{{name}}
| PARAM | VALUE |
|---|---|
| type | {{index.type}} |
| {{param}} |
|
{{tradeId}}
Description
| PARAM | VALUE |
|---|---|
| {{param}} |
|
{{legId}}
| PARAM | VALUE |
|---|---|
| {{key}} | {{leg[key]}} |
| IndexName | IndexId |
|---|---|
| {{indexName}} | {{indexId}} |
| Constant | Value |
|---|---|
| {{cstId}} | {{cstVal}} |
| fixDate | startDate | endDate | payDate | nominal | payoff |
|---|---|---|---|---|---|
| {{ leg.cashFlows.fixDate[i-1] }} | {{ leg.cashFlows.startDate[i-1] }} | {{ leg.cashFlows.endDate[i-1] }} | {{ leg.cashFlows.payDate[i-1] }} | {{ leg.cashFlows.nominal[i-1] }} | {{ JSON.stringify(leg.cashFlows.payoff[i-1]) }} |
{{modelId}}
Description
| PARAM | VALUE |
|---|---|
| {{param}} |
|
{{x}}
| name | {{param}} |
|---|---|
| {{model[x]['name']}} |
|
{{curve}}
| pillar | {{model[curve].pillars[i-1]}} |
|---|---|
| values | {{model[curve].values[i-1]}} |
| interpolation | {{model[curve].interpolation}} |
| factor | {{param}} | |
|---|---|---|
| {{factorName}} |
|
{{vol}}
| factor | {{param}} |
|---|---|
| {{factorName}} |
|
{{name}}
| PARAM | VALUE |
|---|---|
| {{param}} |
|
{{assetId}}
| {{param}} | |
|---|---|
|
|
Pricing
| TRADE | PRICE |
|---|---|
| {{trade}} | {{price}} |
Calibration Report
| index | maturity | strike | optionType | initialPrice | mcPrice | payoffMean |
|---|---|---|---|---|---|---|
| {{context.data.logs.calibrationReport.index[i-1]}} | {{context.data.logs.calibrationReport.maturity[i-1]}} | {{context.data.logs.calibrationReport.strike[i-1]}} | {{context.data.logs.calibrationReport.optionType[i-1]}} | {{context.data.logs.calibrationReport.initialPrice[i-1]}} | {{context.data.logs.calibrationReport.mcPrice[i-1]}} | {{context.data.logs.calibrationReport.payoffMean[i-1]}} |