trade date


A trade date - also known as valuation date - is the date T₀ that splits past from future in a given pricing context, in the sense that all economic variables are assumed to have established known values at all times t prior to T₀, i.e. when t < T₀, but fundamentally unknown - i.e. stochastic - values for all later times t > T₀
Regarding the intraday times within T₀, there exists presumably a trading instant t₀ in the date T₀, so that complete knowledge is assumed only for the values realized at t <= t₀
In a regular pricing context faced by a trader who calculates implied spot prices using real time market data, the trade date equals today.

For example, a trader who views a specific set of market rates at the particular time t₀ = 9:37 am on T₀ = Monday, 7 March 2022, knows with certainty (at least in principle) all market rates for any time t < t₀.
Also, all sorts of economic variables are deemed to have a "certain" (non-stochastic) value at that time t₀, even if that value also happen to depend on modelling assumptions, since the latter are considered fixed and given as of t₀.
So, not only the market rates, but also discount factors for any maturity, various forward rates, option prices etc are all considered to be non-stochastic as of t₀.

A practical criterion of finding out if a given date is the trade date, is by checking if the computed discount factor with that date as maturity equals 1.

It is nevertheless conceivable that a calculation needs to be carried out under the assumption that the trade date is a different date, either in the past or in the future.
For this reason, Deriscope may be configured so that the trade date is set to any desired date.

Normally, the trade date equals the
global trade date

But there are circumstances where specific calculations need to be carried out with respect to a different trade date
In most cases this is possible through a special input to the involved function where the supplied date overrides the globally set trade date for the purposes of the respective calculation.

For example, a
Yield Curve can be easily produced with respect to any date as trade date by using the optional key Trade Date
Then such a curve could be used as input to the function
Price to calculate the price of some tradable with respect to that date, rather than the global trade date, provided that the key As Of has been set to that date.