Type | Date |
Description | Date at which record becomes effective. If no date is supplied, the record is assumed valid over all dates. |
Required | No |
Sample | 22-Jun-2022 |
Rule | Must either be blank or a string that can be parsed as a date, using the date format supplied in the DateFormat or SecurityDateFormat strings |
The effective date is the date at which the security’s settings on the current line become active.
Most of the securities you hold will not have any structural changes over time. In this case, the effective date can either be left blank, or set to some date in the far past.
However, some securities do have properties that may change over time. For instance:
- A security's user-defined classification in the custom sector field may change;
- A bond may be downgraded, resulting in a lower credit rating;
- A convertible bond may change its pricing type;
- A bond's coupon may be reset to a new value.
In each case there will be a change in some structural value of the security. For the above examples, the changed entries will be classification, credit rating, pricing type and coupon, respectively. FIA allows the user to handle such occurrences by entering a new definition for the security that reflects the required changes, using the same security ID but a different effective date.
For instance, consider a convertible bond that has its pricing function changed from FT_BOND_ZERO_CURVE to FT EQUITY on 15th September 2008. This is represented by two records in the security definition file:
SecurityID | … | Effective date | Pricing function |
CONVBOND | FT_BOND_ZERO_CURVE | ||
CONVBOND | 15-Sep-2008 | FT_EQUITY |
The first row shows the security initially had pricing function FT_BOND_ZERO_COUPON. The effective date of this setting is left blank, so in the absence of any other entries it will apply to all dates.
The second row shows that the security's pricing function changed to FT_EQUITY on the 15th of September 2008. This type will be used for all analysis on and after that date.
- Any number of security updates can be made to a given security, but the program checks that there are no duplicate security ID/effective date combinations.
- Entries in this column must conform to the relevant date format string in the project’s configuration file.
- If two or more parameters change on the same date, these changes can be included in the same record.
- The effective date is the date at which the record becomes valid. If the start date is left blank, the implied date is Julian date 0, or about 4713 BC. We recommend that the start date be left blank in all cases except where the characteristics of the bond change during its lifetime. In particular, the issuance date of a security need not be entered in this field, unless specifically required for pricing.