Is there a validation process on the pricing templates in the codebook?

Hanson_Yang

May I know is there a validation process on the pricing templates in the codebook? (e.g. FX forward, FX option, etc.)

Gurpreet

Hello @Hanson_Yang

Can you please elaborate on what you mean by "validation process on the pricing templates".

Hanson_Yang

Hi @Gurpreet

Thanks for your reply. In codebook, there are many pricing templates API (e.g. IRS, FX Option, EQ Option, etc.). May I confirm whether there was a validation process on the accuracy of the results for the pricing API?

Besides, may I ask whether it is possible to share the underlying raw code for pricing scripts of FX Option, FX Forward and Swaps with us as we need internally validate the codes. It will be super grateful if you could provide!

Thank you very much!

Gurpreet

Hello @Hanson_Yang,

The code samples provided with codebook using the LD Library are also available on the GitHub. You can see that it uses the LD Library underneath the hood, which can be downloaded from the pip. Some of the code is implemented in the library as a part of ease of use layer - which can be seen in the library source code. Other functionality/calculations is provided by the LSEG servers. The methodology of those calculations is not publicly documented. You can reach out to the product groups to ask about these model calculations by raising a ticket at LSEG MyAccount.