Model Settings Snapshot

Model Settings Snapshot

Model Settings Snapshot Request

The ModelSettingsSnapshotRequest message will cause Metro to send a snapshot of the model settings to the client. Model settings are set for specific months for instrument classes. To get a snapshot of a set of model settings you need to provide the instrument class and month.

Syntax

ModelSettingsSnapshotRequest <InstrumentClassID> <InstrumentMonthID>

Example

ModelSettingsSnapshotRequest 101 2235

Model Settings Snapshot Response

The ModelSettingsUpdate notification contains all of the model settings for a specific instrument class and month. The values in the snapshot depend on the type of volatility skew that is currently being used.

Syntax is dependent on the volatility skew type and whether the skew is fixed or floating. For clarity, these notification definitions have been divided into three parts. Any ModelSettingsUpdate notification will always contain the first two, while the third is exclusive to, and required for, skews with FLOATING VolPaths:

  • Global skew settings (common to all skew types)
  • Type-specific settings: these will differ according to the specific Skew Type (and possibly VolPath type; if this is the case, it will be noted below)
  • VolPath settings: if set to FLOAT, the X and Y values will be specified here. If FIXED, these parameters will be omitted.

Syntax

Global model parameters:

ModelSettingsUpdate <InstrumentMonthID> <SkewType> <FIXEDorFLOAT> <UnderlyingOffset> <CarryCost> <InterestRate> <VolMultiplier> <ExpirationDate> <Center> <CenterVol> <ATMPrice> <ATMVol>

Type-specific parameters:

Assigned (ASSIGNED):

<Strike 1> <Volatility 1> <Strike 2> <Volatility 2> <Strike n> <Volatility n>

Two-sided fixed (TWOSIDED FIXED) and Two-sided smooth fixed (TWOSIDEDSMOOTHED FIXED)

<PutSlope> <PutCurve> <CallSlope> <CallCurve> <PutWing> <PutWingSlope> <CallWing> <CallWingSlope>

Bounded Spline (BOUNDEDSPLINE) and Flexible (Cubic) Spline (FLEXIBLESPLINE) and Flexible Spline Using Offset (FLEXIBLESPLINEOFFSET)

<CallWingSlope> <CallWingDelta> <CallWingFactor> <CallFirstDelta> <CallFirstFactor>
<CallSecondDelta> <CallSecondFactor> <PutWingSlope> <PutWingDelta> <PutWingFactor> <PutFirstDelta> <PutFirstFactor>
<PutSecondDelta> <PutSecondFactor>

Quartic Polynomial (QUARTIC)

<CallCutoffFactor> <CallFirstDelta> <CallFirstFactor> <CallSecondDelta> <CallSecondFactor> <PutCutoffFactor> <PutFirstDelta>
<PutFirstFactor> <PutSecondDelta> <PutSecondFactor> <CallWingSlope> <PutWingSlope>

Standard Fourth Order (STANDARDFOURTHORDER) and Linked Fourth Order (LINKEDFOURTHORDER)

<CallCutoffFactor> <CallFirstDelta> <CallFirstFactor> <CallSecondDelta> <CallSecondFactor> <PutCutoffFactor> <PutFirstDelta>
<PutFirstFactor> <PutSecondDelta> <PutSecondFactor> <IsLinked>

VolPath settings

When using the PivotType 'FloatByStrike' or 'FloatByLogStrike', volatility path parameters will be appended to the skew parameters. The left, right and middle X and Y point and values will be present. The left and right volatility is an offset value, not the actual volatility.

<LeftPointXType> <LeftPointXValue> <LeftPointYType> <LeftPointYValue> <MiddlePointXValue> <MiddlePointYValue> <RightPointXType> <RightPointXValue> <RightPointYType> <RightPointYValue>

Example

TWO SIDED w/ FLOAT

The model parameters displayed in the Metro Model Control will not match what is published in the Subway message. This is due to display parameters within the Metro client. For example, Metro may multiply some volatility or slope value via the right click menu or the left and right volatility in the volatility path will display actual volatility versus the offset volatility in Subway.

Title

<InstrumentMonthID> <SkewType> <FIXEDorFLOAT> <UnderlyingOffset> <CarryCost> <InterestRate> <VolMultiplier> <ExpirationDate>
<Center> <CenterVol> <ATMPrice> <ATMVol> <PutSlope> <PutCurve> <CallSlope> <CallCurve> <PutWing> <PutWingSlope> <CallWing>
<CallWingSlope> <LeftPointXType> <LeftPointXValue> <LeftPointYType> <LeftPointYValue> <MiddlePointXValue> <MiddlePointYValue>
<RightPointXType> <RightPointXValue> <RightPointYType> <RightPointYValue>
ModelSettingsUpdate    2472224    TWOSIDED    FLOAT    0    0    0    1    10/26/2017    3.061    0.34758931    3.061    0.34758931    0.030284891    0.08419439    0.066061069    -0.094077646    2.543728572    -0.113225032    3.579271428    0.079029429    Percent    -9.97386475    Volatility    -0.015167811    3.061    0.34758931    Percent    9.97386475    Volatility    0.014246611