PROP_RATE_1BUSDAY
The PROP_RATE_1BUSDAY scheduled task is used to roll the quotes which are not liquid, from the valuation date to the next business day.
You can use Valuation Date Offset to adjust the valuation date as needed, depending on when you run the scheduled task. For example, you can set Valuation Date Offset = -1 to roll the quotes from the previous business day to the current business day.
It also allows copying quotes from one quote set to another.
An audit trail is maintained on the quotes but you will need to ensure that the environment property QUOTE_AUDIT_CLOSE_B is set to false. If not, you will only audit the CLOSE price.
Ⓘ [NOTE: If the actual valuation date is greater than system date + QUOTE_MAX_DAY_FUTURE, the quotes are not saved. The environment property QUOTE_MAX_DAY_FUTURE controls the number of days in the future for which quotes can be saved]
Common Attributes
The Pricing Env and the Business Holidays are mandatory.
The other attributes have no effect except for Timezone, Valuation Time and Valuation Date Offset.
Task Attributes
| • | Include Quote Names Like – This mandatory field expects a list of strings (separated by |) that can contain a wildcard ‘*’ to select the quote names that should be saved. ‘*’ stands for any number of characters, possibly 0. |
| • | Exclude Quote Names Like – This optional field expects a list of strings (separated by |) that can contain a wildcard ‘*’ to select the quote names that should not be saved. |
| • | Source Name – This attribute provides options for managing the quote's source name: |
| – | Automatic: The source name of the quote is created in the format ST_<STID>, where STID is the scheduled task's id. |
| – | Null: The quote's source name is not included. |
| – | Same: (Default) the quote's source name is copied over as is. |
| • | Quote Type Is – Additionally, you can also specify a quote type. |
| • | Do Not Overwrite Existing Quote – Default is false. If true, you need to load the Quotes from the nextBusDay, then merge them with the previous one only if the value is 0. |
| • | Num Of Bus Days – By default, the quotes are rolled by 1 business day. You can select number of business days (1 or 2) as needed to roll the quotes to Today + Number of Bus Days. |
| • | BID, ASK, LAST, OPEN, CLOSE, HIGH, LOW – Mandatory, you can select the same instance or another instance from the previous day. For example, OPEN = CLOSE means that yesterday’s CLOSE quote is copied into today’s OPEN quote. |
| • | Source Quote Set – Select the source quote set (mandatory). |
| • | Destination Quote Set – Select the destination quote set where you want to roll the quotes (mandatory). It can be the same as the source quote set. |
| • | Roll Known Date - Default is false. If set to true, the Known date is the date on which the quote is first made available /traded. For example, for an index where no quotes are available for 6/29 and 6/30, and last available quote was for 6/28 then on running ST PROP_RATE_1BUSDAY the 'known date' should be 6/28 for the quotes being pulled into 6/29 and 6/30. |
Examples for using 'Include/Exclude Quote Names Like'
In order to save all quotes in the system, but not the fixings T3750 and T3310 one would configure:
Include Quote Names Like: *
Exclude Quote Names Like: *.T3750|*.T3310
In order to save all FX spot quotes (not the FX fwd or the FX fixings) one would configure:
Include Quote Names Like: FX.*.*
Exclude Quote Names Like: FX.*.*.*
In order to save all MM and Swap quotes used to build the rate curves one would configure:
Include Quote Names Like: MM.*.LIBOR01|Swap.*.LIBOR01
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