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You can perform an impromptu valuation at any time, but you can also schedule the operation to occur at a cadence, for example every weekday at a particular time, or every business day between a range of dates, or at EOD on the 15th of every month.

Note: The dates and times you choose impact the quantity and quality of market data required. More information.

To perform an impromptu valuation, set the effectiveAt field in the valuation schedule to a specific date and time, for example 31 January 2024 at 5pm UTC. Note if you omit the time component, valuation occurs at midnight (00:00:00) at the start of that day:

"valuationSchedule": {
  "effectiveAt": "2024-01-31T17:00:00Z"
}

To schedule valuations across a range of dates, set the effectiveFrom field to the start date and effectiveAt to the end date. By default, valuation occurs every day in the range except Saturdays and Sundays. For example, to value every weekday at 5pm UTC between 1 January and 31 January 2024 inclusive:

"valuationSchedule": {
  "effectiveFrom": "2024-01-01T17:00:00Z", 
  "effectiveAt": "2024-01-31T17:00:00Z" 
}

Other fields enable you to set up a more sophisticated schedule. Consider the following example:

"valuationSchedule": {
  "effectiveFrom": "2024-01-01T17:00:00Z",
  "effectiveAt": "2024-12-31T17:00:00Z",
  "tenor": "1M",
  "rollConvention": "15",
  "holidayCalendars": ["USD", "GBP"],
  "businessDayConvention": "P"
}

Note the following:

  • The tenor of 1M(onth) overrides the default of 1D(ay) to perform the valuation once a month between January and December 2024, instead of every weekday. More about tenors.
  • Since the tenor is 1M or longer, the rollConvention of 15 overrides the default of None to perform the valuation on the 15th of the month instead of the start day in the range (which in this case is the 1st). An alternative might be EndOfMonth to value on the last day of the month. More about roll conventions.
  • The holidayCalendar codes of USD and GBP incorporate US and UK market holiday data in order to only perform the valuation on the 15th if it is a good business day in both jurisdictions. Note these are holiday calendar codes, and that the scope is defined in the recipe. More about holiday calendars.
  • The businessDayConvention of P(revious) overrides the default of F(ollowing) to value on the previous business day if the 15th is a holiday, instead of the next business day. More about business day conventions.