Pricing Steps Tracing
Deriscope allows the user to inspect within Excel a log of the algorithmic steps that are undertaken in any pricing calculation.
There are two available methods.
The first method is the simplest and works as follows:
Assume for concreteness that the cell N4 contains the ds formula =ds(M5:N7) that invokes the local functionPrice on a particular Deriscope Object of Deriscope TypeTradable and the user selects that cell while the Wizard is open, as shown below:
Then the Info Area displays a few suggestions, one of which is the sentence:
To display the pricing steps click here
If the user clicks on the blue hyperlink label here in the highlighted phrase, the Info Area displays a text that describes in chronological order the algorithmic steps taken by Deriscope in the course of pricing this particular tradable:
The shown text describes the process executed according to the top level algorithm that applies to all tradable types and all modelling assumptions.
At various stages, various subprocesses are invoked and their detailed descriptions are accessible through blue-color hyperlinks.
This hyperlink structure allows for a thorough inspection of the the whole pricing process down to the tiniest reportable detail.
In practice and in the majority of cases, the user is advised to ignore the appeared text and jump straight to the main pricing routine by clicking on the circled hyperlink label here to get to the following:
The displayed information is quite readable and follows the thread of the specialized execution logic that applies to this particular pricing case.
While not guaranteed, it is possible that by perusing all these data, something odd would spring to one's attention that would lead to the cause of the wrong result.
The second method is hardly used, but is mentioned here nevertheless for completeness.
It makes use of the optional KeyAdd Info#1 of the Price function.
trueds formula containing the Price function with Value set to TRUE, the output object will include the tracing information described above.
It is nevertheless adviced that this technique is used only if such a tracing information is desired because of the associated overhead that may undermine the overall computational efficiency.