7.11.2005

Different flavors of data for trade valuation, II

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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

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