Different flavors of data for trade valuation, II

« Q&A: Are you a perfect match for Google? | Main | Q&A: What's the trader referring to when he says... »

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 > From the Trenches

Wandering around the Blogosphere

Outward Focused: Horizontally and Vertically Smart
STUSPACE - Steve Sjogren: Session 2 Notes on Vineyard Leader Meeting Read Re-imagine!by Tom Peters! Big Churches have 3 things that small churches don t Power,Heart for Service, and Marketing. If...

The Idea Economy: Battle over right to sell knowledge Technology...
Genius Now - Recommended reading. Dont take my word for it I got the recommendation fromTom Peters. The Idea Economy: Battle over right to sell knowledge Technology International Herald Tribune In another...

Attention Economy (3)
alt.milan - From The Attention Economy: The Natural Economy of the Net: In a full attentioneconomy practically all organizations will be basically temporary, eithercommunities in which attention is shared...

Merck sentencias VIOXX : Marcador 1 a 1
EL DIA DESPUES DE AYER - El pasado mes de agosto abr el blog con un post que se haca eco de la primerasentencia desfavorable para Merck. Esta le condenaba a pagar la mdica cifra de253 millones de dlares para indemnizar...

Tom Peter #39;s blog talks about a medical clinic in a...
NSP Strategist - Tom Peter s blog talks about a medical clinic in a Wal-Mart: ... Memorial Hospitalof South Bend, Indiana, ...is first to put a quick medical center in a Wal Martstore. Inspired by the menus...

No comments:

Post a Comment