What is a Pricing/Valuation/Market Rate?

Pricing is a collection of input fields from which we calculate risk numbers on a position. It usually consists of anchor (price, oas, spreads, yields, etc.) and prepayment/loss assumption. A position could have many pricing entries (1:M) through the use of Pricing Spaces.

Valuation in Polyent valuation means “calculated results”. Each valuation is a set of hundreds of Polypaths fields that are populated through a calculation; using a pricing anchor. A valuation is determined by the Security that the position is linked to, the Pricing, the Market Rate used in the calculation, and the global calculation assumptions that the calculation job used.

A Market Rate consists of a set of rates that represents a market condition at a given time. We store market rates per day, per market rate type. The default market rate type is “E”nd-of-date. In a typical environment we will see from one to handful market rates uploaded to be stored in Enterprise every day.