CoachA counterparty master is the reference-data record of the legal entities the firm deals with: for each, its legal entity identifier (One Quant Book 2, chapter 28), names, parent entity, jurisdiction and the agreements and accounts attached to it, effective-dated and bitemporal like instrument data.
pl_refdata.basket_backtest.Ejemplos
Example 6.9 (The basket that was not held)
A research note chooses 20 tickers on day 0 (five of which will be renamed and later reused, six of which will split) and asks for the basket’s buy-and-hold return over the 500 days. Point in time, with split factors, the answer is the truth: . With today’s ticker mapping and unadjusted prices it is , an error of 40.1 points: unadjusted splits alone cost 45.8 points (the right listings, unadjusted, return ), and today’s mapping alone adds 5.7 (split-adjusted, it returns , the reusers’ returns in place of the intended listings’).