The market
A market is what every valuation is priced against: curves solved from quotes, the fixings past coupons read, and the reference data that says how to build both. Here you'll find how to build one the way a desk does, from a quote sheet, and what sits beneath that one call. Every later section builds its markets this way.
Where to start
Read the pages in this order:
- How a market is built: the ideas behind every page here.
- Quote sheets and recipes: a sheet becomes a market in one call.
- Curve helpers: the rungs a curve is solved from, built one by one.
- The dated market: one market holding several dates.
- Data sources: a market that fetches what a book needs.
- Books carry their market: verbs that take only a date.
- How market data reaches a market: one provider behind every process's source.
- Equity spots and vols: the spot and surface an equity product reads.
Pages
| Page | What it covers |
|---|---|
| how-a-market-is-built | explanation: recipes, rungs, sources and books, and why they're separate |
| quote-sheets-and-recipes | recipes per collateral key; sheet locators (tenor, meeting date, contract, window); every quote repriced; refusals |
| curve-helpers | deposit, meeting, window, turn, future and swap rungs; grouping by curve; a year-end turn |
| the-dated-market | explanation: a snapshot per date; on, without, dates; the fixing history |
| data-sources | the source protocol; the demand a book makes; the fetch report; gaps |
| market-data-provider-api | explanation: a provider API behind the source; storage and streaming as its own choices; a fresh snapshot; helixio-connect |
| books-carry-their-market | attaching a market; verbs at a date; a date the market does not hold |
| equity-spots-and-vols | an equity's quoted spot and its vol surface; reading them back; an unknown name refused |
| recipe-keys | catalog: every recipe key, the curves it builds, their roles and the templates that quote them |
Common tasks
| You want to | Go to |
|---|---|
| build a USD curve from par swap rates | quote-sheets-and-recipes |
| see which currencies ship a recipe | recipe-keys |
| build a curve from your own rungs | build a curve from your own rungs |
| add a year-end turn to a curve | build a curve from your own rungs |
| mark today's close and keep yesterday's | mark a daily close |
| plug in your own market data | connect a data source |
| serve market data to many processes | market-data-provider-api |
| load an equity vol grid | load a vol grid |
| value a book at a date | books-carry-their-market |
From the 0.0 line at revision bf7f2e2. Every printed number is that revision's own output.