PelatihIndependent price verification (IPV) is the process by which the market prices and model inputs used by a desk are verified against sources independent of it (broker quotes, trades, consensus services) and the marks corrected when they fall outside a tolerance.
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Example 27.9 (Verifying the volatility marks)
The desk marks both strikes at 95 basis points; an illustrative consensus gives 97 for the 4.50% payer and 91 for the 3.50% receiver, the market’s skew, with a tolerance of 2 basis points. The payer’s mark sits on the boundary and stands; the receiver’s is moved to 93, which lowers the value of the short receivers and adds USD 146 482. The flat marks also explain the vanna: a desk that marks no skew sees no reason for its vega to change when rates move.