Architecture & Systems
Market and Model Versioning
Snapshot IDs and model IDs make valuations reproducible months later.
Mental model
Reproducible valuation requires identifying both the market state and the model state used.
Market snapshots are immutable views of curves, vols, and fixings identified by snapshot IDs and timestamps.
Calibrated models carry model IDs linking model type, configuration, parameters, and the underlying market snapshot.
Explore the mechanism
Can the valuation be reproduced with the exact market state, model specification, calibration, and code used originally?
This timeline shows market snapshots, models, and valuation runs over several dates. Toggle between immutable IDs and mutation-in-place to see how lineage either preserves or erases the link between a past valuation and the snapshot and model it used.
With immutable snapshots and models, each valuation keeps the colour of the snapshot/model pair it used. Months later you can still say “P&L on t3 came from S2/M2” and re-run that setup.
Under mutation-in-place, all valuation markers drift to the latest colour: history collapses onto the newest snapshot. The mental model: IDs are not bureaucracy, they are lineage. If you overwrite artefacts instead of versioning them, you lose the audit trail that makes backtesting, controls, and regulatory defence possible.
What to notice
Valuation runs reference both snapshot and model IDs so that prices can be reproduced and audited.
Recalibration or data changes always produce new artefact IDs instead of silently mutating existing ones.
Where it appears
- model-risk governance
- historical valuation replay
- comparing model upgrades
Where the intuition breaks
What this view leaves out
- Version labels are useful only if referenced artifacts are immutable or content-addressed and their dependencies are captured.
Where this concept sits
Follow the strongest prerequisites, applications, extensions, and contrasts.
Connections for Market and Model Versioning
A valuation can only be reproduced if the exact market snapshot and model version are both identified.
Used byReplay of Valuation RunsReplay requires the exact versions of both market inputs and model implementation.
Supported byPricing Library Architecture (Instrument–Market–Model–Pricer)A clean instrument–market–model–pricer architecture makes model and market versions explicit inputs rather than hidden global state.
SupportsRun ID and ProvenanceRun provenance should identify the market and model versions used for a valuation.
Supported byModel Calibration and ValidationCalibrated parameters and validation status should be tied to a specific model version.
SupportsP&L Explain and AttributionVersion changes must be distinguishable from market moves when explaining P&L.
A valuation can only be reproduced if the exact market snapshot and model version are both identified.
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