Market Data Usage Settings

This topic provides a hierarchical view of market data usage in Calypso. Market quotes are used throughout the system to price instruments.

The graphic below describes the dependencies when pricing or running a risk analysis.

 

 

When pricing a trade from curves, the curves are selected based on the pricer configuration and the pricing parameter INSTANCE_TYPE. The INSTANCE_TYPE can be set for a given pricing environment and product type.

 Ⓘ   [NOTE: When pricing a trade in a Trade window in real-time mode, the latest curve is used, regardless of INSTANCE_TYPE]

 

INSTANCE_TYPE = CLOSE

The system uses the CLOSE instance of the curve defined in the pricer configuration. CLOSE curves use CLOSE quotes for the underlying instruments regardless of other settings.

INSTANCE_TYPE = OPEN

The system uses the OPEN instance of the curve defined in the pricer configuration. OPEN curves use OPEN quotes for the underlying instruments regardless of other settings.

INSTANCE_TYPE = LAST

The system uses the LAST instance of the curve defined in the pricer configuration.

If the environment property CURVE_USE_CLOSE_AFTER_LAST is True (default value), and there is a more recent CLOSE instance, then the CLOSE instance will be used instead.

When using the LAST instance, the quote side of the underlying instruments depends on the setting of the pricing parameter CURVE_USAGE:

• CURVE_USAGE = BID – The curve uses BID quotes
• CURVE_USAGE = ASK – The curve uses ASK quotes
• CURVE_USAGE = MID – The curve uses MID quotes

For FX, FX Options, and CRD trades, the quote side of the underlying instruments depends on the setting of the pricing parameter USE_BUY_SELL_CURVE_SIDE

• USE_BUY_SELL_CURVE_SIDE = True - The system uses ASK quotes for Sell trades, and BID quotes for Buy trades, regardless of CURVE_USAGE.
• USE_BUY_SELL_CURVE_SIDE = False.

For CRD trades, the system uses CURVE_USAGE.

For FX and FX Options trades, the quote side of the underlying instruments depends on the setting of the pricing parameter USE_FX_MID.

– USE_FX_MID = True, the system uses MID quotes regardless of CURVE_USAGE.
– USE_FX_MID = False, the system uses CURVE_USAGE.

 Ⓘ   [NOTE: The recommended setting for USE_BUY_SELL_CURVE_SIDE is False because of the way risk analyses and numerical pricer measures perturb LAST curves. They only perturb the MID quotes, so the generated perturbed curve points will have BID = MID = ASK, regardless of USE_BUY_SELL_CURVE_SIDE]

 

When pricing a trade from quotes, the quotes are selected based on the pricing parameter QuoteUsage: BID, MID, ASK, LAST, OPEN, or CLOSE.