The FRTB P&L Attribution Test
In market data projects, there is often a phase that requires importing and validating historical time series of market prices.…
Charlie Browne
A short history of interest rate models
This week’s note is about the central role that market data plays in the no-arbitrage valuation paradigm that emerged to…
Lognormality, GBM and Black Scholes
The Black Scholes model is used to generate implied volatilities – one of the main categories of market data. One…
Risk Neutral Valuations
Building market data systems that produce market rates for use in bank’s derivative pricing libraries requires an understanding of some…
Black Scholes vs The Heston Model
On market data projects, implied volatilities are loaded from brokers and data vendors and need to be validated. Often, they…
Taylor Series and Market Data
Users and testers on market data projects often come from the areas of market risk, IPV, and P&L. This week’s…
Calibrating Model Parameters
One of the main functions of market data that exists on curves or surfaces is for use in calibrating model…
Proxy Pricing for End-of-Period Valuation
To calculate an end-of-period valuation, a price is required. Prices can be obtained from liquid traded markets or backed out…
PCA and The Term Structure
We are working on enhancing time series validation for curves at the moment. One of the use cases for the…