5.52 instrument_valuation

Function File: [ret_instr_obj] = instrument_valuation (instr_obj, valuation_date, scenario, instrument_struct, surface_struct, matrix_struct, curve_struct, index_struct, riskfactor_struct, path_static, scen_number, first_eval)

Valuation of instruments according to instrument type. The last four variables can be empty in case of base scenario valuation.
Variables:

• instr_obj: instrument, which has to be valuated
• valuation_date: valuation date
• scenario: scenario [’base’,’stress’, MC timestep: e.g. ’250d’]
• instrument_struct: structure with all instruments in session
• surface_struct: structure with all surfaces in session
• matrix_struct: structure with all matrizes in session
• curve_struct: structure with all curves in session
• index_struct: structure with all indizes in session
• riskfactor_struct: structure with all riskfactors in session
• para_object: structure with required parameters
  • para_object.path_static: OPTIONAL: path to folder with static files
  • para_object.scen_number: OPTIONAL: number of scenarios
  • para_object.scenario: OPTIONAL: timestep number of days for MC scenarios
  • para_object.first_eval: OPTIONAL: boolean, first_eval == 1 means first evaluation
• ret_instr_obj: RETURN: evaluated instrument object