Valuation Outputs

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.

• normalized_quantity: The unit measure for trade quantity, normalized to a daily or hourly basis.

• normalized_quantity_type: The standardized quantity type, indicating whether it is measured per day or per hour.

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

FX-Related

• base_currency_total_value_change: Total Value Change, converted to your account base currency

• fx_change_factor: Prior unrealized value, multiplied by the day-over-day change in FX rate

• fx_mtm_change: MTM change, converted to your account base currency, plus FX change factor

• fx_rate_used: Exchange rate used for FX calculations

• prior_fx_rate: Exchange rate used for yesterday's FX calculations

• NEW! base_currency_unrealized_pnl: Unrealized value at current FX rate.

• NEW! base_currency_prior_unrealized_pnl: Prior unrealized value at prior FX rate.

• COMING SOON! base_currency_realized: Realized value fixed to FX rate at the time of settlement.

Decay-Related

• 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)

Sensitivity-Related

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-Related

• 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