Advanced Pricing


Advanced Pricing is a direct subtype of Model[Tradable]
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with functions Advanced Pricing Functions, keys Advanced Pricing keys and example object AdvPrMdl

TYPE INCLUSION RELATIONSHIPS

Model Tradable

Advanced Pricing

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Accr Before Hor

Carry

Fees

Forward Price

Full Results

Fund Crv Issuer

Fxd Resets Before

Horizon Date

Income

PnL

Roll

Spot Price

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TYPICAL OBJECTS OF TYPE Advanced Pricing

AdvPrMdl

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This type represents the specifications of any optional additional output that may be generated along side the usual output when the function Price runs on objects of type Tradable
It works as follows:
If desired, an object of this type may be supplied as input to the key Models
Then, as long as the Output entry to the function Price is set to Advanced, the pricing result will include additional quantities that correspond to the calculation jobs requested in the supplied Advanced Pricing object.
The available calculation jobs can be specified through the following flags:
PnL
Spot Price
Forward Price
Roll
Carry
Income
Fees

In the PnL case, a summary table is generated that contains a breakdown of the PnL into various components, as described at PnL Explain

Note that only one object of the type here should be supplied as input in any pricing context!