Market data sets enable you to group your market data curves (yield curves, interest rate volatility curves, and exchange rate volatility curves), so you can apply them as a set when you revalue deals. For example, you can group all of your LIBOR curves for different currencies into a single market data set, or you can group curves of different currencies into a set to revalue a specific deal type, such as Cap or Floor deals.

When you define a market data set you can define which side of the market (Bid/Ask, Bid, Ask, or Mid) and which interpolation method you want to use for the curves when you use them as part of a market data set. For example, if you group all of your yield curves into a market data set, but each curve in the set uses a different side or interpolation method, you can choose a single market data side and interpolation method for each type of curve (yield curve, interest rate curve, and exchange rate curve) in the set. Technically, overriding the market data side and interpolation method defined on the curve level.

Once you define your market data sets, you can set up the default market data set that you want to use to revalue each deal type and product type combination. For more information on setting up default market data sets for deal revaluation, see: Deal Type/Product Types.

Defining Market Data Sets

Use the Market Data Sets window to assign a group of yield curves, interest rate volatility curves, and exchange rate volatility curves to a market data set.

Market data sets enable you to flexibly define which side of the market (Bid/Ask, Bid, Ask, or Mid) should be used to price or revalue a deal with a particular market data set.

Prerequisite

• Define at least one market data curve. For more information, see: Defining Market Data Curves.

To define a market data set, do the following

1. Navigate to the Market Data Sets window.

2. In the Set Code field, enter a code for the market data set.

3. In the Description field, enter a description for the market data set.

4. Enable the Authorized check box if you want to authorize the market data set for use.

5. In the [ ] Descriptive flexfield, enter flexfield information as required.

6. To add market data curves to the market data set, in the Curve field of a blank row in the Yield Curves, Exchange Rate Volatility Curves, or Interest Rate Volatility Curves tab regions, choose a market data curve that you want to add to the market data set.

   Note: If you want to add a curve to a market data set that already is defined in the system, you can add the curve directly from the Market Data Curves window. For more information, see: Defining Market Data Curves.

7. If you are going to value Foreign Exchange, Bond, or Equity deals using the market data set, in the Other Market Data tab region, do the following:

   • If you are going to value Foreign Exchange deals, in the FX Spot field, choose the default side you want to use to value the deals. You can choose Bid/Ask, Bid, Ask, or Mid. The default value is Mid.

   • If you are going to value Bond deals, in the Bond Price field, choose the default side you want to use to value the bond price. You can choose Bid/Ask, Bid, Ask, or Mid. The default value is Mid.

   • If you are going to value Equity deals, in the Stock Price field, choose the default side you want to use to value the stock price. You can choose Bid/Ask, Bid, Ask, or Mid. The default value is Mid.

8. To set the market data side or interpolation method for each curve type in the market data set, do the following:

   • Choose the Set Parameters button on the Yield Curve, Interest Rate Volatility Curve, or Exchange Rate Volatility Curve tab region. The Set Parameters window appears.

     Note: The list of parameters that appears depends on which tabbed region you activated the Set Parameters window from.

   • In the Market Data Side field, choose the side that you want to use for the curve type. You can choose from the following values: Curve Default, Bid/Ask, Bid, Ask, or Mid.

   • In the Interpolation Method field, choose the interpolation method that you want to use for the curve type. The choice of interpolation methods depends on which curve type you are defining the parameters for.

9. Choose the OK button to save the parameters or Cancel to close the window without saving. You return to the Market Data Sets window.

10. If you want to view the details for a curve in the market data set, choose the curve, then choose the Curve Details button. The Market Data Curve window appears, populated with the details for the chosen curve.

11. Save your work.