QS.EVALUATE.FROM.SNAPSHOT

Prices each instrument at its origination timestamp, constructing each matched market once per batch

Category: QuantSupport - Pricing.

QS.EVALUATE.FROM.SNAPSHOT(store: text, instruments: cell or range, timestamps: cell or range, pricer: text, request_name: text or blank, fixings: text or blank, rule: text or blank, quote_level: text or blank, transpose: logical or blank) → spilled range
Parameters:

  • store (text) – Historical market archive handle; each distinct matched snapshot is constructed once per batch, using its actual market reference date

  • instruments (cell or range) – Contract or trade handles aligned one-for-one with origination timestamps; blanks are rejected; contracts use Receive and contractual notional, while trades preserve position terms

  • timestamps (cell or range) – Offset-aware origination timestamps aligned one-for-one with instruments in row-major order; blanks are rejected; Previous selects the latest complete market at or before each timestamp

  • pricer (text) – Pricer handle from QS.PRICER.CREATE; must support the native trade type

  • request_name (text or blank) – One request: Value (omitted or blank default), FairRate(index), YieldToMaturity, ModifiedDuration, ZSpread, OAS; QS.EVALUATE also returns Cashflows or Sensitivities tables

  • fixings (text or blank) – Optional prepared context or CONTEXT.ADD.FIXINGS input handle; omitted or blank uses an empty history; histories are not automatically filtered by publication vintage

  • rule (text or blank) – Optional Exact, Previous, or Closest matching rule; omitted, blank, or empty text defaults to Previous; Closest may select future data, with ties preferring the earlier snapshot

  • quote_level (text or blank) – Optional Mid, Bid or Ask; omitted or blank defaults to Mid; a missing selected side raises an error

  • transpose (logical or blank) – Optional TRUE transposes the entire spill; omitted or blank defaults to FALSE; table headers move with their fields

Returns:

One scalar per instrument in input order, with no stored evaluation objects. Historical batches reuse each distinct selected market and preserve its actual valuation date. transpose=TRUE exchanges rows and columns; omitted transpose defaults to FALSE. Empty output returns a blank cell.

Return Type:

spilled range

Errors:

#VALUE! for invalid or misaligned inputs, blank historical timestamps/instruments, stale handles, unsupported scalar requests, missing markets or pricing failure. Historical errors identify the input row. Invalid transpose/headers flags return #VALUE!; use TRUE/FALSE or leave optional flags blank.

Formula

=QS.EVALUATE.FROM.SNAPSHOT(store, instruments, timestamps, pricer, request_name, fixings, rule, quote_level, transpose)

Calculation

Runs on Excel’s main calculation thread.

Native Declaration

fn qs_evaluate_from_snapshot (store : & str , instruments : * const XLOPER12 , timestamps : * const XLOPER12 , pricer : & str , request_name : Option < String > , fixings : Option < String > , rule : Option < String > , quote_level : Option < String > , transpose : * const XLOPER12 ,) -> Result < * mut XLOPER12 , XllError >

Rust source