Market data cut
Table of Contents
This page states the market data component of a cut. The Cuts structure note gives the definition, the kinds and the body; this page takes the half of the body that holds values.
1. Summary
A market data cut holds the values a valuation reads at the timepoint: spots, curves, forward points, volatility surfaces, fixings and market-driven parameters, together with the approved rates that replace some of them. It is one half of the body, and the reference data, the settings and the engine version are recorded beside it, as the Cuts note sets out. Two properties follow from the purpose of a cut. The values must be attributable, because a valuation defended in a verification is defended value by value. The set must be reproducible from rules and store state, because a set a person assembled records an outcome without the procedure that produced it.
2. What it fixes
| Item | What the cut holds |
|---|---|
| Spot rates | One per currency pair, from an approved feed or an override |
| Interest rates | The discount curve per currency, as discount factors |
| Forward points | Per currency pair and tenor, consistent with the interest rates |
| Volatility | The surface per pair, at its quoted tenors and deltas |
| Fixings | The authorised fixings whose date falls on or before the cut |
| Model parameters | The market-driven parameters the pricing models calibrated from |
A currency pair names a family of rates, and the members of the family differ by the location that approved them and the instant of approval. Identification therefore takes the pair, the rates centre and the instant together. A value keyed on the pair alone denotes whichever centre answered first. See Book groups and rates centres for how a book carries the centre whose rates it revalues against.
2.1. Approved rates and overrides
Finance replaces raw values with approved rates, which are values signed off for official valuation. The practice has a public shape. The ECB publishes one reference rate per currency pair per working day, at around 16:00 CET, after a concertation procedure among central banks (ECB euro foreign exchange reference rates). One value per pair, published at a stated time, exhibits the form an approved rate takes: a value acquires official standing at a stated instant and from a stated authority.
An override carries a record: the asset or currency pair, the rates centre, the tenor, the value and the date, with the proposer, the reviewer, the approver and a mandatory comment. The record has a function. An override replaces a value that another party may later wish to re-derive, and the record is what makes the replacement answerable at that distance, when the reason has left memory.
Replacing one rate changes values derived from it. Forward points and interest rates are linked by covered interest parity, so a new value for one currency's rate tenor implies new cross-currency rates against the other currency. The derived values must be recomputed, and that recomputation is curve realignment. See Covered Interest Parity and FX Forward Pricing.
2.2. How it is built
The component is produced by resolving a set of rules against the store, and the choice of mechanism follows from the purpose. A cut exists so that a valuation can be reproduced. A set of values assembled by hand records the outcome and loses the procedure, so a later run can copy the values and can neither check them nor account for a gap. A rule-based resolution records the procedure: the same rules against the same store state yield the same values, and a requirement no rule satisfies appears as a gap.
A profile is such a set of rules. It maps a logical requirement to a physical instance, so a spot requirement resolves to one centre's approved rate and a forward requirement resolves to one curve's bootstrapped pillars. A profile is a declaration, and it carries no values.
A snapshot is the profile materialised at one instant, with every rule resolved to a specific versioned item and the result given a stable identity. That identity is what a later valuation replays. A floating snapshot is re-evaluated as the reference instant advances. A fixed snapshot is pinned to the values it resolved, and the market data half of an end of day cut is a fixed snapshot. The Kinds of cut page states what the end of day kind is for and why its instant falls at a centre's close.
3. Published sets and their provenance
A curve reaches official standing through a procedure. It is bootstrapped from quotes into a candidate, checked, and published, and the publish record states that the set is official. See Bootstrapping a curve: from quotes to a published set for the recipe and the checks, and Publish the approved set for the act.
The publish record holds the as-of, the party, the publisher, the time of publication, and the withdrawal and supersession that can follow. It is modelled in ores.marketdata.curve_publish.
The record fixes one series at one as-of. The body of an EOD cut holds many series, the deals that are valued with them, and the reference data that gives both their meaning. The relation between a published set and a cut is therefore part to whole, and it explains a fact recorded elsewhere in this repository: a binding that names a published set settles the curve and leaves the population open. See A report binds to a published curve, not to a name.
Provenance descends to the individual point. A stored point records whether it was quoted, derived or manually set, and a derived point names the recipe and the as-of that built it. See Curve Point Provenance and Lineage and provenance.
4. Where ORE Studio stands
The repository serves an as-of read over stored observations.
marketdata.v1.curve_snapshot.get returns the latest value of every node of one
composite object at the service's own clock, and its request carries no as-of
field. Two consequences follow. The read reports what the store holds at the
instant it runs, so a later call over a corrected store answers the same question
differently. And a node with no point at or before the instant appears as a hole,
which states that the store held no value for it. Provenance is available for
each point when the caller asks. See
Snapshots and cuts.
The resolution-side snapshot exists here as a definition. Market Data Snapshot defines the fixed and floating snapshot as the materialisation of a resolved market data set, and records that the engines it surveyed name no such concept. No entity, service or read in this repository implements it. The repository holds the vocabulary of the mechanism and the stored-data read, and the note describes the mechanism as a concept.
Measured against the definition of a cut, neither mechanism suffices. A cut fixes the values a valuation read. The read fixes none, because it re-resolves on every call. The published set fixes one series, because a valuation reads many. The two together supply the resolution and the provenance a cut would need, and a cut would add an identity, an authorisation and the reference data the hub sets out.
5. What the sources establish
The approved-rate claim on this page rests on the central bank reference rates cited above. The remaining claims are definitions of terms or our working convention, and the hub records which conventions those are. The claims about our own system rest on the code, and each links the note or the model that shows it.
6. See also
- Cuts — the structure note that orders this cluster, and where to read this page in it.
- Kinds of cut — the classification of the kinds that hold this component, and what each of them is for.
- Snapshots and cuts — the stored-data reads this page's position section depends on.
- Market Data Snapshot — the resolution-side snapshot this page's profiles materialise.
- Market Data Requirements and Resolution — how a logical need becomes a concrete market data item.
- Curve Point Provenance — where a stored point's source is recorded.
- Bootstrapping a curve: from quotes to a published set — how a candidate becomes a published set.
- ores.marketdata.curve_publish — the publish record a published set leaves.
- A report binds to a published curve, not to a name — the binding that reads a published set, and why one curve is not the whole body.