Time Series Formulas

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 Time Series Formulas

Revision History

Document Name Date Description

Time_Series_Formulas.doc 2001 Initial Release
2007 Style updates

Copyright © 2007, OpenLink Financial, Inc. All rights reserved.

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Copyright © 2007, OpenLink Financial, Inc Page i

Time Series Formulas

Table of Contents
1 TIME SERIES DATA FORMULA .............................................................................................................1

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 Time Series Formulas

1 TIME SERIES DATA FORMULA

The formula indicates how to compute the value for the Time Series entry. The formula is an
arithmetic expression consisting of the following functions:
px(index, date) output price from curve
df(index, date) discount factor from curve
gpt_px(index, gpt) output price for curve grid point
gpt_df(index, gpt) discount factor for curve grid point
idx_input(index, gpt) user input value for curve grid point
idx_eff(index, gpt) effective input value for curve grid point
vol(vol, shadow, date) output value from volatility
gpt_vol(vol, shadow, row_gpt, col_gpt) output value for volatility grid point
vol_input(vol, shadow, row_gpt, col_gpt) input value for volatility grid point
vol_eff(vol, shadow, row_gpt, col_gpt) effective input value for volatility grid point
interpolate(index, date) Computes a linearly-interpolated price for specified
date

sqrt(v) square root

log(v) natural log
log10(v) log base 10
abs(v) absolute value
pow(v, p) raise ‘v’ to the ‘p’ power
min(v1,v2) minimum of v1 and v2
max(v1,v2) maximum of v1 and v2
iff(c,v1,v2) if-then-else: if ‘c’ is non-zero, then use v1, else use v2
It can also contains the standard arithmetic operators:
+ (plus)
- (minus)
* (multiplication)
/ (division)

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Time Series Formulas

The following variables are also supported:

obj index or volatility for entry
end_date end_date for entry
row_gpt row grid point for entry
col_gpt col grid point for entry
Example:
df(obj, end_date)
returns the discount factor for the current entry’s index for the entry’s end_date
(px(“NG_NYM”, “1m”) + px(“WTI_NYM”, “1m”)) / 2

Page 2 Copyright © 2007, OpenLink Financial, Inc