Mastering Pricing Rules

In this document, you will discover how to effectively navigate and define pricing rules within your system. From understanding the types of rules available to exploring specific examples, you will gain insight into managing pricing checks efficiently.

Step 1

Examine the Golden Source pricing rules in depth. You should already be familiar with the pricing dashboard, which displays all rules across pricing boards. This allows you to view individual prices or categories with rules sorted appropriately. But where exactly are these rules defined?

Step 2

Identify the different types of rules and understand how to find them. Navigate to the market data solutions section via the designated link, where price validation instructions are located.

Step 3

Here, you can view all the rules defined across the board. The rule type and rule names are evident and can be classified by parameters such as snap time, highlighting the scope of each rule. For example, if focusing solely on an FX spot.

Step 4

Various FX spot groups are available. Sort these groups to begin with the most common one: the single vendor tolerance rules. This is an example of how such a rule appears.

Step 5

The rule type here is a single vendor tolerance check. Within this view, you can see the tolerance percentages, such as 0.35 to -0.25.

Step 6

In addition to percentage tolerances, absolute values or formulas, such as standard deviation, can be applied. Benchmark instruments and other types of tolerances are also available.

Step 7

Another type of tolerance check involves multi-vendor comparisons. For instance, a multi-vendor tolerance check is defined on swap points. Here is how it appears.

Step 8

This section outlines the comparison method, such as hierarchical comparison. Prices are sorted by vendor hierarchy, comparing the first item in the hierarchy to the others. This is an example of a multi-vendor tolerance check.

Step 9

Select a different rule set that is not a tolerance check, such as a zero check. This serves as another example.

Step 10

The zero check rule is straightforward. It flags prices that are zero or negative, and it ensures the correct order of bid and ask prices, flagging any discrepancies.

Step 11

Rules have different templates for easy definition. Parameters are minimal, focusing on the rule’s basic principles.

Step 12

You can clone rules across various asset types. For example, a tolerance check rule for FX spots can be cloned for swap rates quickly.

Step 13

Explore another rule type, the stale check rule. Several stale rules exist, such as those for bonds. Here is an example of a stale check.

Step 14

The main parameter for the stale check is the period. If prices remain unchanged for two consecutive days, they are flagged, triggering an exception on the third day.

Step 15

Lastly, examine the golden price rule. This rule is unique and differs from typical rules.

Step 16

The golden price rule selects a single price as ‘golden’ from various sources and price types, ensuring it meets specific criteria.

Step 17

In the golden price rule, the subscriber, rule type, and name are standard. However, the hierarchy is the most crucial parameter.

Step 18

Discover how to select a golden price across vendors, examining the application areas.

Step 19

The scope of the golden price rule applies to all bond issue types, among other instrument groups, based on your definitions.

Step 20

Analyze the hierarchy, a key component. Learn to navigate across different datasets from within the rule.

Step 21

Focus on a subset of the rule: the hierarchy. Sorting the hierarchy reveals the items it comprises.

Step 22

The top hierarchy item is Bloomberg's last price. If this price meets all criteria, it is immediately chosen as the golden price. If not, the next item in the hierarchy takes precedence.

Step 23

The hierarchy follows a waterfall model for selecting the golden price. Various methods exist to establish this hierarchy.

Step 24

Alternative methods for selecting a golden price include using functions to select maximum, minimum, or median prices within a time frame.

Step 25

You may also choose maximum or weighted average prices and define multiple price types within a set.

Step 26

The process involves selecting a last price as the golden price and validating bids and asks from the same contributor. This is achieved by setting these parameters.

Step 27

Ensure other types are validated. Hierarchical rules for golden prices can utilize various functions and approaches.

Step 28

Finally, explore functions like blacklisting contributors and selecting different price types. This concludes the explanation. Thank you for your attention.