Valuation Outputs

Updated by Sameer Soleja

Molecule outputs calculations, trade attributes, custom fields, and more on Valuation outputs. Below is a brief catalog of columns and their meanings.

Technical documentation on how to retrieve Valuation data via the API, is available at https://developer.molecule.io/reference/valuations-2

Attributes

These fields are taken directly from related models in Molecule. They are provided for easy reporting and diagnosis.

Account

  • interest_rate: Account Interest rate used for option calculations

Agreement

  • agreement_category: The Category field from any related agreement
  • agreement_description: The Description from any related agreement

Product

  • commodity: The commodity that the Product represents.
  • currency: The Currency for the Trade's Product
  • energy_market: Submarket for the Trade's Product (i.e., real-time, day-ahead)
  • flavor: Type of option, i.e., European, American
  • instrument: Financial instrument (i.e., forward, swap, future, option, etc.)
  • iso: ISO/TSO for the Trade's Product
  • price_type: Text field from Product
  • pricing_component: Pricing component used for the Trade's Product (i.e., LMP, SPP, Congestion)
  • uom: The Trade Product's unit of measure

Trade

  • account: The company name on your Molecule account
  • alpha: For v1 formulas, the value at right of the equation, outside the last parenthesis
  • asset_name: Name for the related asset (for As-Gen trades)
  • block: For exchange trades, whether they were executed on a screen or "blocked in" by a broker. Material to allocation calculations.
  • book: The # book entered on the trade. There can only be one value.
  • broker / broker_name: The handle / long name of the introducing broker used for the trade.
  • call_put: Option Call or Put
  • cogs: Decimal field that comes directly from the trade
  • cogs_method: lifo, fifo, or wacog
  • contract_quantity: For an exchange trade, the number of lots
  • contract_start / contract_end: Start/end date of the subleg's tenor
  • counterparty: The long name of the external company the trade is with.
  • direction: buy or sell
  • fcm / fcm_name: The handle / long name of the Futures Clearing Merchant (aka Prime Brokerage) used for the trade.
  • interval_ending: For an hourly (or more granular) subleg, the ending period of the contract_start
  • notes: Text field from Trade
  • origin: The legal entity used from your account
  • po/so: Text field from Subleg
  • product / product_name: The ticker / long name of the trade's Product
  • serial: Text field
  • strike: Option Strike
  • tags: All the tags on the trade, including Book and Trader tags
  • trade_date: Date entered by the user (or defaulted), as the date the trade was made. This is the first day this subleg will produce valuation rows.
  • trade_executed_at: If set, the execution time of the trade (as opposed to the time it was booked in Molecule). Usually set for exchange trades originating from a Molecule feed.
  • trade_price: The trade's price per unit, as entered (or as resolved through a formula)
  • trader: The trader who executed the Trade
  • <name>_fees: Total value of the fees on this Trade, in this category

Audit Fields

A valuation row is typically created approximately when its parent trade is entered. It is updated when new market data for that as-of date arrives.

  • created_at: The date/time the valuation was calculated in Molecule
  • updated_at: The last date/time the valuation was updated in Molecule

Custom Fields

Custom fields from the Trade, as well as related objects, show up in Valuation outputs

  • <name>+ : Custom field from related trade
  • <name>:+b : Custom field from related book
  • <name>:+c : Custom field from related counterparty
  • <name>:+p : Custom field from product

ID Fields

IDs are typically integers, and are provided in Valuation outputs where a user might have a way to know them (i.e., Trade ID), or where they might be of value in a lookup on another model (i.e., Subleg ID).

  • asset_id: Unique ID for a related asset (for As-Gen Trades)
  • external_exec_id: ID provided to Molecule by an external system, like an exchange. Not unique.
  • friendly_id: Deprecated: ID just for your account; starts at 1 and has no gaps (other than deleted trades)
  • leg_id: Unique ID for the trade leg
  • mg_id: ID that is used to link trades in a group together. Defaulted to the oldest trade ID, but can also be any text
  • subleg_id: Unique ID for the trade subleg
  • trade_id: Unique ID for the trade, within Molecule (note: unique per Production environment). Will have gaps in the sequence.

Mark & Price Fields

  • formula: If applicable, the trade's Price formula
  • mark: The computed/found market price used for valuation calculations
  • mark_contract: The tenor of the mark that marked this trade
  • mark_product: The ticker of the Product used to mark this trade
  • mark_product_name: The long name of the Product used to mark this trade
  • original_trade_price: Trade price as entered, ignoring actualization
  • pricing_status: If using an advanced v2 Formula Price, whether pricing has started or is complete.
  • prior_mark: The market price used for the prior day's valuation. Used for daily change computation.
  • underlying_price: Underlying price used for Option calculations

Option Status Fields

  • abandon: Whether the option has been abandoned
  • exercised: Whether the option has been exercised (manually or automatically)
  • expired: Whether the option has expired worthless

Valuation

These are the primary calculated outputs of the Valuation process.

  • as_of: Reporting date for which this line item is calculated
  • cash_flow: The amount of cash expected to move at settlement. For a physical, this is trade price * quantity. For a financial, this is the value of unrealized. On settlement date, both physical and financial have the value of realized.
  • contract_month: Start date of the subleg's tenor, rounded to the 1st of the month. Useful for grouping dailiy trades.
  • dodd_frank_notional_value: Trade price * unit quantity
  • explanation: P&L Attribution
  • first_notice_date: subleg's first notice date, as computed based on first notice rules.
  • intrinsic_value: Option intrinsic value (i.e., max(0, ((underlying - strike) * unit_quantity)) * direction). For linear instruments, this is set to unrealized.
  • months_to_expiry: Decimal representing time to expiry, in months
  • mtm_change: day-over-day change in Unrealized P&L
  • notional_value: Mark * unit quantity
  • payment_date: Payment date, as calculated from the Agreement or Trade Payment Date attribute
  • priced_mtm: If using an advanced v2 Formula Price, the mtm of the quantity that has priced.
  • prior_realized: Yesterday's realized value, if available
  • prior_unrealized: Yesterday's unrealized value, if available
  • realization_date: The date that Molecule expects the final market price to be available on this trade. On this date, Molecule will change the Status to Realized.
  • realized: The value of the trade that is realized; in other words, the value that is no longer exposed to a price movement.
  • realized_fees: Any fees on the trade, that have been set to accrue by the as-of date of this valuation
  • settlement: Financial or Physical
  • settlement_date: Date on which this subleg realizes. After this date, it will not produce any standard valuation rows.
  • status: Realized or Unrealized
  • time_to_expiry: Decimal representing time to expiry, in years. Used for option calculations
  • total_value_change: Today's realized + unrealized value, plus fees, minus yesterday's equivalent.
  • unpriced_mtm: If using an advanced v2 Formula Price, the mtm of the quantity that has not priced.
  • unrealized: The value of the trade that is still exposed to market price movements.
  • unrealized_fees: Any fees on the trade that have not been set to accrue as of the date of this valuation
  • valuation_completed: Boolean; true if this row's calculations completed successfully

Option-Specific

These valuation outputs primarily matter for options.

  • delta: Option delta. For linear instruments, 1 * unit quantity.
  • vega: Option vega
  • theta: Option theta
  • gamma: Option gamma
  • realized_average_price: Average Price used for Asian/Average Price Option calculations
  • volatility: Volatility used for option calculations, expressed as a decimal (i.e., 0.01 for a 1% volatility)
  • volatility_method: Whether volatility was implied, or a given volatility was used
  • base_currency_total_value_change: Total Value Change, converted to your account's base currency
  • fx_change_factor: When multiplied by mtm_change, results in FX converted mtm_change
  • fx_mtm_change: MTM change, converted to your account's base currency.
  • fx_rate_used: Exchange rate used for FX calculations.
  • prior_fx_rate: Spot rate used for yesterday's FX calculations.
  • average_actual_price: Average Price used for Decay calculations
  • decayed_delta: Delta of the remaining trade quantity, using decay schedule
  • decayed_realized: Shadow realized value for intramonth P&L, for Products set to decay
  • decayed_unrealized: Shadow unrealized value for intramonth P&L, for Products set to decay. Note that this uses mark * (quantity-decayed quantity)

These fields are related to Molecule's automatic sensitivity analysis features.

  • high_mark, low_mark: High and Low underlying prices used
  • high_current_unrealized, low_current_unrealized: Standard unrealized calculations, adjusted for sensitivity
  • high_intrinsic_value, low_intrinsic_value: Standard intrinsic value calculations, adjusted for sensitivity
  • risk_adjustment: the risk adjustment rate applicable to the counterparty for this trade. Multiply against an unrealized value to get a risk-adjusted P&L.
  • interest_rate: interest rate used for computing the adjustment
  • discount_periods: n from the standard present value calculation used for risk adjustments
  • ir_discount_factor: calculated as (1 + interest_rate)^n

How did we do?