Bitemporal: Market Data and Curves Thoughts – Part 5
Following on from the last posting, as soon as one begins to consider lifecycle events on a deal there is the realization that an appropriate system timeline of market “data” is essential – this should be clear to anyone who has worked in capital markets. This leads to the need to ensure that the lifecycle events is linked to the correct market “data” for that event. If you recall a earlier posting I made around calculating Net Present value (NPV) for a deal (interest rate swap), the calculation needed forcast and yield curves, which effectively need to be stored with the lifecycle event of pricing and hence the initial buy/sell event with a counterparty, coupled with any post “creation” business (lifecycle) event.
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