Q&A: What are the different flavors of data for trade valuation?

Trade Data

  • Agreed in the context of a particular trade or series of trades with some counterparty. Appear on the termsheet for those trades
  • Not expected to change during the lifetime of the trade, unless a correction were made to reflect a previous booking error.
  • Trade date & notional are good examples. Also position information (in the case of multiple trades on the same underlying.

Static Data

  • Generally the set of conventions which are agreed by all market participants for trades of a given type. Not something which is determined between counterparties for each trade. Becomes trade data if the counterparties agree to override certain conventional value for a particular trade
  • Not expected to change during the life of the trade, unless re-conventioning, changes to settlement lags, were made. Not sensitive to trade value.
  • Settlement lag & holiday calendar are good examples.

Market Data

  • Either directly observed in the market or transformed from them (ie. additional inhouse processing)
  • Real time. ie. change from minute to minute, day to day etc. Trade values are highly sensitive to their changes.
  • The implied vols from option prices and the current stock price and are good examples.

Model Data

  • Model parameters specific to each valuation model
  • Have no place on a termsheet since each trade could in general be valued by more than one model. Generally not considered as trade attributes
  • The number of paths used for a Monte Carlo simulation, & the number of timesteps used for a grid calculator are good examples.

Category: C++ Quant > Fix the Job You Got


  1. fascinating space. I am not sure how I turned up on it, but I am not complaining. Is this affiliated with Blogshares or something of that sort?


  2. Static data: How are you sure that the conventions regarding the practices in the market, which are probably equivalent to standing rules, do not evolve over time. The word, static, seems to indicate that these conventions are inscribed in stone, when most human practices are subject to process as well as regulation.