Rules and parameters in the "Price valuation" area
List of parameter rules in the "Price valuation" area:
| Rule | Description |
|---|---|
| Rule 1 | Equities and equity-like instruments |
| Rule 2 | Corporate bonds and other bonds |
| Rule 3 | Structured products |
| Rule 4 | Funds |
| Rule 5 | ETFs |
| Rule 6 | Foreign exchange, interest rates and commodities |
| Rule 7 | Derivatives |
| Rule 8 | Indices |
List of parameters:
| Parameter | Description |
|---|---|
| Price validity in days | [Parameter editable] Enter here the maximum permissible age (between 0 and 100 days) of a possible validation price in days.
Enable or disable the integrated stock exchange calendar by using the "Exchange Cal." switch. If the switch is turned on, any public holidays valid at the trading venue will be taken into account when calculating the price validity and the validity interval will be extended accordingly. Example
Result: Due to the registered public holiday, prices with the price date January 5, 2021 are also permitted in the price valuation as of January 6, 2021 at the trading venue "Stuttgart" and could be used by the rules and regulations. The basis is the stock exchange calendar from the "Holidays" area. |
| Stale price validity in days | [Parameter editable] Enable this setting if you want to set the limit for the outdated prices. Then enter the maximum age allowed (between 1 and 100 days) for obsolete prices in days. In the drop-down list next to it, you can then specify the exact procedure for the selection:
|
| Spread in % | [Parameter editable] Enable this setting if you want to set the limit for the maximum relative spread. Then enter the maximum permissible percentage spread for a price deviation. The maximum possible input value here is 999%. In the drop-down list next to it, you can then specify the exact procedure for the selection:
|
| Alternative price source | [Parameter currently not editable, disabled by default] Enable this setting if you want to set the external data source for price validation. Select the relevant type below:
|
| Clean/Dirty check | [Parameter currently not editable, disabled by default] Enable this setting if the "Clean/Dirty" rate type of the delivered price is to be checked. |
| Checks: Initial assessment | [Parameter currently not editable, enabled by default] Enable this setting if instruments valued for the first time are to be marked in the report (FP). |
| Fair value calculation | [Parameter currently not editable, default setting depends on security type] Enable this setting if validation via the valuation model is permitted and is marked accordingly in the report (MP). |
| Check: Negative price check | [Parameter currently not editable, default setting depends on security type] Enable this setting if instruments with negative prices are to be marked in the report. |
| Check: Zero rate/price | [Parameter currently not editable, default setting depends on security type] Enable this setting if instruments with zero prices are to be marked in the report. |
| Check: Turnover | [Parameter editable, default setting depends on security type] Enable this setting if the turnover check is to be performed on the turnover information for the product. In the drop-down list, you can then determine which average turnovers are to be used:
In the drop-down list next to it, you can then specify the exact procedure for the selection:
|
| Yesterday rating spread (fallback I) | [Parameter editable, default setting depends on security type] Enable this setting if the use of an equivalent, alternative price source with the smallest bid-ask spread of the previous day is to be used as a fallback for this asset category. |
| Displayed exchange logic (fallback II) | [Parameter editable, currently only available for rule 2 (corporate and other bonds) and enabled by default] Enable this setting if the use of an equivalent, alternative price source with the the highest priority day is to be used as a fallback for this asset category. The list of trading venues can be individually configured for the client. |
| Check: Comparative source | [Parameter editable, default setting depends on security type] Enable this setting if a subsequent quality check is to be carried out for this asset category with regard to the stock exchange or price source ("Comparison with TOP HIT source"). |
| Reference Price Spread in % | [Parameter editable] Enable this setting, if you like to define the permitted price deviation from the provided reference price. |
| Standard Deviation | [Parameter editable] Enable this setting, if you want to check the price plausibility using standard deviation. In the drop-down list of this parameter, you can then specify the exact procedure: Chose the factor (1, 1.5 or 2) and chose between "Cascade" and "Top" (this setting checks only for the set value). |
| No outliers | [Parameter editable] Enable this setting, if you want to disable the outlier handling via UI. If the customer only requires price determination via the Infront Data Manager Regulatory with basic parameterisation via the GUI - without outlier processing in the GUI - this is possible for each asset class via this parameter. In this case, the customer's instrument requests run through the standard set of rules for price determination according to the parameterisation specifications via the GUI, but no outlier is generated for validation in the event of a rule violation; instead, the price with the highest quality (Rank1) is delivered to the customer with a corresponding message (error code). The GUI is therefore used exclusively for parameterisation and as a control display terminal for the processed data and therefore does not need to be used in the daily process flow (outlier processing), as all assets have the status "Approved/Processing OK". |
You can recognise missing or prohibited data or entries by the colour highlighting:
Click the "Save" button to save changes.
See also: