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


Picking up on “getting results back from an EPM – particular delta ” :

Using the O/C EPM model is it fairly easy to get a delta result back into Endur core results via the use of an associated UDSR.

At its simplest the EPM only ever returns a MTM, and all Greeks are derived in Endur by perturbation or market data and the change in MTM.

If you want to replace this standard functionality with model derived greeks then this is done using an UDSR which calls the TRAN_GetPricingDetails() function for each deal. The O/C pricing API also takes a table pointer parameter which is NULL if the call is not via the TRAN_GetPricingDetails() function (or equivalent O/C function). If the table pointer is passed however, the EPM can populate the table with greeks (or other model derived results) and this is returned to the UDSR script and can then be injected back into the delta results.

Normally if you override the standard greeks with your own then it is best to disable the native greeks for performance purposes (and also to stop any double counting)

The process looks a bit like this (very simplified):

(1) Sim
Start Standard Endur Delta
End Standard Endur Delta

Start CustomDelta
calc delta
Iterate over deals
—Call TRAN_GetPricingDetails
table passed to EPM
—Get Pricing Details Table
—Inject delta results back into tran_gpt_delta etc as required
End CustomDelta
next call

(2) O/C Pricing Framework
Callback Start Native Delta Trapped
Callback Start Native Delta Trapped
CallBack Start Custom Delta Trapped

(3) EPM
Disable pricing (return zero for all calls)
Enable pricing
Flag that delta is requested so when model is next called
Call model to calc delta and inject into PricingDetails
Flag end custom delta so only MTM is calced on

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