The Market Price result shows the market value of the instrument as both a percentage and as an amount.
It is defined as a percentage and as an amount.
In the:
Single Option page the market price result represents the option premium, or the cost to enter into the specified option.
By default the system displays this result for a swaption and all supported swaption strategies for the spot premium convention. However, you can choose to toggle between the results calculated for the forward premium and the spot premium using the Premium Spot <> FWD buttons. For more information see Working With the Forward Premium Conventions.
Portfolio page the market price result is result is shown for both swaps and options. For
Swaps, it represents the Swap NPV of the deal.
Options, it represents the option’s premium, or the cost to enter into the specified option.
For a swaption this result is always displayed for the spot premium convention. Its market value for the forward premium convention is displayed in the FWD Premium field in the input area.
When displayed as a percentage the Market Price result is calculated as follows:
<Swap NPV or market price> / <Notional> * 100
Where Notional is always the notional of Leg 1.
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For certain instruments, you may have chosen to amortize the instrument’s notional, that is, to increase or decrease the notional for each coupon. You do this via the Swap Cash Flow Dates window. In such circumstances the notional used to calculate the market price % is always the notional of the current coupon for Leg 1. |
If you defined a margin, this result generally includes that amount. For more information see Adding a Margin.