Fallback Model


Fallback Model is a direct subtype of Model[Tradable]
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with functions Fallback Model Functions, keys Fallback Model keys and example object FbackMl

TYPE INCLUSION RELATIONSHIPS

Model Tradable

Fallback Model

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Market Params

Spec Table

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TYPICAL OBJECTS OF TYPE Fallback Model

FbackMl

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This type represents the various fallback definitions that are assumed to govern the replacement of certain indices after they have ceased to exist.

Web blog examples here and here

If an object of the type here is supplied as input to a pricing function, the pricing routine will proceed after all affected indices have been replaced by their fallback equivalents.
In the opposite case, the indices will be retained and no fallback replacement will take place.

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