Deriscope

The Excel Derivatives Periscope

Advanced_Pricing__Job_Request__Spot_Price


Τhe spot price S, which equals the NPV (Net Present Value) of the referenced tradable at the given spot date (denoted as 0).

It is also part of the PnL Explain table
PnLExplain Table that is produced in association with the key PnL Explain when a tradable is priced with the Advanced Pricing model input.

By default, the spot date equals the globally set trade date ( i.e. valuation date) that usually equals today's date.
But if the
Key Tradable::Price::As Of#1 entry to the function Function Tradable::Price exists, the latter date is then regarded as the spot date.
It is represented by the time 0 in the documentation context of
Advanced Pricing

The NPV is calculated using the market information available at 0

If the threshold date Tᵣ for assumed known fixings is specified in
Key Advanced Pricing::Fxd Resets Before, all floating rate fixings before Tᵣ are not implied by the provided curves but rather read from a supplied object of type Historical Values