Reply To: Can EPM’s be used to override the deals PnL Detail ?

#7273
Israr Ahmed
Keymaster

ANSWER 2:

There are many individual methods in the Instrument Model which can be overridden, some I am aware of or have used:

• Modify individual reset price stripping values
• Modify Variance (vol) lookup keys & values
• Modify DF values.

If you override the vol lookup, but not the final calcPresentValue(), then you will just run the base model calculation (e.g. Black-Scholes) with a new input vol, which of course will affect the output PV value.

If you are using an EPM for deal valuation then, to be more specific, you would put the call to the EPM in the calcPresentValue method of the IM. At least, I can’t think of a context where you would put it somewhere else.
If you are using the EPM to get Delta, then the call goes in a Delta RC as I described. When I have used and EPM to get deal volume updates, this just went in a generic script.

If the EPM outputs the deal valuation at a finer level of granularity than the IM allows for – maybe the EPM has its own custom definition of Realised Value which you wish to show in PnL Details – then you may wish to invoke the EPM directly from the PnL Detail RC, but I think the better solution would be to have the IM write the full EPM output to the transaction Pricing Details table, then have the RC read from this.

Download PDF version

This field is for validation purposes and should be left unchanged.