Markets, instruments and pricing conventions

Start every market with QS.CONTEXT.CREATE. Its quote store reference date is the valuation date. Base currency/index and quote side govern native market construction. Additions belong to that stable root. Evaluation commits the complete definition pass and lazily constructs only its required dependencies on workers.

Bootstrapped and explicit curves

Use independent identifier and quote arrays for bootstrapping. Mid/Bid/Ask fields may have different locations and orientations; they must align by entry count. A missing selected side is an error. Construction uses quote identifier conventions from the Rust library, including the product, index and tenor.

B2 =QS.CONTEXT.CREATE("usd","2026-01-15","USD","SOFR")
B3 =QS.CONTEXT.ADD.CURVE(B2,"SOFR",A10:A20,F10:F20)
B4 =B2

When identifiers and values are already supplied through ADD.QUOTES, omit them in ADD.CURVE to select matching market-index quotes. Matching is deterministic. Duplicate curve indices or quote sides fail explicitly rather than overwriting an unrelated contribution.

Explicit zero curves accept separate ordered pillar and rate arrays:

=QS.CONTEXT.ADD.ZERO.CURVE(B2,"SOFR",A30:A34,F30:F34,"Actual360","Linear",TRUE,"Continuous","Annual")
=QS.CONTEXT.ADD.COMPOSITE.CURVE(B2,"FUNDING","SOFR","FUNDINGSPREAD")

Pillars can be ISO date text or tenors such as 0D, 1Y and 10Y. Rates are annual decimals under the specified compounding and frequency. The zero curve is a construction configuration, so snapshots can rebuild it at a different market reference date. A composite multiplies the discount factors of its base and spread curves. FUNDING is an ordinary index, selected through a policy rather than through contractual loan settings.

QS.CURVE.GET obtains a curve from a committed context. Use DISCOUNT, ZERO.RATE, FORWARD and TABLE under the same namespace to inspect it. The table shows pillar dates, discount factors, zero rates and forwards. Default displayed rates use Simple/Annual and the native curve day count. Extrapolation is explicit.

Fixings, FX, credit and volatility

=QS.CONTEXT.ADD.FIXINGS(B2,A40:A50,F40:F50,J40:J50)
=QS.CONTEXT.ADD.FX(B2,A60:A65,F60:F65,J60:J65)
=QS.CONTEXT.ADD.CREDIT.CURVE(B2,"Credit:BORROWER","USD","SOFR",0.4,A70:A75,F70:F75)
=QS.CONTEXT.ADD.VOL.SURFACE(B2,"SOFR","Black","Strike",A80:A90,F80:F90)
=QS.CONTEXT.ADD.VOL.CUBE(B2,"SOFR","Black","Strike",A100:A110,F100:F110)

Fixing arrays are market index, ISO fixing date and finite value. Values retain the index’s native units. FX arrays are base currency, quote currency and positive rate, expressed as quote units per base unit. Credit curves calibrate survival from CDS identifiers with explicit recovery and discount assumptions. Black volatility is annualized decimal volatility; Normal volatility uses rate or price units per square-root year. The quote identifiers and configuration must agree on that convention.

Volatility surface/cube requests use the corresponding context data. Model and pricer configurations can be attached with ADD.SIMULATION.CONFIGURATION and ADD.PRICER.CONFIGURATION using individual native JSON objects, preserving typed Rust model assignments without a worksheet key/value table.

Keep contracts separate from positions

QS.INSTRUMENT.* follows native product families. Fixed income uses FIXED.RATE.BOND, FIXED.RATE.DEPOSIT and FLOATING.RATE.NOTE; rate futures use RATE.FUTURES. Construct a position with QS.TRADE.CREATE. Product-specific trade shortcuts have been removed.

D2 =QS.INSTRUMENT.FX.FORWARD("fx",B2,"2027-01-15","EUR","USD",1.10)
D3 =QS.TRADE.CREATE("position",B2,D2,"2026-01-15","Receive",1000000)
D4 =QS.EVALUATE(B4,D3,"Value")

The native FX carry convention depends on the selected pricer. FX outrights are quote currency per base unit; quote points are raw forward-minus-spot amounts, not automatically pip-scaled. Equity indices use identifiers such as Equity:SPX. Futures contract size is currency per price point, not per basis point.

Relative dates and pending trades

QS.INSTRUMENT.* functions have separate tenor arguments. Leave an absolute date blank when supplying its tenor alternative. Instrument and trade handles take a required construction context immediately after the name. Construction calculates concrete dates before publishing a product handle.

D2 =QS.INSTRUMENT.FX.FORWARD("fx",B2,"","EUR","USD",1.10,"1Y")
D3 =QS.TRADE.CREATE("position",B2,D2,"","Receive",1000000)
D4 =QS.EVALUATE(B4,D3,"Value")

Scheduled products use start_tenor and tenor; options use expiry_tenor and forwards use delivery_tenor. QS.TRADE.CREATE also accepts trade_tenor. A blank execution date and blank tenor default to 0D in the construction context. The resulting dates and initial principal remain fixed during valuation; constructor recalculation creates a new contract.

QS.CONTEXT.CREATE appends anchor_fixings (TRUE by default). TRUE requires stored index fixings strictly before evaluation, raising an error when one is missing; today and future observations project. FALSE projects all index observations, subject to the curve’s supported date range.

Policies and explicit model choices

L3 =QS.DISCOUNT.POLICY.CSA("csa","USD","SOFR")
L4 =QS.PRICER.CREATE("dcf","DiscountedCashflowPricer",L3)
L5 =QS.PRICER.CREATE("swaption","ClosedFormHullWhiteSwaptionPricer",L3,AC30:AC31,AD30:AD31)
L6 =QS.DISCOUNT.POLICY.FIXED.INCOME("fixed.income",A120:A122,F120:F122)

Pricer settings are independent name/value arrays. For Hull-White alpha and sigma, put setting names in AC30:AC31 and values in AD30:AD31. The explicit swaption pricer requires its model parameters. RateFuturesPricer does not use a discount policy and rejects one. Fixed-income policies map currencies to curve indices and can optionally prefer an instrument’s discount index.

Bonds require CleanPrice, DirtyPrice or ZSpread plus an anchor value on the trade. Clean/dirty anchors use quotation units, while PV is monetary. Use native requests YieldToMaturity, ModifiedDuration and ZSpread as supported by the selected pricer. Straight exposed bond constructors do not supply callable exercise terms for OAS, and BondPricer does not define FairRate.

The editable swap, bond and loan workbooks explain conventions next to each input. The generated worksheet reference is authoritative for argument order, optional defaults and native errors. Unsupported products and pricers fail explicitly; the worksheet API does not register custom scripted products or an exposure/XVA engine.