Deriscope

The Excel Derivatives Periscope

Key__b_As_Of__b__of_function__b_Price__b__in_type__b_Tradable__b_


Key As Of of function Price in Tradable refers to an optional date T₀ that sets the valuation (or trade) date, which is the date associated with the pricing output.
If not specified, it is regarded equal to the currently set global valuation date Tᴳ₀
All cash flows are discounted down to that date T₀

If T₀ differs from Tᴳ₀, all other input data will be reconstructed - if permitted - using T₀ as reference.

For example, an input object of type
Yield Curve would be rebuilt using T₀ as its effective trade date, but only if its own Key Market::Trade Date setting allows for this substitution by not having been previously set to some specific fixed date.
This means, the valuation would proceed using curves that - when observed at T₀ - are (almost) identical in shape to the corresponding spot curves observed at Tᴳ₀ and not to their corresponding T₀-forward curves observed at Tᴳ₀
It follows that if T₀ > Tᴳ₀, the produced price will NOT equal the T₀-forward price obsrved at Tᴳ₀

If T₀ is set to the date of the last relevant cash flow, the evaluation outcome will be zero, except if the flag Trade Date CFs is set to true.