Intraday Engine Settings ore.xml
Configure market pricing valuation parameters, cash flow conventions, and real-time intraday curve overrides.
| Parameter Setting | ORE XML Node | Current Value | Default | Business Impact Summary | Status | |
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Imply today's fixings
Changes the numbers
Decides what the run does about the fixing of the valuation date.
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ore.xml > Setup > implyTodaysFixings | No | When No, valuation date fixing is loaded from historical fixings file. | |||
Comprehensive DocumentationDecides what the valuation run does regarding the fixing of the valuation date. When set to No, the fixing for the valuation date is loaded from the fixing file like any earlier fixing. When set to Yes, that fixing is not loaded, and the pricing engine implies it directly from the discount/forward curves. Use Yes when the run prices off hypothetical market data (e.g., scenario analysis or stress testing), as real market fixings would mismatch hypothetical curves.
Valuation Sensitivity Delta (Historical Run vs Implied)
±0.042% Variance
Schema Metadata
ORE XML PATH
ore.xml > Setup > implyTodaysFixings
INTRODUCED IN
v1.8.0.7 or earlier
REMOVED IN
—
ACCEPTED FORMAT
Flag written as Y / N, or true / false
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Include today's cash flows
Changes the numbers
Includes or excludes cash flows occurring on the valuation date itself.
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ore.xml > Setup > includeTodaysCashFlows | No | Excludes cash flows payable today from NPV calculation. | |||
Comprehensive DocumentationDetermines whether cash flows scheduled on the valuation date are included in trade NPV pricing. When set to No, today's cash flows are assumed already settled. When set to Yes, they are discounted and added to the portfolio present value. Schema Metadata
ORE XML PATH
ore.xml > Setup > includeTodaysCashFlows
INTRODUCED IN
v1.8.0.1
FORMAT
Boolean (Y/N)
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Include reference date events
Changes the numbers
Controls credit default / exercise events on valuation date.
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ore.xml > Setup > includeReferenceDateEvents | No | Ignores exercise/protection events occurring exactly on reference date. | |||
Comprehensive DocumentationSpecifies whether optionality exercises or credit default protection triggers occurring on the reference date are active in pricing context. Schema Metadata
ORE XML PATH
ore.xml > Setup > includeReferenceDateEvents
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Inflation Index Observation Lag
Convention
Overrides default 3-month CPI publication lag period.
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ore.xml > Setup > inflationLagMonths | 3 | Standard 3M lag applied to CPI index fixing lookups. | |||
Comprehensive DocumentationDefines the default publication lag in months for inflation-indexed bonds and swaps when computing zero-coupon CPI fixings. Schema Metadata
ORE XML PATH
ore.xml > Setup > inflationLagMonths
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Intraday Curve Fallback Behavior
Execution
Fallback behavior if intraday tick stream drops pricing curves.
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ore.xml > Setup > intradayFallbackMode | EOD_CLOSE | Falls back to previous business day EOD closing curve snapshot. | |||
Comprehensive DocumentationControls engine resilience during live intraday calculations if real-time tick feeds experience latency or missing market quotes. Schema Metadata
ORE XML PATH
ore.xml > Setup > intradayFallbackMode
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