Cash Flows from FeesSubtype of
The income I received exclusively due to exogenously defined transaction fees that stem from trading the referenced tradable between the given spot date (denoted as 0) and the given horizon date T specified in
It is also part of the PnL Explain table that is produced in association with the key when a tradable is priced with the model input.
By default, the spot date equals the globally set trade date ( i.e. valuation date) that usually equals today's date.
But if the entry to the function exists, the latter date is then regarded as the spot date.
It is represented by the time 0 in the documentation context of
Precisely, I represents an amount regarded as received at T and defined as the sum of the present values as of T of the transaction cash flows CFᵢ occurring between 0 (excluded) and T (included).
I = Σ(CFᵢ(Pᵢ/P))
CFᵢ are all realized transaction fees occurring at times Tᵢ such as 0 < Tᵢ <= T
Pᵢ are the respective funding discount factors, i.e. the discount factors seen at 0 with maturities Tᵢ, as implied by the curve associated with the issuer supplied in
P is the funding discount factor seen at 0 with maturity T, as implied by the curve associated with the issuer supplied in
This definition is very similar to that of
The only difference is that the cash flows CFᵢ in the case here are NOT implied by the tradable's contractual specifications, but must be exogenously supplied through an object of type that is carried by the tradble in association with its key