Pillars and Marking in Derivatives Pricing

Summary

The document gives brief definitions of two terms encountered in derivatives pricing and volatility smile fitting. “Pillars” generally refers to maturities or expiry dates used as reference points, a usage associated with fixed income. A pricing or volatility curve may be specified at these points and fitted between them, although the document does not explain any fitting method.

Key ideas

• Pillars generally refer to selected maturities or expiries, especially in fixed income contexts.
• A marking is the official value assigned to a benchmark security at a specified time.
• An end-of-day value is one example of a security marking.
• The definitions are brief and do not explain how marks are determined or curves are interpolated.

Tags

# In the context of derivatives pricing, what are Pillars and Marking?


# In the context of derivatives pricing, what are Pillars and Marking?












as the title says, I've heard of the terms 'Pillar' and 'Marking' in the context of fitting volatility smiles and derivatives pricing in general and I'm having difficulties finding definitions on Google. I would be very grateful if someone could clear this up. Thanks!

## Answer by user68819 (score 1, accepted)

https://quant.stackexchange.com/a/76937

Pillars tend to refer to maturities/expiries in the fixed income world. Marking - is basically where your official system has the value of a particular benchmark security at a particular point in time (eg end of day for example).

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.