Hi OG team - I’m sorry in advance if the question is unclear or confusing, I’m not that savvy on financial terms.
Is there any documentation of the different types (and samples) of market data that are expected or supported by the pricing engine, and their role in the process?
I’m trying to create a few scenarios for an internal application - for example:
- PV01 for swap (for example fixed-float, like the CurveScenarioExample)
- PV01 for internal date ranges in a swap (for example, PV01 for the next 18 months, whatever leg payments fall in that period)
- Pricing a (missing) fair rate for a fixed leg by the floating leg (couldn’t find a similar example, maybe I’m misunderstanding something)
But all I really have at hand is two types of market data:
- Daily file from ICAP with annual interest rates for the next 50 years for every index (1M, 3M, 6M, 1Y), for example - a line like: currency=USD, index=3M, tenor=2Y, bid=0.04, ask=0.04
- OIS rates I can pull at any given time, I assume it’s very similar to the sample data I see in the examples
I’m sure I’m missing something, but it seems to me that’s not even enough data to value the swap correctly, is that correct?
On a side note, approaching a project like mine without a financial background is a nightmare.
Whether or not it can help me, purely from a very experienced developer’s perspective, this framework is incredibly well designed and executed. The additional effort to go open source is even more impressive.
I’m very new to financial software and have only heard horror stories so far, you can imagine my surprise. Well done and thanks.