Price


Function Price within
Tradable with keys Tradable Price keys computes the fair price in units of the provided reference Tradable at which the given tradable can be traded on the provided date, taking into account the provided Market and Model data.
In its simplest version, this function can be run by supplying only the input key
Markets, which serves to define the required market data that presumably apply in the pricing calculation.
Optionally, the key
Models may be also supplied if a specific pricing model needs to be taken into account or additional tasks need to be fullfilled along with the main pricing task.
Look at
Models for more details on these additional tasks that include cash flow generation and calculation of P&L, Carry and Roll.

By default, the price is calculated wrt the denomination currency of the reference tradable, but it may be also calculated in units of any other currency or even non-currency tradable by defining the optional key
Reference

The market risk, such as delta, gamma, vega, DV01 etc, can be also reported alongside the price by setting the optional
Add Risk to TRUE, in which case the two keys Risk Ref and Risk Models must be also specified.

By default, the price is calculated as of the
global trade date, but it may be also carried out as of any other given date by supplying that date through the optional key As Of

By default, the price calculation ignores any cash flows occurring on the applicable
trade date, but this can be changed by setting the optional Trade Date CFs to TRUE

The fair value of any contributing parameter may be computed and reported by setting the optional
Fair Value to TRUE

An instruction may be also set, by which one or more contributing parameters are set to specific values before the price is computed. This can be done by setting the optional
Edit Input to TRUE
This technique can be used to calculate sensitivities on tradable parameters, such as - for example - the DV01 of a swap seen as its NPV change due to a shift in its fixed rate.

Finally, step-by-step information on the atcually undertaken calculation may be generated and displayed by setting the optional
Add Info to TRUE