1. Cash Flow Engine Reference Guide
  2. Embedded Options Valuation
  3. Processing Requirements
  4. Processing Requirements

18.6.3 Processing Requirements

Embedded option valuation is only supported under Static-Deterministic Processing. Once all data-level and IRC requirements are satisfied, a user can specify the output by selecting “Calculate Option Market Value” in the Calculation Elements processing screen. If desired, the options market value may be written back to the data level by selecting “Options Market Value” in Output Preferences (base scenario; net values only.)