Consistency Check
Subtype of Job RequestThis is a boolean that is TRUE if and only if the Fwd Surp due to Curves equals the PnL due to Curves
It is also part of the PnL Explain table PnLExplain Table that is produced in association with the key PnL Explain when a tradable is priced with the Advanced Pricing model input.
In fact, these two values must be equal and the boolean here must be TRUE
The reason is the following:
As shown in the table PnLExplain Table, the following hold:
Fwd Surp due to Curves = H - Fᵣ
PnL due to Curves = H - S/P + C - Fᵣ + F
Therefore, these two values being equal is equivalent to:
S/P = C + F
which must hold as long as the spot price, carry and forward have been calculated correctly because:
S is the present value of all cash flows
C*P is the present value of those cash flows occurring at or before horizon
F*P is the present value of those cash flows occurring strictly after horizon