Market Snapshots as Bundles
A market snapshot is an immutable bundle of curves, vols, and fixings that defines the pricing environment for a run.
Explanation
A snapshot groups all curated market artefacts needed for valuation at a given cut-off: curves, vol surfaces, FX rates, and fixings.
Each snapshot has a unique ID, an as-of datetime, and provenance such as data sources and build configurations.
Snapshots are immutable: corrections or rebuilds create new snapshots instead of overwriting past ones.
Valuation runs reference snapshot IDs so prices and risk numbers can always be tied back to a precise market view.
snapshotmarket datacurvesvol surfacesimmutability
Interactive visualisation
Market snapshot bundle
Toggle what is inside the snapshot. The ID changes because snapshots are immutable bundles.
Bundle definition
As-of
16:00
Quality
75%
Curves
Vol surfaces
FX & rates
Fixings
Snapshot ID
snap_9c236e6f
Immutability score
Higher when the bundle is complete and well curated. “Fixing” a past day means creating a new snapshot.
Interpretation
- A snapshot is a bundle: curves, vols, FX, fixings. A run references the snapshot ID.
- Snapshots are immutable: corrections create a new ID, not an overwrite.
- Curation quality changes the stability of derived artefacts (wiggles here mimic bad inputs).
Bundle contents
As-of 2026-02-01 16:00
Curves
DF, OIS, funding, basis
INCLUDED
Vol surfaces
smiles, term-structure
INCLUDED
FX & rates
spot + cross curves
INCLUDED
Fixings
IBOR, CPI, realised legs
INCLUDED
Curated artefacts preview
Curve range: 1.21–2.27%
Lower “quality” increases wiggles and distortions. In real pipelines this comes from raw quote noise, bad filters, or unstable calibration choices.