Analytics and Pricing Environment

ABOUT CALYPSO ANALYTICS AND PRICING

Pricing data are collected in a pricing environment: market data (quotes, curves, volatility surfaces, correlation matrices), pricing routines, and pricing parameters.

See Introduction to Pricing Environment for details.

 Download PDF - Pricing Environment Overview

 Download PDF - Market Data Server

 Download PDF - Correlation and Covariance Matrices

 Download PDF - Curves

 Download PDF - FX Curves

 Download PDF - FX Volatility Surfaces

 Download PDF - Market Quotes

 Download PDF - Volatility Surfaces

Market Data

 Market Data Overview

Curves and Surfaces

Curve underlying instruments

Commodity curves

Correlation and covariance matrices

Credit curves

Equity curves

FX curves

Hypersurfaces

Interest rate curves

Volatility surfaces

Volatility surface underlying instruments

Market Data Audit

Market data changes are not audited by default. To audit changes to market data, add the market data types you wish to audit to the domain "classAuditMode".

Market data types are defined in the domain "marketDataType". For example, CurveFX, CurveZero, VolatilitySurface3D, etc.

Saving a Curve as a Blob

For curve windows that include the “Save Non Blob” checkbox, the checkbox is selected by default. When selected, curves are saved both as blobs and in database tables. When the checkbox is cleared, curves are saved only as blobs. Therefore, when the checkbox is not selected, clearing blobs will require users to regenerate curves since they aren’t saved in the database. Calypso recommends leaving this checkbox selected by default.