Trade Date Fixings


Key Trade Date Fixings of function Price in Tradable refers to an optional boolean flag that determines how rates fixed on
trade date should be handled.
If FALSE, any trade date fixings are not considered known, but are instead implied by the provided curves during pricing.
If TRUE, such fixings are considered known and must be part of the historical data supplied through an object of type
Historical Values
Default is FALSE
Note, a TRUE setting would lead to a calculation failure if the applicable trade date fixings are not explicitly supplied as part of the input historical data.
A TRUE setting may also affect the risk (DV01) output since the trade date fixings - if any - are not shifted in the course of calculating the instrument's price contingent on shifted market rates.