OFFICIAL P&L

V ER SI ON 1 6 .0
April 2018 - First Edition

1 . OF F I CI AL P & L OV E RV I E W

Official PL is the P&L solution Calypso provides for cross–asset P&L computation, attribution and reporting. Official
P&L has been developed in order to address our clients' business drivers in terms of: cross asset coverage, front to
back comprehension, front office and risk decision support, performance, reporting and audit capabilities.
Official P&L computes P&L measures by book and different granular levels as follows:
• OTC trades: Trade by trade, before and after settlement
• Position-based products: Product positions computed by the Liquidation engine
• FX trades: Trade by trade, before and after settlement, or by position
Depending on the product, a breakdown can be added (example: one line per leg, one line per currency)

Within the P&L computation Official P&L provides also the following features:
• Cost of funding computation: Occurs at trade level based on a theoretical overnight funding rate, or at P&L Unit
level based on actual funding rates.
• Base FX translation: Following methodologies are available:
– Converting P&L measures in base using end FX rates
– Converting start P&L measures using start FX rates, and end P&L measures using end FX rates
– Converting P&L in base measures using historical FX rates
• Crystallization: Represents a year-end process theoretically converting all P&L earned during the year into an
actual asset in base currency.
• FX Sell-off: Allows sweeping the P&L from a trading book to a FX sell-off book.

Please refer to Official P&L - Additional Features documentation for details.

P&L Measures
P&L measures are computed by comparing a set of P&L marks between the start dates and the end date of the report
period. P&L marks are computed within the P&L process by several product calculators and stored in the data base on
a daily basis. When P&L is run at the end of the day, as marks have been saved previously, we will be able to compute
daily, monthly, yearly as well as the inception to date P&L.

The Official P&L report computes mainly the following P&L measures:
• P&L: Total P&L of a trade

P&L can be further broken down into Unrealized P&L and Realized P&L.
• Realized P&L: P&L that has been realized. Amounts are certain and are not sensitive to time and market
conditions anymore.
The realized part of the total P&L is broken down into Realized MTM P&L + Realized Accrual P&L + Realized
Accretion P&L + Realized Other P&L:
– Realized MTM P&L: P&L from buying and selling (liquidation), pay-down, settling/realizing MTM fees
(Premium, termination, etc.)
– Realized Accrual P&L: P&L from coupon/interest payments, liquidation of a trade with accrual.

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2 Official P&L

– Realized Accretion P&L: P&L from liquidating a bond which has an accreted value.
– Realized Other P&L: P&L from Fees that have settled
* You can also show the fees in the other buckets as needed - Please refer to Calypso Official P&L Setup
Requirement guide for details.
• Unrealized P&L: P&L that could be generated according to the market conditions and current position
The unrealized part of the total P&L is broken down into Unrealized MTM P&L + Unrealized Accrual P&L +
Unrealized Accretion P&L + Unrealized Other P&L:
– Unrealized MTM P&L: P&L from price and quote movements without liquidation, PV of MTM Fees,
change in NPV due to moving a day
– Unrealized Accrual P&L: P&L from future coupon/interest cashflows that have not yet been paid
– Unrealized Accretion P&L: P&L from amortization towards
– Unrealized Other P&L: P&L from Fees that have not yet settled
* You can also show the fees in the other buckets as needed - Please refer to Calypso Official P&L Setup
Requirement guide for details.

P&L can also be split into Risk Value and Settled Cash
• Risk Value: Market, position and time sensitive component of the P&L
Risk Value is broken down into Asset Value and Unsettled Cash
– Asset Value: Intrinsic value of the asset consistent with the P&L methodology
– Unsettled Cash: Sum of all discounted cashflows that are part of the P&L, but not part of the Asset Value or
Settled Cash
• Settled Cash: Sum of all settled cashflows

P&L Explained
The Official P&L can also run with the P&L Explained feature to provide P&L attribution to individual effects.

Effects are computed in the following order, cumulatively:

• Start Mark Adjustment

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Official P&L 3

• End Mark Adjustment

• Start Pricing Environment Change Effect
• Market Spread Effect – Market to Theoretical
• Time Effect – Carry Effect
• Time Effect – Roll down Effect
• Market Data
– Rate/ Credit/ Equity/ Forex (Cumulative or Independent/ Independent with Greeks)
– Volatility
– Quotes
– Market Data – Residual (Independent only)
• Crystallization FX Effects
• Curve Reset Effect
• Reset Effect (Rate Reset/ FX Reset/ Price Fixing)
• Market Spread Effect –Theoretical to Market
• Known Trading Activity and Trade Lifecycle Effect
• Unknown Trading Activity and Trade Lifecycle Effect
• FX Translation Effect
• Residual

Please refer to Official P&L – P&L Explain documentation for more details.

General Process
Before you run the Official P&L report for the first time, you need to review the setup requirements.

Please refer to Official P&L Setup Requirements documentation for details.

You also need to initialize the system for Official P&L processes and functions.

Please refer to Official P&L Initialization documentation for details.

Configuring P&L methodology, P&L config and defining Official P&L parameters are the preliminary steps of the P&L
process.

Please refer to Official P&L Configuration documentation for details.

The recommended chain for running the Official P&L on a daily basis (between D and D+1) is the following:
Step 1 - Close market data and save them with a cutoff date and time as of day D, say 5PM.
Step 2 - Run End of Day P&L process with an as of date D, say 6PM.
* If required, after Step 2, review market data for maintenance (roll futures, change underlying, etc.) and re-mark
curves as of day D, 6PM or before. This will generate a Start Pricing Env Change effect that will be computed the next
day.
Step 3 - OPTIONAL - Generate Greeks with an as of date D+1, morning.

Next day, repeat Step 1 to Step 3.

Marks will be saved on Step 1 and an Official P&L report (with or without P&L Explain) will be generated as well. This
report, together with P&L Explain is available for visualization in Calypso Workstation.

Revision Date Comment

April 2018 First edition for version 16.0.
4 Official P&L

Contents

1. Official P&L Overview 1

2. Official P&L Report 5
2.1 Configuration 5
2.1.1 P&L Methodology Configurations 5
2.1.2 P&L Configurations 7
2.1.3 Official P&L Parameters 10
2.2 Official P&L Additional Features 11
2.2.1 Cost of Funding 11
2.2.2 Crystallization 14
2.2.3 P&L Sell-Off 15
2.2.4 Base FX Translation 19
2.3 EOD Process 20
2.3.1 Running EOD Official P&L 20
2.3.2 Official P&L Corrections Process 21
2.3.3 Adjusting and Displaying the Official P&L Marks 23
2.4 Displaying Official P&L Results 25
2.4.1 Adding the Official P&L Report to a Calculation Server 25
2.4.2 Official P&L Report Results 25
2.4.3 Exporting Official P&L Results 30
2.4.4 Trading Activity at Trade Level 32
2.5 P&L Explain 34
2.5.1 P&L Explain Effects 34
2.5.2 P&L Explain by Greeks 36
2.5.3 Display Cumulative and Independent P&L Explain 38
2.5.4 Display P&L Explain by Greeks 39
2.5.5 Displaying Errors 43
2.6 Intraday P&L 44
2.7 Additional Processes and Troubleshooting 47
2.7.1 Archiving and Purge Process 47
2.7.2 Troubleshooting Tools 48
2.7.3 Official P&L Log Categories 51
2.7.4 Sensitivity Report Comparison 52

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 Official P&L 5

2 . OF F I CI AL P & L R E P O RT

2.1 C ONFIGURATION
The Official P&L parameters are configured through the Analysis Designer. You can bring up the Analysis Designer
from one of the following windows:
• Click Risk in the Calypso Navigator, and select the analysis type OfficialPL then click ... next to the field "Analysis
Param Set".
• From the Calypso Navigator, navigate to Configuration > Reporting & Risk > Analysis Designer .

Right-click an OfficialPL folder in Analysis Designer, and choose "New Analysis" to add a parameter configuration for
the Official P&L report. You will be prompted to enter a configuration name.

Analysis Designer - OfficialPL

Summary of the configuration steps:
Step 1 - Define P&L methodology configurations
Step 2 - Define P&L configurations
Step 3 - Define Official P&L parameters, and save.
The steps are described below.

2. 1. 1 P& L MET H OD OL OGY C ON F IGU R A T ION S

The P&L methodology is a valuation methodology used for P&L calculations. For example, a common valuation
methodology is "FairValue". Some methodologies are product specific, such as "AmortizedValue" for Bonds.
You can define multiple P&L Methodology Configurations per desk, book, product, subtype and extended type. The
most granular configuration has priority over the less granular configuration (the table should be read from left to
right).
You can also generate multiple Official P&L reports using a different P&L Methodology Configuration. This allows
comparing the results from different methodologies. Every P&L Configuration is associated with one P&L Methodology
Configuration.
In the Official P&L parameters, click P&L Methodology . It brings up the P&L Configuration window - Select the
Methodology tab.
6 Official P&L

Sample P&L Configuration - Methodology

» Select a configuration to modify, or select NONE to create a new configuration.

» Click + to add a new configuration row.

» Enter information into the fields as applicable. The fields are described below.

» Click Save .
Or click Save As to save a new P&L Methodology Configuration.

You can add new rows as needed as more products are added to your trade filter.

Fields Details
Field Description
Desk Select a desk (Desk book attribute), or ANY for all desks.
The Desk book attribute is defined with the checkbox “Selected attribute is the P&L
Methodology Driver" in the Book Attribute window by default. You could change it to
another attribute before you run any P&L process.

[NOTE: Only one attribute can have this checkbox checked, and once it is chosen it
cannot be modified as marks, methodology configurations and Official P&L configuration
would need to be modified as well]
Book Select a book, or ANY for all books.
Product Select a product type.

[NOTE: You need to configure a P&L methodology for each product in your trade filter. If
there is no P&L methodology available for the product type, you must select None (this
will allow mark creation for the product type, with 0 for all the P&L measures)]

[NOTE: If you are performing sell-off, you need a P&L methodology for the
SimpleTransfer product]

[NOTE: Structured Products can use the “AmortizedCost” or “FairValue” methodologies,

provided they are supported by the underlying products. For example, if a given
underlying product does not support the “FairValue” methodology, the structured
product cannot use the “FairValue” methodology]
Subtype Select a product subtype, or ANY for all subtypes.
Extended Type Select a product extended type, or ANY for all extended types.

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 Official P&L 7

Field Description
Methodology Select the methodology to be used for the selected product.
Methodologies provided out-of-the box:
• AmortizedCost - Only accrual amounts are shown in the P&L
When FX Swap trades are processed with the AmortizedCost methodology, two
synthetic cash trades (one for each currency) are created, and the P&L is
computed on these trades. This only applies if "FX By Positions" is not set to true.
• AmortizedValue
• Cash
• FTP - Fund Transfer Pricing
• FairValue
• Transfer - For SimpleTransfer and SubscripRedemp.
Depending on the methodology, the P&L measures are computed differently.

2. 1. 2 P& L C ON F IGU R A T ION S

The P&L Configuration allows defining a consistent set of attributes to run the Official P&L report.
In the Official P&L parameters, click P&L Config. It brings up the P&L Configuration window - Select the
Configuration tab.

Sample P&L Configuration - Configuration

» Select a configuration to modify, or select NONE to create a new configuration.

» Enter information into the fields as applicable. The fields are described below.

[NOTE: Empty fields outlined in red are mandatory and need to be filled before saving]

» Click Save .
8 Official P&L

Or click Save As to save a new P&L Configuration.

[NOTE: Once a P&L Configuration is used in a set of Official P&L parameters, it cannot be modified, except for the
Trade Attributes]

Fields Details
Field Description
Name Displays the P&L Configuration name.
The name is entered upon saving.
Type Select Official, Unofficial or Intraday.

Official
An Official configuration allows performing FX translation, Cost of Funding and
Crystallization.
There should be only one Official configuration for a given set of books as the processes
for sell-off and cost of funding create trades, and these trades should be created only
once.

Unofficial
The goal of Unofficial configurations is to handle Flash P&L at different end times during
the day.

Intraday
You can also select Intraday to view P&L for the day.

See Intraday P&L for complete details.

Official P&L Report Functions Official Unofficial Intraday
Basic P&L computation ✓ ✓ ✓
Saving P&L marks (Marks display in Official ✓
P&L Marks)
Report in Calypso Workstation ✓ ✓ ✓
Drill down report ✓
Market Data Server subscription ✓
Cost of funding ✓
Crystallization ✓
Cost of funding on crystallized P&L ✓
FX translation ✓
Sell-off / Sell-back ✓
FX translation using historical rate ✓
Pricing Environment This field is mandatory. Select the pricing environment to be used to compute the P&L
results.

[NOTE: For Intraday configurations, the pricing environment cannot be selected. The
report uses the pricing environment specified in the Calculation Server configuration]
Valuation Time Enter the valuation time of the P&L results in HH:MM:SS (24 hour) format.
Timezone Select the time zone of the valuation time.

[NOTE: The timezone must be the same as the timezone of the pricing environment and
the trade filter (if specified)]

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Official P&L 9

Field Description
Include Back-dated When checked, trades are loaded by their trade date, independently of the entered date.
Trades and Corrections The system loads the current version of the trade and determines if the trade date is on
or before the valuation date. If so, the trade is included in the report. If the trade date is
after the valuation date, the trade is not included.
Example: A back-dated trade is entered on 25/10 and the trade date is set to 20/10. If
the valuation date is 22/10, the trade is loaded even though the trade did not exist in the
system on 22/10, because the trade date is before the valuation date.
When not checked, the system loads the trades as of the valuation date and time. The
system rolls back the trade audit to the valuation date. The trade described in the
example above would not be included in the report as the entered date is after the
valuation date.

[NOTE: This setting is ignored by the P&L bootstrap process]

Aggregate Inactive Mark When checked, inactive marks are aggregated and stored at book level.
When not checked, inactive marks are stored at trade level.

[NOTE: This only applies to the inactive trades of the current year. Inactive trades of
previous years are always aggregated]
P&L Methodology This field is mandatory. Select the P&L Methodology Configuration to be used to compute
Configuration the P&L results.

See P&L Methodology Configurations for details.

Holidays Select the holiday calendar that determines the business days for the P&L start and end
dates.
Year End Month Select the year end month to be used for YTD P&L.
P&L Measures This field is mandatory. Select the P&L measures to display in the P&L results.
P&L measures are computed as the difference between the P&L marks of two separate
valuation days.
Start/End P&L Measures Select the P&L marks to display in the P&L results.
The P&L marks allow the computation of the P&L Measures. You can also view the P&L
marks in the Official P&L Mark Report.
Trade Attributes Select the trade attributes to display in the P&L results. Trade attributes provide general
information about the trades.
You can select a maximum of 40 trade attributes by default.
The trade attribute limit can be modified using the environment property OFFICIALPL_
TRADE_ATTRIBUTES_SIZE.
Note however that the overall output of the report cannot have more than 1,000
columns. If you need more than 40 trade attributes, you might not be able to display all
the P&L measures or start/end measures that you want.
Base Conversion This field is mandatory. Select the FX rate used to convert foreign currency amounts to
FX Rate the base currency:
• Today's Rate - The FX rate in the quote set is discounted to today. The pricing
parameter ADJUST_FX_RATE is forced to true and you need to define a discount
curve for usage ADJUST_FX in the Product Specific panel of the Pricer Config.
• Spot Rate - The FX rate in the quote set is used directly. ADJUST_FX_RATE is forced
to false.
The pricing parameter FX_POINTS is forced to false.
This also impacts the maturity date of the trades created during the sell-off process.
See below for details.
Funding Level Only appears for Official configurations.
Select the level at which Cost of Funding is computed:
• None - No Cost of Funding computation.
• Book - Cost of Funding is aggregated at book level. Cost of Funding effects will
appear on a separate P&L line in the P&L report.
10 Official P&L

Field Description
• Trade - Cost of Funding effects will appear on the trade P&L lines in the P&L report.
Crystallization Level Only appears for Official configurations.
Select the level at which P&L is crystallized:
• None - There is no crystallization.
• Book - Crystallization is aggregated at book level. Crystallization effects will appear
on a separate P&L line in the P&L report.
• Trade - Crystallization effects will appear on the trade P&L lines in the P&L report.
Crystallization is an end-of-the-year process that involves converting the P&L earned
throughout the year into an asset and moving it to retained earnings on the balance
sheet. This is equivalent to selling the entire portfolio (at market value) and immediately
repurchasing it (at the same market value). Any P&L realized through this process is
converted to base currency and moved to the balance sheet. This is reflected in the
P&L report.
Crystallization Measures Select the P&L measures to be crystallized.
Cost of Funding on Crys- Check to compute Cost of Funding on crystallized P&L.
tallized P&L
FX Translation Only appears for Official configurations.
When checked, FX translation P&L is included in the base P&L measures. All starting
measures are converted to the base currency using the starting FX rate, and all ending
measures are converted to the base currency using the ending FX rate.
FX translation can also be performed using historical rates, see below.
When unchecked, the base P&L does not include FX translation P&L - All P&L measures
are converted to the base currency using the ending FX rate.
FX Sell Off Measures Only appears if FX Translation is checked.
Select the P&L measures to be sold off. You can select Realized P&L and/or Unrealized
P&L.
The sell-off process is described in details below.
FX Translation using Only appears if FX Translation is checked.
Historical Rates Select the P&L measures for which FX translation should be done using historical FX
rates.
For these measures, the FX translation is computed iteratively using the rates of each
historical date, not just the starting FX rate and the ending FX rate.

[NOTE: Any P&L measure that is configured to use historical FX rates for base
conversion, is automatically excluded from the sell-off process]
Investment PL Only applies to Asset Management and only enabled if the environment property ASSET_
MANAGEMENT=true.
When checked, enables the computation of Inception To Date (ITD) Investment P&L
measures.

2. 1. 3 OF F IC IA L P& L PA R A MET ER S
Finally, define the Official P&L parameters:

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 Official P&L 11

Sample Official P&L parameters

» Complete the parameters details. They are described below.

» Click Save to save the configuration.

Parameters Details
Parameters Description
Daily P&L Only Check “Daily Only” to compute only Daily and Inception-to-date (ITD) P&L.
Uncheck to compute Daily, MTD, YTD, and ITD P&L.
• Daily - P&L between the previous business day and the valuation date.
• MTD - Month-to-date, P&L between the last business day of the previous month and
the valuation date.
• YTD - Year-to-date, P&L between the last business day of the previous year and the
valuation date.
• ITD - Inception-to-date, P&L between the inception date and the valuation date.
The valuation date is the valuation date of the scheduled task EOD_OFFICIALPL: Execution
Date - Valuation Date Offset.
* The system always ensures that there is at least one business day for each P&L run. For
example if the valuation date falls on a weekend or holiday, the system goes back to the
prior business day, then using that date computes daily, month to date, and year to date
P&L.
Explain P&L Select to add the P&L attribute of the daily P&L:
• N/A - No P&L explain.
• Cumulative - Compute market data effects cumulatively.
• Independent - Computes market data effects independently.
• Independent With Greeks - Computes market data effects by Greeks/Taylor Series and
compares to Independent P&L explain.

See P&L Explain for details.

Start Select the P&L configuration to be used on the start date. It must be an Official
P&L Configuration configuration.
End P&L Configuration Select the P&L Configuration to be used on the end date.
The End P&L configuration can be an Official configuration, an Unofficial configuration, or
an Intraday configuration.
You may select a P&L config on the start date different from the P&L config on the end date,
in the case where you want to use different valuations times for the start date and end
date.

2.2 OFFICIAL P & L A DDITIONAL F E ATURE S

When you run the Official P&L report the following processes may be performed based on the configuration.

2. 2. 1 C OST OF FU N D IN G
The Cost of Funding computes the actual or theoretical funding of the long and short cash positions based on funding
rates. Calculations are based on settled cash. Cost of Funding is its own category in P&L and can occur at trade level
based on a theoretical overnight funding rate, or at book level based on actual funding rates.

Trade Level Cost of Funding

Set Funding Level = Trade in the P&L Configuration.
 12 Official P&L

Trade level Cost of Funding is theoretical and based on the pricer measure CUMULATIVE_CASH. The rate is taken
from the Funding Rate configuration (Configuration > Definitions > Funding Rates ), which should be set up with
overnight index per currency.

Trade Level Cost of Funding appears as a column in the P&L report provided Cost of Funding P&L Measures were
selected during P&L Configuration:

Cost of Funding formula, used for trade level computation is the following:
• Cost of Funding [@D] = Cost of Funding [@D-1] + 1-dayCostofFunding [@D]
• 1-dayCostofFunding [@D] = Interest [start=D-1; end = D; notional=(CUMULATIVE_CASH[D-1] + Cost of
Funding [D-1] )]

NOTE: If Crystallization is ON:

• Funding Cash [@D] =CUMULATIVE_CASH [@D-1] - CUMULATIVE_CASH [Start of year]
• 1-day COF [@D] = Interest { start=D-1; end = D; notional = Funding Cash[F] + (Cost of Funding [D-1] – Cost
of Funding [Start of Yeat]}

Book Level Cost of Funding

Book level Cost of Funding is based on actual funding rates.
Any cash a desk makes that is funded with the market is rolled at market rates using the position rollover process.
The position rollover process books loans or deposits against the balances held by the desk. Cost of Funding is the
interest charged on those loans and deposits.
Set Funding Level = Book in the P&L Configuration.

Before performing a position rollover, you must define the position rollover configuration using Navigator
> Configuration > Automated Operations > Position Rollover. For more information on how to define a position
rollover, please refer to Calypso FX Position Rollover documentation.

Sample Position Rollover Configuration

To perform a position rollover, you can navigate to Trade Lifecycle > Rollover > Position Rollover from the Calypso
Navigator, or use the scheduled task POSITION_ROLLOVER.
For the scheduled task, make sure to include your trade filter under "Trade Filter" in the Common Attributes.

Refer to Calypso Position Rollover documentation for complete details.

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Official P&L 13

Sample POSITION_ROLLOVER scheduled task configuration

The rollover process creates loans or deposits against the balances held by the desk. These loans or deposits are
Structured Flows trades with the subtype "Funding" or "FXFunding". The Rate is the breakeven rate for the given
overnight Structured Flows trade.

You can also manually create these loans and deposits by creating a new Structured Flows trade and adding the trade
attribute "FundingType" with the value as either "Funding" or "FXFunding". This automatically sets the trade subtype
to "Funding" or "FXFunding" upon save.
 14 Official P&L

The interest charged on these loans and deposits, whether created through the spot rollover process or manually, is
the Cost of Funding. Cost of Funding is computed by the EOD_OFFICIALPL scheduled task and appears in the P&L
report as a new line under the P&L Type "Cost of Funding":

2. 2. 2 C R YST A L L IZ A T ION
Crystallization allows for P&L earned throughout the year to be captured and theoretically converted into an asset,
then moved to retained earnings on the balance sheet. The P&L is locked in (crystallized) at the start of the year,
therefore the ITD P&L is always equal to the YTD P&L. There is no P&L on the Crystallization other than FX translation
on the trade currency conversion. P&L can be crystallized trade by trade or at book level depending of the choice in
the P&L configuration.

Crystallization is performed by the scheduled task , and only if:

• Crystallization level is selected
• Crystallized measures are selected

Sample P&L Configuration for crystallization

When P&L is generated using crystallized P&L at book level, it appears in the P&L report as a new line under the
P&L Type "Crystallized P&L".
When P&L is generated using crystallized P&L at trade level, crystallized columns are added to the report.

When the scheduled task is run with the Run type "Run P&L Adjustments", the crystallized marks are regenerated. If
adjustments are made on the original marks, this is how they're applied to the crystallized process. This only works
at the year end and will update the crystallized mark based on any changes made at the original trade level marks.

Sample Crystallization at Book Level

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 Official P&L 15

Cost of Funding on Crystallized P&L

You can compute Cost of Funding on crystallized P&L. The cost of funding on Crystallized P&L represents the
refinancing cost on the asset created by the crystallization.

Cost of Funding on Crystallized P&L is computed by the EOD_OFFICIALPL scheduled task, only if:
• "Cost of Funding on Crystallized PL" is checked in the P&L Configuration.

It appears in the P&L report under the P&L Type "Cost of Funding for Crystallized P&L":

2. 2. 3 P & L S EL L -OF F
The sell-off process allows sweeping the FX base translation exposure from a “trading” book to a “sell off” book.
The FX sell-off process runs daily within the scheduled task EOD_OFFICIALPL and creates simple transfer trades to
offset the base translation exposure.
The sell-off process is triggered by a P&L Configuration where FX Sell Off measures are defined and the start/end
sell-off P&L Measures are selected:

Sample P&L Configuration to perform the sell-off process

• Start/End P&L Measures: Make sure to select SellOff Unrealized, SellOffRealized and SellOff Value in addition to
the other P&L measures.
• FX Translation: Checked.
• FX Sell Off Measures: Select Realized P&L and/or Unrealized P&L.
• The maturity date of the simple transfer trades depends on the “Base Conversion FX rate” setting.
– “Todays Rate” - The maturity date is set to the trade date
– “Spot Rate” - The maturity date is set to the spot date (trade date + 2 business days)

The sell-off book is set for each trading book in the book attribute "FX Selloff Book":
16 Official P&L

The sell-off process is based on the sell-off currency and sell-off value:
• For rate and credit books, the sell-off currency is the currency of the trade/leg (currency of the mark).
• For forex books (FX By Positions = true), there is a P&L currency pair populated and available on any trade. The
sell-off currency is the P&L display currency of the currency pair. If there is no currency pair, the sell-off
currency is the currency of the mark.
• For each mark generated from a trade, the sell-off value is the ITD P&L converted into sell-off currency.

Process Details
The example below illustrates a simple sell-off process.
Process is run on a book having 4 trades (2 FX Positions):

Setup:
• Trading book = CP_SIMPLE_TC_SELLOFF_BOOK1 (FX By Positions = true)
• FX Selloff Book = CP_SIMPLE_TC_SELLOFF_BOOKA
• Base currency = AUD (defined in PL Config, Pricing Env)
The sell-off process creates corresponding sell off / sell back trades per groups of marks of the trading book,
aggregated by sell-off currency.

Day D
Mark report examples:

For the only mark (trade id 167947) having sell-off currency EUR, the following trades are created:
• In the trading book: sell-off trade (trade id 168031) to offset the EUR sell-off value (EUR ITD P&L) of 119 534,04
• In the sell-off book: linked mirror sell-off trade (trade id 168032)

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Official P&L 17

• In the trading book: sell-back trade (trade id 168033) to bring back the AUD P&L of 177534,70
• In the sell-off book: linked mirror sell back trade (trade id 168034)
Note that no sell-off value is computed on the sell back trade.

For the marks having sell off currency USD, the following trades are created:
• In the trading book: sell off trade (trade id 168027) to offset the USD sell-off value (USD ITD P&L) of -14,99
• In the sell-off book: linked mirror sell-off trade (trade id 168028)
• In the trading book: sell-back trade (trade id 168029) to bring back the AUD P&L of 21,42
• In the sell-off book: linked mirror sell back trade (trade id 168030)
Note that some of the marks having a sell-off currency in USD have a P&L currency in EUR; this happens because the
P&L display currency of the currency pair set on the mark (EUR/USD) is USD. Note also that the currency of the sell-
off values is the sell-off currency (here USD) , whereas the currency of the P&L measures is the P&L currency (here
EUR).

For the marks having sell-off currency AUD (base currency), no sell-off/ sell-back trades are created.

The following trades were created within the daily process:

Day D+1
Mark report examples:
18 Official P&L

For the marks (swap trade id 167947 and previous day sell off trade id 168031) having sell-off currency EUR, the
following trades are created:
• In the trading book: sell-off trade (trade id 168438) to offset the total EUR sell-off value (EUR ITD P&L) of 1.22
• In the sell-off book: linked mirror sell off trade id 168439
• In the trading book: sell-back trade (trade id 168440) to bring back the AUD P&L of 1.83
• In the sell-off book: linked mirror sell back trade (trade id 168441)

For the marks having sell-off currency USD, the following trades are created:
• In the trading book: sell-off trade (trade id 168434) to offset the USD sell-off value (USD ITD P&L) of 95.98
• In the sell-off book: linked mirror sell-off trade (trade id 168435)
• In the trading book: sell-back trade (trade id 168436) to bring back the AUD P&L of 119.95
• In the sell-off book: linked mirror sell-back trade (trade id 168437)

For the marks having sell-off currency AUD (base currency), no sell-off/ sell-back trades are created.

The following trades were created within the daily process:

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 Official P&L 19

2. 2. 4 B A SE FX TR A N SL A T ION
Base FX translation is driven by the P&L Configuration:

Sample P&L Configuration to perform base fx translation

Three methodologies for FX translation are provided in Official P&L:

• Using ending FX rate for all measures ("FX Translation" is unchecked)
P&L Base = (End PL Measure – Start PL Measure) * End FX Rate
• Using starting FX rates for starting measures and ending FX rates for ending measures ("FX Translation" is
checked)
P&L Base = End PL Measure * End FX Rate) – (Start PL Measure * Start FX Rate)
• Iteratively using the rates of each historical date (add measures to "FX Translation using Historical Rates")
P&L Base =(Start PL Base Measure) + ((End PL Measure – Start PL Measure) * End FX Rate)
20 Official P&L

2.3 E OD  P ROCE S S
The Official P&L is an end-of-day process. It is run exclusively by the scheduled task EOD_OFFICIALPL, which
computes the marks and generates a report that is saved to the database. The saved report can be viewed in the
Calypso Workstation.

2. 3. 1 R U N N IN G EOD OF F IC IA L P& L
You can configure the scheduled task EOD_OFFICIALPL using Configuration > Scheduled Tasks (menu action
scheduling.ScheduledTaskListWindow), and add a task of type EOD_OFFICIALPL.
The scheduled task carries out the following functions:
• Computes P&L marks and saves P&L marks to the database
• Generates the Official P&L report and saves it to the database (including P&L explain if requested)
• Performs FX sell-off, fX translation, cost of funding computation, and crystallization if applicable

Sample EOD_OFFICIALPL configuration

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Official P&L 21

Mandatory Common Attributes:

• Trade Filter - Select a trade filter previously defined (mandatory)

[NOTE: The pricing environment, valuation time and timezone are taken from the Official P&L parameters regardless
of the values specified in the scheduled task]

Task Attributes:
• Official P&L Parameters - Select the Official P&L parameters.

See Configuring Official P&L Parameters for details.

• Run Type - Select the type of run:
– Run P&L Process - Generates (or regenerates) marks and the P&L report for the valuation date.
– Run P&L Adjustments - Generates the P&L report for the valuation date without recomputing the P&L
marks. It only applies if adjustments or P&L corrections have been applied to the P&L marks.
• DISPATCHER_CONFIG - You can select a dispatcher configuration to run the scheduled task in distributed
processing.
The Calculators can be setup to connect only to a read-only Data Server.

Refer to the Calypso Installation Guide for details on setting up distributed processing, and read-only Data
Servers.

To verify Official P&L calculators for multiple trades, you can also use the Official P&L troubleshooting tool.

See Troubleshooting Tools for details.

2. 3. 2 OF F IC IA L P& L  C OR R EC T ION S PR OC ESS

The Official P&L Corrections process is used to regenerate marks for a targeted set of trades without updating marks
for the rest of the portfolio.

OFFICIALPLCORRECTIONS Scheduled Task

The Official P&L Corrections process is performed using the scheduled task OFFICIALPLCORRECTIONS.
From the Calypso Navigator, navigate to Configuration > Scheduled Tasks (menu action
scheduling.ScheduledTaskListWindow), and configure a task of type OFFICIALPLCORRECTIONS.
The scheduled task OFFICIALPLCORRECTIONS supports the following types of corrections:
• Error marks: You have the option to run the Official P&L Corrections process for marks in error only. The process
will pick up all the error marks from the Official PL scheduled task and try to fix them.
Use case: If there is an error while computing marks for a given trade, an error mark is generated for that trade.
The Official P&L Marks report shows the error marks and gives details regarding the error. You can review those
details and take corrective actions, such as correct missing market data.
Once the corrective actions are taken, the Official P&L Corrections can be run using the Error marks mode.
• Trade Filter: You have the option to run the Official P&L correction on a subset of trades defined by a trade filter.
The process will pick up all the trades in the trade filter and will tentatively correct them one by one.
For consistency reasons the following checks are done at the start of the scheduled task on the Corrections
Trade Filter:
– We expect a trade filter that has the same position spec as the trade filter in the Official P&L.
– We expect a trade filter that has no parent trade filter.
– We expect a trade filter that is a subset from the one given for the Official P&L.
Use case: Sometimes there are no errors in the marking process, but the marks are generated with incorrect or
stale data. You can correct or update the data and regenerate marks for the a given subset of trades.
• Error marks on trade filter: You can choose to regenerate the marks that are in error, but only for a subset of
trades defined by a trade filter.
22 Official P&L

These three modes can be configured by using a “Corrections Trade filter” in the scheduled task and by setting to
true/ false the “Correct Error Trades Only” option.
The scheduled task produces meaningful logs about the trade ids / marks that have been effectively corrected and
the mark's “Enter date” is updated.

OFFICIALPLCORRECTIONS scheduled task configuration

Task Attributes:
• P&L Scheduled Task id - The ID of the Official P&L scheduled task (EOD_OFFICIALPL) that was used to generate
the marks. This is a mandatory field.
• Corrections Trade Filter - The trade filter containing trades with incorrect market data (optional). If no trade filter
is selected, the system processes trades associated with error marks only.
• DISPATCHER_CONFIG - You can select a dispatcher configuration to run the scheduled task in distributed
processing.

Refer to the Calypso Installation Guide for details on setting up distributed processing.
• Correct Error Trades Only - Only applies when a Corrections Trade Filter is selected. If true, the scheduled task
will only correct trades with error marks in the Corrections Trade Filter, otherwise it will correct all the marks in
the Corrections Trade Filter.
If crystallization is turned on, the scheduled task OFFICIALPLCORRECTIONS will create crystallized marks if
needed.
Once you the scheduled task OFFICIALPLCORRECTIONS, you need to re-run the scheduled task
EOD_OFFICIALPL with the option "Run P&L Adjustments" to regenerate the Official P&L report
with the corrected marks.

Example
Official P&L Report run with bond quote = "100.35".
P&L Marks:

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 Official P&L 23

Official P&L report:

The bond quote is modified to "104".

You run the scheduled task OFFICIALPLCORRECTIONS to fix the marks.
P&L Marks:

Then you re-run the Official P&L report with option "Run P&L Adjustments" so that the corrected marks are used.
Official P&L report:

Only the Bond P&L is modified accordingly.

2. 3. 3 A D JU ST IN G A N D D ISPL A YIN G T H E OF F IC IA L P& L  MA R K S

You can run the Official P&L Marks Report to check and adjust the P&L marks computed by the scheduled task EOD_
OFFICIALPL.
From the Calypso Navigator, navigate to Position & Risk > Official P&L Mark > Official P&L Mark report (menu
action reporting.ReportWindow$OfficialPLMark).

Sample Official P&L Mark report

» Enter search criteria as needed and click to load the corresponding P&L marks.
The number of loaded P&L marks is limited by the Access Permissions attribute "Max.OfficialPLMark", and
defaults to 1000.
24 Official P&L

[NOTE: The P&L marks are stored by P&L Configuration - If you modify the P&L Configuration of a given set of Official
P&L parameters, you need to re-run the scheduled task EOD_OFFICIALPL to store the P&L marks for the new
configuration]

» You can configure the display as needed, and save the display as a template.

» In case there is an error (Status = Error), you can right-click the P&L mark and choose "Show Error" to display
the error details.

» You can right-click a P&L mark, and choose “Enter Mark Adjustment” to adjust it.

Enter the adjustment amount in the Adjustment field, and enter an adjustment comment, then click Adjust. The
status of the P&L mark moves to "Adjusted".
You can only adjust P&L marks in P&L currency. The corresponding base P&L marks will be recomputed
accordingly.
For an already adjusted P&L mark, you can remove the adjustment. The status of the P&L mark moves to
"Adjustment Removed".
Once you adjust the marks, you need to re-run the scheduled task EOD_OFFICIALPL with the
option "Run P&L Adjustments" to regenerate the Official P&L report.

» You can right-click P&L marks in status "Adjusted" and "Adjustment Removed", and choose "Audit Report" to
view the details of the adjustment.

Note on Investment Cash Marks

The computation of Investment Cash marks is triggered by the changes in Settled and Unsettled Cash. In order to
preserve the computation consistency, the Investment Cash marks are not adjustable independently.
Investment P&L measures corrections are only supported by the scheduled task OFFICIALPLCORRECTIONS. Their
computation is based on individual position components (trade open quantity), and therefore they cannot be
recomputed after adjustments.

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 Official P&L 25

2.4 D IS P LAY ING OFFICIAL P & L R E S ULTS

An Official P&L report is generated by the EOD_OFFICIALPL scheduled task and saved to the database.
The results of the saved report can be viewed in the Calypso Workstation.

2. 4. 1 A D D IN G T H E OF F IC IA L P& L R EPOR T T O A C A L C U L A T ION SER VER

From the Calypso Navigator, navigate to Configuration > Reporting & Risk > Calculation Server , and select your
Calculation Server configuration.

Sample calculation server configuration

» Select the type "OfficialPL".

» Select the Official P&L parameters, Trade Filter and Pricing Env you used to run the report.

» Check "From Pre-Saved Results".

» Click Add, then click Save to save the Calculation Server configuration.

2. 4. 2 OF F IC IA L P& L R EPOR T R ESU L T S

Click Workstation in the Calypso Navigator to open the Calypso Workstation.

In the "Report Collection" panel on the left-hand side, select the root level or any existing folder, and click to add a
new saved report.
You will be prompted to give it a name, and select the report source.
 26 Official P&L

Calypso Workstation - Select Official P&L report source

» Select the report previously added to the Calculation Server.

You can check "Latest Version" - The latest report that is computed by the scheduled task will be displayed.
Click OK to add the report.

Then you will be prompted to configure the layout.

You can select columns, filter the results, sort the results, and set coloring rules as needed.
For the Official P&L report, you can define a Simple view, or a Hierarchy view.
The Hierarchy view will be displayed as follows with a navigation bar:

You can expand / collapse the various levels using the navigation bar.

You can choose Help > Calypso Workstation Help for complete details on using the Calypso Workstation.

The report will be displayed on the right-hand side.

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 Official P&L 27

Sample Official P&L report

You can also choose > Configure Report Plan on the right-hand side to configure the layout.
For a Hierarchy view, you can choose > Show Detail to display the trades of an aggregation level.

[NOTE: If you configure drilldown reports on the Official P&L report, they will only provide the P&L bucketing, not
details on P&L attribution - To explain the P&L, please run the Official P&L report with the "Explain P&L" option]

The columns of the Official P&L report are described below.

Column Description
Trade Id Id number of the trade or position.
P&L Currency P&L currency (usually the trade currency or the leg currency).
P&L Currency Pair Trade currency pair, if applicable.
P&L Leg Cross currency swaps: Pay or Receive.
Location swaps: Near or Far.
P&L Location Only applies to location swaps: location (NYC, LON, etc.).
P&L Strip Date Only applies to FX Cash: strip date.
P&L End Date P&L valuation date.
P&L Start Date There is a "P&L Start Date" column for each requested P&L:
• Start Date [DLY], Start Date [MTD], Start Date [YTD], Start Date [TNR] for relative
dates
P&L Settle Date Trade Settle Date, except for SettlePosition. For SettlePosition, it is max(valdate,
settledate).
Status Status of the P&L marks:
• Error - An error was encountered while calculating the marks.
• Adjusted - The marks have been adjusted.
• Not Adjusted - The marks were successfully generated and never adjusted.
• Adjustment Removed - The marks were adjusted, and the adjustment was
removed.
28 Official P&L

Column Description
P&L Type Type of trade:
• Trading - Captured trade.
• FX Sell-off - Trade resulting from a sell-off.
• Inactive Trade - A trade is considered inactive on a given day if the following
conditions are met
– There was no change in the value of the trade today.
– The value of the trade is not expected to change in the future.
When a trade/position becomes inactive, its P&L is not reported on a separate line
item (this always happens for previous year's inactive trades, and is configurable
from the P&L Configuration for the current year's inactive trades). The P&L is
merged with other inactive trades and reported on a summary line in the report.
One summary line is reported for every book and currency.

[NOTE: Inactive trades are trades that are not loaded and priced; their marks are copied
over from one day to another]
P&L Methodology P&L methodology used to compute the P&L.
P&L Product Type Trade's or position's product type subject to P&L.
Subtype In the case of a Structured Product trade, it is the product type of the underlying
product.
Extended Type
Start End Measures Each P&L measure is associated with a P&L mark, and P&L is computed as the difference
between two P&L marks:
• Measure [END] implies the measure of the P&L mark at the P&L reporting date
• Measure [DLY] implies the measure of the P&L mark at the end of the previous
business day
• Measure [MTD] implies the measure of the P&L mark at the last business day of
previous fiscal month
• Measure [YTD] implies the measure of the P&L mark at the last business day of
previous fiscal year

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Official P&L 29

Column Description
"Follow the Product" Measures
P&L = Realized P&L + Unrealized P&L
• Realized P&L: P&L that has been realized. Amounts are certain and are not
sensitive to time and market conditions anymore.
The realized part of the total P&L is broken down into Realized MTM P&L + Realized
Accrual P&L + Realized Accretion P&L + Realized Other P&L:
– Realized MTM P&L: P&L from buying and selling (liquidation), pay-down,
settling/realizing MTM fees (Premium, termination, etc.)
– Realized Accrual P&L: P&L from coupon/interest payments, liquidation of
a trade with accrual.
– Realized Accretion P&L: P&L from liquidating a bond which has an
accreted value.
– Realized Other P&L: P&L from Fees that have settled
* You can also show the fees in the other buckets as needed - Please refer to
Calypso Official P&L Setup Requirement guide for details.
• Unrealized P&L: P&L that could be generated according to the market conditions
and current position
The unrealized part of the total P&L is broken down into Unrealized MTM P&L +
Unrealized Accrual P&L + Unrealized Accretion P&L + Unrealized Other P&L:
– Unrealized MTM P&L: P&L from price and quote movements without
liquidation, PV of MTM Fees, change in NPV due to moving a day
– Unrealized Accrual P&L: P&L from future coupon/interest cashflows that
have not yet been paid
– Unrealized Accretion P&L: P&L from amortization towards
– Unrealized Other P&L: P&L from Fees that have not yet settled
* You can also show the fees in the other buckets as needed - Please refer to
Calypso Official P&L Setup Requirement guide for details.
"Follow the Cash" Measures
P&L = Risk Value + Settled Cash
• Risk Value: Market, position and time sensitive component of the P&L
Risk Value is broken down into Asset Value and Unsettled Cash
– Asset Value: Intrinsic value of the asset consistent with the P&L methodology
– Unsettled Cash: Sum of all discounted cashflows that are part of the P&L, but
not part of the Asset Value or Settled Cash
• Settled Cash: Sum of all settled cashflows
30 Official P&L

Column Description
Other Measures
• CUMULATIVE_CASH: Sum of flows on the trade which generate transfers.
• CA_COST: Cost.

Refer to Calypso Pricer Measures documentation for details per Product Class.
• CA_NOTIONAL: Notional.

Refer to Calypso Pricer Measures documentation for details per Product Class.
• CA_PV: Net present value ignoring all fees and upfront costs.
• Cost of Funding: Funding charge on Cumulative Cash.
• Cost of Funding for Crystallized: Cost of funding of crystallized P&L mark.
• FX Rate to Base: FX Rate which is used to convert trade CCY flows into P&L
reporting currency.
• Unrealized Crystallized: Crystallized unrealized P&L mark.

Deprecated Measures
• Settled Proceeds: All settled mark to market/accrual fees and trade cash flows.
• Unsettled Proceeds: Any known fee/payments that are due but not settled.

Investment Measures
The following P&L measures can only be displayed in the Asset Management reports:
Investment P&L, Realized Investment P&L, Unrealized Investment P&L, Realized Capital
P&L, Realized Cross P&L, Realized FX P&L, Unrealized Capital P&L, Unrealized Cross P&L,
Unrealized FX P&L, Funding Balance, Funding Average FX.

Please refer to Calypso Asset Management documentation for details.

P&L Measures Daily, month-to-date, year-to-date and inception-to-date P&L.
P&L measures are computed as the difference between end and start measures.

2. 4. 3 EXPOR T IN G OF F IC IA L P& L R ESU L T S

You can use the scheduled task OFFICIALPLEXPORT to export P&L results to a file.
This scheduled task can be run in two ways:
• You can select the columns you want to export and export the report using the run type "Run P&L Report Export".
• You can create a header file containing the columns to export using the run type "Generate Header File Only" and
export the report using the run type "Run P&L Report Export Using Header File".

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Official P&L 31

Common Attributes
• Select a trade filter.

Task Attributes
• Run Type - Select the following run type to export the columns defined in the attribute "Columns To Export" or
the columns defined in a header file.
– "Run P&L Report Export" - This mode uses the attribute "Columns to Export" to export the corresponding
columns, and ignores the attribute "Header File Name".
– "Run P&L Report Export Using Header File" - This mode uses the attribute "Header File Name" to export the
columns defined in the header file, and ignores the attribute "Columns to Export".
– "Generate Header File Only" – This mode generates a header file containing all the columns from the most
recently saved Official P&L report.
The header file has the following format: one column per row.
Example:
32 Official P&L

• Analysis Parameters - Select the Official P&L parameters.

• Include P&L Explain - true or false (default is false) - When true, a file containing P&L Explain is created <File
Name>_PLExplain, in addition to the Official P&L file. This new file contains both P&L attribution effects and
Greeks explain values in raw format.
In the “P&L Explain” file only successful results are shown, whereas in the “Official P&L” file all the results are
displayed (even when errors have occurred). For cross checking purposes, a shared column (default_obj_key)
is available in both files.
• Columns To Export - Only applies to Run Type "Run P&L Report Export" - Select the columns to be exported (only
columns configured in the PL Configuration can be selected).
• Header File Name - Only applies to Run Type "Run P&L Report Export Using Header File" or "Generate Header File
Only" - Enter the name of the header file to be used / generated (including extension).
If the path is not specified for the header file, it is saved / retrieved by default in <user home>/Calypso.
• Output Format - Select the output format of the exported report: HTML, EXCEL, CSV, TXT.
• File Name - Enter the full path and file name of the exported report (including extension).
• Append Timestamp to File Name - Select one of the following options:
– "No Timestamp".
– "Date and Time" - Append the file name with the valuation date and time (format YYYYMMDDTHHMMSS).
– "Date Only" - Append the file name with the valuation date (format YYYYMMDD).
– "Legacy Format" - Append the file name with the valuation date (format DD-MM-YYYY).

2. 4. 4 TRADING ACT IVIT Y AT TRADE LEVEL

You can use the scheduled task OFFICIALPLTRADING_ACTIVITY to display trade level P&L impact for new and
modified trades for a given Official P&L run. The report is saved to a file in CSV, EXCEL, HTML or TXT format.

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Official P&L 33

Task Attributes
• P&L Scheduled Task id - The ID of the Official P&L scheduled task (EOD_OFFICIALPL) that was used to generate
the marks. This is a mandatory field.
• Header File Name - Enter the name of the header file that contains the columns to be displayed in the report.
If the path is not specified for the header file, it is retrieved by default from <user home>/Calypso.
• Output Format - Select the output format of the generated report: HTML, EXCEL, CSV, TXT.
• Export File Name - Enter the file name of the generated report.
If the path is not specified for the file, it is saved by default in <user home>/Calypso.
• Append Timestamp to File Name - Select one of the following options:
– "No Timestamp".
– "Date and Time" - Append the file name with the valuation date and time (format YYYYMMDDTHHMMSS).
– "Date Only" - Append the file name with the valuation date (format YYYYMMDD).
– "Legacy Format" - Append the file name with the valuation date (format DD-MM-YYYY).

Example
34 Official P&L

2.5 P & L  E X P LAIN

P&L explain represents the daily P&L decomposition/ attribution. P&L explain is integrated directly into the Official P&L
EOD run, which allows for consistency between the two. All of the numbers explained in the P&L explain report are
coming directly from the Official P&L run.
If you have selected to show P&L explain, the effect columns will be added to the report plan configuration in the
Calypso Workstation. You can add them to the display as needed.
The P&L decomposition also comes with an automatic drill-down panel at the bottom P&L of the P&L report. You can
select a row in the Official P&L report, and it will show the corresponding effects in the drill-down report.

When you run the Official P&L with P&L Explain, you can choose between Cumulative, Independent, or Independent
With Greeks:

The difference between the methods only applies to the Market Data Effect.

2. 5. 1 P&L EXPL AIN EF F ECT S

• Start Mark Adjustment Effect- Component of P&L attributed to manual mark adjustments on the previous day.
• End Mark Adjustment Effect - Component of P&L attributed to manual mark adjustments on the current day.
• Start Pricing Environment Change Effect - Component of P&L attributed to:
– Changes to pricer configuration/ pricing environment after start marks were generated, for example after
market data maintenance.
– Back-dated changes to market quotes after start marks were generated.
– Using different pricing environments at start and end.
• Market Spread Effect - Market to Theoretical.
For listed derivatives and bonds, the Market Spread effect compares the market price to the price derived from
curves. Market To Theoretical Effect reflects changes in theoretical and market prices on the previous day.
Refer to "Scenario - Measure Maker, Listed Product panel" to check if the asset class is configured to go through
this effect.

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Official P&L 35

• Time Effect - Carry Effect:

– Time effect is the change in P&L due to valuation date moved to the next business date .The Time effect is
broken down in Carry and Roll Down effect.
– The Carry effect is calculated by rolling the curves to the next business day. Below method is followed to
roll to the next day: quotes used for pricing constant are kept constant for derived market data default roll
method defined on them is used, for curves roll fwd method is used.
– The Carry effect is split into a Cash effect (equal to the realized P&L due on D), and an Unrealized effect for
the remaining.
• Time Effect – Roll down Effect:
– Time effect the change in P&L due to valuation date moved to the next business date. The Time effect is
broken down in Carry and Roll Down effect.
– The Roll Down effect is calculated by generating the market data items as of current day
• Market Data Effect – Curves (Rate, Credit, Forex, Equity), Volatility, Quotes, Residual - Market Data effect
represents changes in marks values due to market data moves. Three different methodologies are available for
Market Data effects computation:
– In the Cumulative method, we shift the market data items separately and sequentially when computing
each effect, following the dependency tree from the parents to the children; meaning as we go through
each market data item, the item is shifted, the effect is calculated, and that market data item remains
shifted when calculating the effect for the next market data item.
– In the Independent method, each market data item is shifted independently, meaning we shift the first
market data item, calculate the effect, then undo the shift before shifting the next market data item. In the
Independent method, there is also a Residual effect, which is computed as the difference between the
total Market Data Effect from a simultaneous shift, and the sum of all the Market Data Effects using the
Independent method. It represents the difference between the Cumulative and Independent methods.
– In Independent with Greeks method we estimate each Market Effect using Taylor expansion, so we
compute Greeks P&L at the lowest level (e.g. the underlyings of each curve and vol surface). For each
market data item input and quote coming from the market (e.g. each curve underlying and vol surface
underlying quote), we compare the Greeks P&L with the Market Data Effect from the independent method;
the difference between the two is the Greeks Unexplained. A Residual effect will be computed as
difference between the Cumulative and the Independent methods.

See P&L Explain by Greeks for details.

• Crystallization FX Effect - FX effect computed on the crystallized marks.
• Curve Reset Effect
• Reset Effect - Rate Reset, FX Reset, Price Fixing - The Reset effect covers the P&L component attributed to rate
resets and price fixings. It is the difference between the forecasted rate / price and the actual rate reset / price
fixing.
• Market Spread Effect - Theoretical to market
For listed derivatives and bonds the Market Spread effect compares the market price to the price derived from
curves. Theoretical to Market Effect reflects differences in theoretical and market prices on the current day.
• Known Trading Activity and Lifecycle Events Effect:
– Trading Activity effect and Trade Lifecycle effect cover the P&L component attributed to known trade
events and unknown trade events.
36 Official P&L

– Trading Activity is defined as an action on the trade that is related to trade administration, such as
booking a new trade, or amending or canceling an existing trade. Trade Lifecycle is defined as an action
that is business related, such as a Termination or an Exercise.
– Known Events are events that are not driven by market decisions. They are either predetermined actions,
such as corporate actions on Fixed income, or corrections that are assumed to have an impact from the
start of the trade, such as cancellations or amendments. This means they are processed with valuation of
the trade with Market Data as of previous day. Example: Allocation, Amend, Backdated, Cancel, Expiry,
Rollover, Settlement
• Unknown Trading Activity and Lifecycle Events Effect:
– Trading Activity effect and Trade Lifecycle effect cover the P&L component attributed to known trade
events and unknown trade events.
– Trading Activity is defined as an action on the trade that is related to trade administration, such as
booking a new trade, or amending or canceling an existing trade. Trade Lifecycle is defined as an action
that is business related, such as a Termination or an Exercise.
– Unknown Events are decisions that are driven by the market, so they will take the valuation using the
market data as of current day. Example: New Trade, Allocation, Amend, Backdated, Cancel, Expiry,
Rollover, Settlement
• FX Translation Effect - It is only computed when “FX Translation” is checked in the P&L Config.
FX Translation Effect= P&L [DLY] Base – (P&L [DLY] * FX[VD]) = P&L [DLY] Base - P&L (Base)
• Residual Effect - Any other changes between marks and actual valuation that cannot be explained by other
effects. A non-zero value usually indicates an issue.

2. 5. 2 P& L  EXPL A IN B Y GR EEK S

Greeks computation is required for running P&L Explain by Greeks.
Greeks are computed by the scheduled task PL_GREEKS_INPUT using Taylor Series approximation. Greeks are
computed at the position level.

PL_GREEKS_INPUT Scheduled Task

Greeks are computed by the scheduled task PL_GREEKS_INPUT.
You can configure the scheduled task using Configuration > Scheduled Tasks (menu action
scheduling.ScheduledTaskListWindow), and add a task of type PL_GREEKS_INPUT.
It generates end of day P&L marks for all pricer measures defined in the selected P&L configuration.

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Official P&L 37

PL_GREEKS_INPUT scheduled task configuration

Task Attributes:
• "OfficialP&L Parameter" - Select the Official P&L parameter for which to compute Greeks.
• "REPORT FAILURE ON PRICER ERRORS" - "true" reports failure on pricer errors, "false" does not.
• "Grid: Dispatcher Name" - You can select a dispatcher configuration to run the scheduled task in distributed
processing.

Please refer to the Calypso System Guide for details on setting up distributed processing.
• "Grid: Trades per job" - You can enter the number of trades per job if using Dispatcher.

To verify the Greeks, you can use the Live PL Greeks Admin report.

See Troubleshooting Tools for details.

You can also verify the results using the Sensitivity report.

See Sensitivity Report Comparison for details.

You can also run the scheduled task PL_GREEKS_INPUT for Sensitivity reports using the Calypso Data Grid.

Please refer to Calypso Data Grid for Risk Reports documentation for details.

Process P&L Explain by Greeks

Greeks will be used for Greeks P&L computation in the Independent with Greeks method. For that the Analysis param
should be configured accordingly:
 38 Official P&L

The Greeks should be run EOD for the next day morning, so the Valuation time should be set correspondingly.

The recommended chain for running the Official P&L on a daily basis (between D & D+1) is the following:
Step 1 - Mark market data and save them with a cutoff date and time as of day D, say 5PM.
Step 2 - Run End of Day P&L process with an as of date D, say 6PM.
* If required, after Step 2, review market data for maintenance (roll futures, change underlying, etc) and re-mark
curves as of day D, 6PM or before. This will generate a Start Pricing Env Change effect that will be computed the next
day.
Step 3 - EOD D, generate Greeks with an as of date D+1, morning.

Next day, repeat step 1 to step 3.

2. 5. 3 DISPL AY CUMUL AT IVE AND INDEPENDENT P&L EXPL AIN

When you select a row from the Official P&L report, the P&L attribution is displayed in the drill-down report.
The drill-down PL Explain report is similar for Cumulative and Independent P&L explain. The Independent P&L explain
has an additional effect, Market Data – Residual, that represents the difference between the Cumulative and
Independent methods.

Sample P&L Explain results

» From the left-hand side, you can select which information you want to review: Select "PL Attribution" for the
summary view, or select a specific effect.

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Official P&L 39

» From the right-hand side, you can drill down into the details of a given effect.

» For trade-related effects, when you select an effect in the P&L Explain report, you can drill-down to the trades.

This only applies to Rate Reset, Termination, and Back-Dated trades. When a user selects a detailed view for one
of these three effects from the bottom PL Explained panel within CWS, they can drilldown into a sorted view of
the exact trade IDs that make up that effect. This is especially important for trading activity and trading lifecycle
effects, as these effects are more reliant on the users input and configuration. This feature therefore gives end
users the ability to pinpoint exactly which trades are causing issues within their P&L

2. 5. 4 D ISPL A Y P& L EXPL A IN B Y GR EEK S

When you select a row from the Official P&L report, the P&L attribution is displayed in the drill-down report.
The Greeks Explain attribution is added to the P&L explain drill-down report:
 40 Official P&L

Sample Official P&L Explain by Greeks report

When you select "PL Attribution" (the summary view), the Unexplained column gives you an immediate comparison at
the market data item level between the value generated by the Independent approach and the value generated by the
Greeks (Taylor Series) approach.
You can select the Greeks Explain effect to view a summary of the Greeks P&L with the Delta, P&L, and Base P&L
across the effects.

You can then select a market data item from the right-hand side to breakdown the P&L at the underlying level.
When selecting Greeks Explain detailed view from the left panel, essentially the detailed breakdown of the market
data effects by Greeks, the user can pick and choose which columns to show based on the effect that they are
reviewing. In general, these columns will give the user information on the market data quote for the underlying
before and after, the change in the relevant unit for the underlying, the delta (or Vega in the case of volatilities) in
both risk and PL currency, and finally the Greeks P&L as a result of the change in market data multiplied by the
relevant risk factor quote in three possible currencies( amount of currencies shown depends on the effect) : the risk
currency, the PL currency, and the base PE currency.

The major differences in the different Greeks views are as follows:

• Depending on what type of effect this is, the change in market data can be reflected in different units. For
instance, rate and credit effect will show the change in BPS, volatility surfaces will show it as a change in the VOL

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Official P&L 41

which can be simplified to just the change in quotes by a simple difference (i.e. end 1.2 start 1.1 vol change is
.1 ), FX effect will show the change in PIPS, and an equity effect will show the change as a relative percentage.
• Essentially all the effects except for volatility will use the delta as the first order derivative, the gamma as second
order derivatives, while the vol effect will use Vega.
• Based on the effect shown, the way the market data and underlyings are represented in the view may be
different. This can be seen by looking at the left hand side of the right (detailed view) panel in the Greeks
Explain, as this shows how the view is constructed. The key differences in the construction of the view can be
seen in the credit and vol effects. Both the credit and vol views are aggregated at the top level by the tenor,
meaning that each tenor will be shown with its own separate box displaying the columns, so for instance if there
is a 6 month and 1 year tenor, there will be two separate boxes in the view that contain the same columns but
represent the Greeks P&L for that specific tenor. This is illustrated in the credit and vol effect screenshots below.

Sample Rate Greeks P&L View

Sample Rate Vol Greeks P&L View

Sample FX Greeks P&L View

Sample Equity Greeks P&L View

42 Official P&L

Sample Equity Vol P&L View

You can click the down arrow next to the Values field to select the columns to be displayed: start and end quotes,
start and end quote adjustments, Delta, P&L, Base P&L.
You can click the down arrow next to the Market Data Item field to filter the market data to be displayed.
An export functionality is available, allowing to export all the Greeks views with the same display as CWS.

Results Details
The P&L Explain by Greeks report leverages the risk framework to produce first and second order Greeks.
The columns of the P&L Greeks report are described below.

[NOTE: Risk Currency (Risk CCY) - Risk measure sensitivities are expressed in “market data currency.” This is
performed regardless of the product and based on the currency of the market data from which the underlying comes
from. For example, a EUR/USD cross-currency swap will show EUR curve risk in EUR and USD curve risk in USD]

Columns Description
Change Change in market data quote from the start of day to the end of day.
Change = (q2 - q1) / (qs - q0)
The following notations are used in the formulas:
• q0 – unshifted quote (usually q1)
• qs – shifted quote
• q1 – market quote before (Start)
• q2 – market quote after (End)

[NOTE: Due to the scaling of the shift, each market data quote’s calculated daily
“Change” is displayed in the relevant unit for all underlyings (e.g. Bps, Vol)]

Delta Change in NPV for a standard shift amount applied to underlying instrument quotes,
specific to the type of market data.
Delta (PL CCY) = Risk Value (shifted) – Risk Value (unshifted)
*Risk Value here is computed directly in PL Ccy
Delta (Risk CCY) = Risk Value (shifted) – Risk Value (unshifted)
*Risk Value here is computed directly in Risk Ccy

Please refer to Calypso Sensitivity documentation for computation details.

Gamma Change in Delta for a standard shift amount applied to underlying instrument quotes,
specific to the type of market data.
Gamma (PL CCY) = [Risk Value (shift up) + Risk Value (shift down) – [2 * Risk Value
(unshifted)]]
*Risk Value here is computed directly in PL Ccy
Gamma (Risk CCY) = [Risk Value (shift up) + Risk Value (shift down) – [2 * Risk Value
(unshifted)]]
*Risk Value here is computed directly in Risk Ccy

Please refer to Calypso Sensitivity documentation for computation details.

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Official P&L 43

Columns Description
Vega Change in NPV for a standard shift amount applied to the underlying instrument quotes
of a Volatility Surface.
Vega (PL CCY) = Risk Value (volatility shifted) – Risk Value (volatility unshifted)
*Risk Value here is computed directly in PL Ccy
Vega (Risk CCY) = Risk Value (volatility shifted) – Risk Value (volatility unshifted)
*Risk Value here is computed directly in Risk Ccy

Please refer to Calypso Sensitivity documentation for computation details.

Delta P&L Change in market data quote multiplied by the Delta risk factor (Taylor Series
approach).
Delta P&L (PL CCY) = Change * Delta (PL CCY)
Delta P&L (Risk CCY) = Delta P&L (PL CCY) * Conversion Factor
Gamma P&L Change in market data quote multiplied by the Gamma risk factor (Taylor Series
approach).
Gamma P&L (PL CCY) = 0.5 * Change2 * Gamma (PL CCY)
Gamma P&L (Risk CCY) = Gamma P&L (PL CCY) * Conversion Factor
Vega P&L Change in market data quote multiplied by the Vega risk factor (Taylor Series
approach).
Vega P&L (PL CCY) = Change * Vega (PL CCY)
Vega P&L (Risk CCY) = Vega P&L (PL CCY) * Conversion Factor
Taylor P&L Total P&L of a portfolio of trades using Greeks to analyze the sources of gain or loss with
the Taylor Series approximation.
Taylor P&L (PL CCY) = Delta P&L (PL CCY) + Gamma P&L (PL CCY) + Vega P&L (PL CCY)
Taylor P&L (Base) = Taylor P&L (PL CCY) * Conversion Factor

2. 5. 5 D ISPL A YIN G ER R OR S
The column "P&L Explain Error Count” indicates the number of errors if any.
Error messages can be displayed using the popup menu item “Show PLX Error Information”. Error messages are
displayed in the Errors Info panel.
44 Official P&L

2.6 INTRADAY P & L

You can run P&L intraday provided you have generated an Official P&L report on the previous day.
Running intraday P&L requires the P&L configuration that was used to generate the Official P&L on the previous day,
and an Intraday P&L configuration.

The steps for running intraday P&L are outlined below.

Step 1 - Configure an "Official" P&L configuration, and Official P&L parameters that use this P&L configuration.

Step 2 - Run the Official P&L report using these Official P&L parameters on the previous day as previously described:
saved report computed using the scheduled task EOD_OFFICIALPL.

Step 3 - Configure an "Intraday" P&L configuration.

The recommended approach to configure the Intraday P&L configuration is to load the "Official" P&L configuration,
change the type to "Intraday" and save the configuration as new, as it needs to have exactly the same parameters as
the "Official" configuration.

[NOTE: For Intraday configurations, the pricing environment cannot be selected. The report uses the pricing
environment specified in the Calculation Server configuration]

Step 4 - Configure Official P&L parameters that use both P&L configurations.

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Official P&L 45

» Select an "Official" P&L configuration in the Start P&L Configuration.

» Select an "Intraday" P&L configuration in the End P&L Configuration.

The P&L marks of the previous day are retrieved using the Start P&L Configuration. The intraday P&L marks are
computed on-the-fly by the Calculation server, and are not stored to the database.

Step 5 - Load this "live" Official P&L report in a Calculation server.

[NOTE: The trade filter selected here can be a subset of the trade filter used to run the Official P&L report and
following the same restrictions: books and position spec only]

In the Incremental/Grid Configuration panel, you can set the Analysis Run Frequency (update frequency).

Step 6 - Load the results in the Calypso Workstation.

Sample "Intraday" P&L results - These are live results:
46 Official P&L

» You can click to refresh the results if you have the access permission OnDemandMktDataRefresh.

Sample results from the previous day - These are saved results from the "Official" report:

The Intraday P&L report computes the P&L measures previously described.
Additionally, the following P&L decomposition is available:
• Mark Adjustment P&L: This measure shows the impact of manual mark adjustments. It is the difference
between the sum of today’s marks and marks adjustments, and the sum of the marks of the previous day.
• Overnight P&L: This measure requires pricing the trades and positions by changing the valuation date to
today, and taking into account rolled and regenerated curves but not their reset; this is the “Overnight
Valuation”. Market data and trade/position version are taken as of the start date.
Overnight P&L is the difference between the “Overnight Valuation” and the marks of the previous day.
• Trading P&L: Only applies if the version number of the trades and positions has changed since the previous
day.
This measure requires pricing the trades and positions by changing the valuation date to today. This is the
“Trade Valuation”. Market data are taken as of the valuation date, and trade/position version is taken as of the
start date.
Trading P&L is the difference between the “Trade Valuation” and the “Current Valuation”.
• Market Data P&L: P&L - Overnight P&L – Trading P&L.

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Official P&L 47

2.7 A DDITIONAL P ROCE S S E S AND T ROUBLE S HOOTING

2. 7. 1 A R C H IVIN G A N D PU R GE PR OC ESS
The Archiving and Purge process is used to archive / purge marks and purge Greeks from P&L marks tables for a
given P&L Configuration.
You can use the scheduled task OFFICIALPLARCHIVEMARKS to archive marks and purge Greeks, and the Clean-up
Database window to purge and archive marks.

You can configure the scheduled tasks using Configuration > Scheduled Tasks (menu action
scheduling.ScheduledTaskListWindow), and add a task of type OFFICIALPLARCHIVEMARKS.

[NOTE: The trade filter must be the same the trade filter used for the scheduled task EOD_OFFICIALPL]

OFFICIALPLARCHIVEMARKS scheduled task configuration

Task Attributes:
• P&L Configuration - Select the P&L Configuration from which the marks and Greeks will be retrieved.
• Number of Daily Marks to Keep - Enter the number of days for which daily marks should be kept in the live
tables. Marks older than Valuation Date - "Number of Daily Marks to Keep" are archived. You can then use the
Clean-up Database window to purge archive marks.
If not set, no marks are archived.
Note that EOM and EOY marks are never archived.
• Number of Daily Greeks to Keep - Enter the number of days for which daily Greeks should be kept in the live
tables. Greeks older than Valuation Date - "Number of Daily Greeks to Keep" are purged.
If not set, no Greeks are purged.

You can also use the Official P&L tab in the Clean-up Database window to archive / purge marks.
48 Official P&L

From the Calypso Navigator, navigate to Utilities > Maintenance > Monitoring > Clean-up > Clean-up Database to
bring up the Clean-up Database window.

Please refer to Calypso Utilities Menu documentation for details on the Clean-up Database window.

2. 7. 2 TR OU B L ESH OOT IN G TOOL S

The following troubleshooting tools are for LOCAL DEBUG only. They should not be deployed to end users as they are
not supported.

Official P&L Run Status Reports

You can run the Official P&L Run Status report (menu action
reporting.ReportWindow$OfficialPLRunStatus) to see if the Official P&L reports has run for a given
date.

» Select a trade filter, a PL Config, and enter a valuation date.

» Then click to load any Official P&L run.

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 Official P&L 49

Official P&L Calculators

You can verify Official P&L calculators for multiple trades using the Official P&L troubleshooting tool.
To bring up the Official P&L troubleshooting tool, you need to add a menu item for menu action
risk.OfficialPLLauncherWindow

First, define the criteria for running the Official P&L report.

» Select the trade filter, Official P&L configuration, and valuation date.

» Click Preview to view the report.

The Official P&L Analysis report displays all trades that fit the criteria defined. The columns are calculator measures
or trade attributes.
* There is no post processing measures computed in this report (CoF, Crystalization, etc.).

Sample Official P&L Analysis report

» You can add or remove columns as needed, and build your own template.

For verification, you can compare the results to that of the Official P&L report:
50 Official P&L

Or, you can compare the results to that of a single trade in the trade window:

Live PL Greeks Admin Report

The Live PL Greeks Admin report (menu action risk.LivePLGreeksAdmin) allows viewing the Greeks
computed by the scheduled task PL_GREEKS_INPUT.

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Official P&L 51

» Enter a start and end date as needed, and click Load to load the scheduled task's runs.

» Select a run, and click View to view the computed Greeks as in the example below.

2. 7. 3 OF F IC IA L P& L LOG C A T EGOR IES

You can use the following log categories:
• OfficialPL - General log category for OfficialPL error and debug logs
• OfficialPLCalculator - For printing out all the calculator generated errors
• OfficialPLX - General log category for OfficialPL PLExplained debug logs
• PLX_DUMP_PE - For dumping out PricingEnv before and after running each PLX effect calculators (like time
effect). The file name will contain “plx.start.”
• PLX_TRADE_ID - For printing PLX effects (P&L) for each mark for each effect calculators. Since the output will be
large, it must be used with trade id appended (ex. PLX_TRADE_ID_123456)
• DUMP_CALCULATOR_TRADE_ID - For printing large amount of debug information for each effect calculators.
Since the output will be large, it must be used with trade id appended (ex. DUMP_CALCULATOR_TRADE_ID,
DUMP_CALCULATOR_TRADE_ID_123456). Note must include both DUMP_CALCULATOR_TRADE_ID and DUMP_
CALCULATOR_TRADE_ID_{tradeid}.
This generates files in the $USER_HOME/Calypso/*.dmp files. There will as many files as the # of times we call
the calculator. The file name contains the purpose like “LifeCycleEffect”, “Regenerate” etc.
The file contains dump of the pricing env and values of the computed measures like UnrealizedMTM,
UnrealizedAcrrual etc. (Not the actual effect which is the diff between measure computed and measure
computed in the previous step). So if you know the order in which we compute effects, you can text compare the
files to see how the market data is changing and what measures are changing.
• OfficialPLTradeLevelCrystallizedMarkCalculator - Debug log for crystallization.
• OfficialPLTradeLevelFundingMarkCalculator - Debug log for funding calculator.
• OfficialPLMarkServerImpl - Error log for getting PL Bucket Id.
52 Official P&L

• OfficialPLCheckMarketDataItems - Error during check market data.

• OfficialPLTaskHandler - Error log for scheduled tasks.
• ScheduledTaskEOD_OFFICIALPL - Log category for scheduled task.
• ScheduledTaskOFFICIALPLBOOTSTRAP - Log category for scheduled task.
• ScheduledTaskOFFICIALPLCORRECTIONS - Log category for scheduled task.
• ScheduledTaskOFFICIALPLEXPORT - Log category for scheduled task.
• ScheduledTaskOFFICIALPLARCHIVEMARKS - Log category for scheduled task.
• GreeksPL - Log category for scheduled task.
• OfficialTradeCollector - Debug log for trade collection.

2. 7. 4 SEN SIT IVIT Y R EPOR T C OMPA R ISON

You can use the Sensitivity report to verify the Greeks.
The Sensitivity report is configured through Analysis Designer.
Right-click within the Sensitivity folder in Analysis Designer, and choose "New Analysis". You will be prompted to
enter an analysis name.

The table below describes the recommended settings for configuring specific risk types to match the P&L Explain by
Greeks results.
Risk Type Recommended Settings
Rate Curves Compute the risk for 1bp absolute shift of curve underlyings, separately, sequentially,
single-sided, without exploding the trades into sub trades (or legs), and with
generating dependents to include basis.

Rate Volatility Compute the risk for a 1 vol shift of each Rate volatility surface underlying. All will be
shifted separately, sequentially, single-sided, and without exploding into sub trades (or
legs). The full market data dependency tree should be regenerated after each
perturbation.

[NOTE: A shift of 1 vol means 1% absolute for lognormal vols, and 1bp for normal vols

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Official P&L 53

Risk Type Recommended Settings

(Bp Vol)]

FX Spot Compute the risk for 1 pip shift of FX spot quote, separately, single-sided, without
exploding the trades into sub trades (or legs), without exploding the triangulated pairs,
and without generating the whole market data dependency tree.

FX Curves Compute the risk for a 1 point absolute shift of FX Forward curve underlyings,
separately, sequentially, single-sided, without exploding the trades into sub trades (or
legs), and with generating dependents to include basis.
54 Official P&L

Risk Type Recommended Settings

FX Volatility One of the following sensitivities will be run depending on the construction of the
volatility surface.

ATM
Compute the risk for a 1 vol shift of each FX volatility surface ATM underlying. All will be
shifted separately, sequentially, single-sided, while generating the whole market data
dependency tree, and without exploding into sub trades (or legs).

ATM, Vanilla Puts & Calls

Compute the risk for a 1 vol shift of each FX volatility surface ATM underlying as well as
each Vanilla Put and Call underlying. All will be shifted separately, sequentially, single-
sided, while generating the whole market data dependency tree, and without exploding
into sub trades (or legs).

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Official P&L 55

Risk Type Recommended Settings

ATM, RR & FLY

Compute the risk for a 1 vol shift of each FX volatility surface ATM underlying and a
0.01% absolute shift of each Risk Reversal and Butterfly strategy underlying. All will be
shifted separately, sequentially, single-sided, while generating the whole market data
dependency tree, and without exploding into sub trades (or legs).

Equity Compute the risk for 1% relative shift of equity or equity index spot quote, separately,
single-sided, without exploding the trades into sub trades (or legs) and without
generating the whole market data dependency tree.
56 Official P&L

Risk Type Recommended Settings

Equity Volatility Compute the risk for a 1 vol shift of each equity volatility surface underlying, separately,
sequentially, single-sided, while generating the whole market data dependency tree,
and without exploding into sub trades (or legs).

Credit Compute the risk for 1bp absolute shift of curve underlyings, separately, sequentially,
single-sided, without exploding the trades into sub trades (or legs), and without
generating the whole market data dependency tree.

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Official P&L 57

Risk Type Recommended Settings

Credit Volatility Compute the risk for a 1 vol shift of each credit volatility surface underlying, separately,
sequentially, single-sided, while generating the whole market data dependency tree,
and without exploding into sub trades (or legs).

Commodity Compute the risk for 1% relative shift of curve underlyings, separately, sequentially,
single-sided, without exploding the trades into sub trades (or legs), and without
generating the whole market data dependency tree.
58 Official P&L

Risk Type Recommended Settings

Commodity Volatility Compute the risk for a 1 vol shift of each commodity volatility surface underlying,
separately, sequentially, single-sided, while generating the whole market data
dependency tree, and without exploding into sub trades (or legs).

Inflation Compute the risk for 1% relative shift of curve underlyings, separately, sequentially,
single-sided, without exploding the trades into sub trades (or legs), and without
generating the whole market data dependency tree.

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Official P&L 59

Risk Type Recommended Settings

Recovery Rate Compute the risk for 1% absolute shift of the recovery rate, separately, single-sided,
without exploding the trades into sub trades (or legs), and without generating the
whole market data dependency tree.

You can view the Sensitivity report using the Calypso Workstation to compare the results to the Official P&L Explain by
Greeks report.

[NOTE: There may be differences between the risk produced by Sensitivity and Official P&L Explain by Greeks. This is
because Greeks are computed using the P&L calculator, following a defined P&L methodology (so level can be
different also), and looks at the changes in the bucket Risk Value while Sensitivity looks at the differences in NPV]
60 Official P&L

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