings.

  • What is required to start a valuation data dashboard?

    For a given list of pricing slots (with further granularity options allowed), the steps in Xplain’s valuation data exception management workflow are as follows:

    1. Identify all portfolios that are associated to such pricing slots (this can be a subset of trades)
    2. Identify all valuation data groups and corresponding valuation data provider settings that are associated to such portfolios
    3. If Xplain is one of the valuation data providers, perform trade valuation based upon the user’s valuation preferences and (cleansed) market data
    4. On a pricing slot basis, run and resolve valuation data break tests against Xplain valuations (if applicable) and the trade valuations that can be found in the relevant valuation data group(s)

    In the XM Dashboard section, we will learn how to perform an exception management workflow on valuation data. First, we will need to set the anchor date for the sandbox environment to 30th November 2022.

    We recommend to refer to the Permissible Values section to get a full description of all inputs for each process.

    The prerequisites for valuation data exception management are as follows:

    • Define valuation data sources and, if Xplain is a valuation data provider, default valuation settings
    • Define the trade portfolios
    • Define the applicable break tests for each relevant data type
    • Define the teams that will be authorised to i) clear potential breaks and ii) approve the proposed resolutions, as part of the two-stage exception management workflow
    • Upload raw market data and valuation data in the relevant data groups, as applicable

    Links between market data group, valuation data group(s), portfolio(s) and curve configuration(s) are determined through the company/entity’s valuation and valuation data provider settings. Break tests will be run on data selected according to the test’s scope granularity settings.

Related Docs

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