Reply To: Market Price Index Pricing

#8849
Greg Eves
Participant

There’s nothing as direct as the JVS method.

Are you coding in Java or C#? If you’re in Java, I’d be inclined to wrap the JVS method in-line in your OC. If you are in C# you can do the same thing with Toolkit.

If you want to do it in pure OC then depending on the lookup method being used you’d need to pull the Market Price Lookup Type, Market Price Index, Market Price Gridpoint Input/Effective and possibly the Market Price Gridpoint Name fields from the underlying instrument. With these you could then load the curve, find the correct gridpoint and get the price.

OpenLink may have added functionality to do this in a less roundabout way in OC in later versions but I’d need to see the documentation.

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