scenario
Reprice a swap under named market variants and tabulate NPV versus base, showing quote bumps or replacements used.
Instructions
Reprice a swap under named market variants and tabulate NPV vs base.
Args:
market, trade, as_of: as in swap_dv01.
market_data_source: where the market numbers in this call come from. user_pasted
(the user pasted or typed the numbers in this conversation), user_file (the
user attached a file/screenshot the numbers were read from), engine_example
(an engine example's pricing block, only when the user explicitly asked to run
an example), session (a market previously stored in this session, which
itself came from one of the above). There is no value for estimated, recalled or
placeholder data. If you would have to invent numbers, do not call this tool:
ask the user for the data.
scenarios: [{name, bumps: [{curve, bp, pillar?}], replace_quotes: [{curve, pillar, value}]}]. A bump without pillar moves every pillar
of that curve; pillar is a label ("5Y", "3x6") or a 0-based
index; replace_quotes sets a pillar's quote to an explicit value.
Result: table = [{name, npv, change = npv - base_npv, edits}] starting with
base; calls = one complete pricing result per row with the quotes moved.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| as_of | No | ||
| trade | Yes | ||
| market | Yes | ||
| scenarios | Yes | ||
| request_id | No | ||
| calendar_overrides | No | ||
| market_data_source | Yes |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
No arguments | |||