Sophis

RISQUE
Portfolio Management Guide
Version 5.3.5.17
Document update July 2010
RISQUE Portfolio Management Guide

2010 Sophis Technology Ltd.

The accompanying software package is confidential and proprietary to Sophis Technology
Ltd. or its respective licensors. No use or disclosure is permitted other than as set forth by
written license with the authorized distributors of Sophis Technology Ltd.
Trademarks
Sophis and RISQUE are trademarks of Sophis Technology Ltd. or its respective licensors.
All other company or product names used herein are trademarks of its respective owners.
Support
Sophis Technology Ltd. provides support for this software package according to the terms
of your license agreement. For support, please contact us using one of the following
methods:
Suggestions
Your suggestions and comments about the RISQUE functionality and its documentation
are highly valued and can be used to further enhance our offerings available to you. We
will be glad to receive your suggestions at:
Sophis SA
10 Rue Castiglione
75001
Paris
France
Additional Licenses
Please contact your Sophis Technology Ltd. sales representative to order additional
licenses of RISQUE software. The Sophis home page, www.sophis.net, contains a
complete overview of RISQUE sales offices and further contact details.
Contact Method Details
Telephone +33 (1) 44 55 37 73
Fax +33 (1) 42 60 32 54
E-Mail [email protected]
Portfolio Management Guide
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Table of Contents
Chapter 1 Introduction
Chapter 2 User Interface
The Interface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
Menu Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
File . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
Edit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
Parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
Portfolios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
Quotation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
Audit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
Manager . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
Envir . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
Window . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
Customising the Interface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
Creating a New Toolbar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
Customise the Look and Feel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
Customising the Buttons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
Button Appearance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
Reset . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
Creating a New Menu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
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Portfolio Management Guide
Part 1: Portfolio Management
Chapter 3 Portfolio Interface
Portfolio Window . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
Toolbar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
Views . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
Expand or Collapse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
Consolidations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
Balance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
Arbitrage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
Positions views . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
Freeze P&L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
Blotters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
One Deal Blotters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
Portfolio Information Display . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
Change the portfolio header . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
Underlying and Operator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
Realized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
Unrealized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
Treasury . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
Financing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
Result . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
Greeks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
Delta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
Gamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
Epsilon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
Vega . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
Theta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
Rho . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
Currency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
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Sample Customisable Portfolio Header . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .67
Asset Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .68
List of Portfolio Columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .71
Commodity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .71
Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .73
Greeks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .74
Instrument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .79
IR Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .83
Prices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .85
Result . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .87
Result (advanced) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .89
Total Return Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .91
No Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .93
Chapter 4 Working with Portfolios
Loading the Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .97
Loading the Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .97
Selective Loading of Portfolios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .98
Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .98
FIFO and LIFO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .99
WAP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .100
FIFO Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .100
Line Picking . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .100
Reporting on Single Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .100
Managing Folios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .101
Creating a Folio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .101
Managing the Contents of a Portfolio Folder . . . . . . . . . . . . . . . . . . . . . . . .102
Displaying Folio Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .103
User Columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .103
Creating User Columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .103
Column Expressions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .105
User Column Keywords . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .106
Scripting User Columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .110
Configuration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .111
Using the Scripting Script Editor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .111
External References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .112
Database Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .112
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Portfolio Management Guide
Assigning References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113
Chapter 5 Views
View Types . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115
Hierarchical View . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116
Flat View . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116
Underlying View . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
Consolidation View . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118
Creating a Consolidation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118
Deleting a Consolidation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
Deactivating a Consolidation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
Consolidating Portfolios by Business Sector . . . . . . . . . . . . . . . . . . . . . . . 120
Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120
Chapter 6 Extractions
Viewing Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121
Extractions List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121
Extraction Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122
Managing Criteria Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126
Displaying the Extraction Criteria Dialog Box . . . . . . . . . . . . . . . . . . . . . . . 126
Creating Criteria Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
Managing Lookthrough Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
Creating Lookthrough Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
Viewing Lookthrough Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131
Creating Package Lookthrough Extractions . . . . . . . . . . . . . . . . . . . . . . . . 132
Creating Full Lookthrough Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
Creating Lookthrough Extractions on External Funds . . . . . . . . . . . . . . . . 135
Managing Bucket Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139
Defining a Bucket Set . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139
Defining Bucket Criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144
Applying Bucket Criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144
Managing SQL Filter Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145
Manual SQL Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145
Dynamic SQL Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147
Managing Pivot Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155
Configuring Pivot Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155
Displaying Two Criteria Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158
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Displaying Three Criteria Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .161
Linking Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .162
Defining Position Links . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .162
Merging Position Links . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .163
Deleting Position Links . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .163
Displaying Position Link Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .163
Chapter 7 Fund Alerts
The Alert Window . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .165
Defining a User Alert . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .167
Defining Alert Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .167
The Alert Counter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .168
Alerts in Portfolio Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .169
Chapter 8 P&L
Mark P&L Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .171
Instrument Types . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .173
Instrument Features . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .175
Creating a Rule Set . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .177
Freezing the P&L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .178
Dynamic P&L Freeze . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .181
Dynamic P&L for Alternate Business Week . . . . . . . . . . . . . . . . . . . . . . . . .185
Displaying the Portfolio Result and its Breakdown . . . . . . . . . . . . . . . . . . . . . .185
Multisite End of Day in the Results Reporting Window . . . . . . . . . . . . . . . .186
Result Variation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .187
Prerequisites . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .188
Running the Result Variation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .189
Multisite End of Day Results in the Results Variation Window . . . . . . . . . . .191
Saved EODs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .192
P&L Variations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .192
P&L Attribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .192
Calculations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .193
Viewing the P&L Attribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .194
P&L Explanation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .195
P&L Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .196
Database Field and Table Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . .196
Result Variation Columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .197
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Chapter 9 Electronic Trades
Managing Electronic Trades . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209
Chapter 10 Automatic Tickets
Generating Automatic Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 213
Launching Forecasts for All Portfolios . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214
Launching Forecasts for Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214
Alert Book . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 215
Alert Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 217
Forecast on Individual Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218
Automatic Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218
Automatic Trades Buttons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219
Ticket Icons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 220
Filtering Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 221
Grouping Entries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 224
Pre-generation Checks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 224
Global Preferences . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 224
Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225
Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225
Caps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225
Expiry Tickets for Packages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225
Futures on Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225
Inflation Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 226
Stock Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 226
Automatic Tickets for Stock Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . 226
Share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227
New Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227
Market Delivery . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228
Cash and Apply . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230
Currency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230
Future . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 231
Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 232
Floating Rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 232
Commodity Leg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 232
Equity Leg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233
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Payment Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .233
Fixings For Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .233
Forward Forex . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .234
Debt Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .234
Unpackaged Debt Instrument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .234
Packaged Debt Instrument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .235
Stock Loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .235
Stock Loan without Margin Calls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .235
Stock Loan with Margin Calls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .236
Chapter 11 Portfolio Valuation
Creating the Accounting Period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .237
Loading Market Prices for Specific Dates . . . . . . . . . . . . . . . . . . . . . . . . . . . . .238
Selecting Currency and Other Position Histories for Pricing . . . . . . . . . . . .241
Analysing the Result and its Breakdown . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .241
Evaluating the Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .242
Evaluating through Arbitrage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .242
Dealing with Funding Costs and Financing Calculation . . . . . . . . . . . . . . . . . .243
Calculating the Cash Balance and Physical Stock . . . . . . . . . . . . . . . . . . . . . .244
Cash Balance Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .244
Detailed Cash Balance Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .246
Cash Balance Per Currency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .249
Margin Calls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .251
Calculating Risk Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .251
Viewing Greek Values in the Portfolio Window . . . . . . . . . . . . . . . . . . . . . .252
Recalculating the Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .253
Calculations on New Deals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .253
Performing Calculations on Individual Positions . . . . . . . . . . . . . . . . . . . . . . . .254
Chapter 12 Fast P&L
Enabling Fast P&L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .255
Configuring Fast P&L Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .257
Fast P&L Categories Buttons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .258
Fast P&L Categories Columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .258
Defining Fast P&L Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .265
Viewing Deleted Fast P&L Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . .266
Applying a Fast P&L Category . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .266
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Performing Fast P&L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 267
Fast P&L Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 268
Chapter 13 Simulation Mode
Activating Simulation Mode . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 271
Creating a Deal in Simulation Mode . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 271
Deactivating Simulation Mode . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272
Viewing a Simulated Modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272
Approving a Simulated Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272
Modification Behaviour in Simulation Mode . . . . . . . . . . . . . . . . . . . . . . . . . . . 273
Chapter 14 Derivative and Option Lists
Derivative List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 275
Adding a Derivative List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 275
Displaying Derivatives Lists . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 276
Deleting a Derivatives List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 278
Deleting a Derivative from the Derivative List . . . . . . . . . . . . . . . . . . . . . . . 278
Option List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 278
Adding an Option List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 279
Displaying an Option List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 280
Editing Values in the Option List Window . . . . . . . . . . . . . . . . . . . . . . . . . . 281
Content of the Option List Window . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 282
Part 2: Deal Management
Chapter 15 Deals
Creating Deals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 285
Creating a New Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 285
Creating a Deal on an Instrument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 287
Using the Deal Input Dialog . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 288
Changing Currency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 290
Viewing the Underlying . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 291
Viewing Depository Details . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 291
Setting the Price Type . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 292
Business Events . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 294
Movements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 296
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Workflow . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .297
Chapter 16 Corporate Actions
Creating a Corporate Action . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .299
Corporate Action Types . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .301
Generating Corporate Actions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .301
Automatic Tickets linked to Corporate Actions . . . . . . . . . . . . . . . . . . . . . . . . .302
Dividend and Tax Credit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .303
Dividend . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .303
Tax Credit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .304
Split of a Share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .305
Free Attribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .306
Listed Split - Split of a Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .308
Listed Closing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .309
Demerger . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .310
Merger . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .311
Right Demerger . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .313
Renaming . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .314
Redemption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .316
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .317
Merger Average Price . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .318
Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .318
Dividend Technical considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .318
Split Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .318
Free Attribution Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . .320
Tax Credit Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .320
Demerger Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .320
Merger Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .321
Right Demerger Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . .322
Renaming Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .322
Listed Split Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .322
Listed Closing Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . .322
Chapter 17 Deals on Cash Instruments
Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .325
Automatic Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .326
Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .326
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Automatic Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 328
Partial Redemption Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 329
ABS Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 330
Automatic Tickets for ABS Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 331
Baskets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 332
Manually Creating a Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 332
Movements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 333
Basket Ticket Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 334
Commissions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 334
Blocking a Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 335
Crossings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 336
Chapter 18 Deals on Swaps
Asset Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 337
Bond Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 337
Total Return Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 338
Creating a Deal on a Total Return Swap . . . . . . . . . . . . . . . . . . . . . . . . . . 338
Booking a Deal on TRS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 339
Payment Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 340
Dividends on Total Return Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 340
Basket Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 341
Booking a Deal on a Basket Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 341
Business Events for Basket Adjustment Coupons . . . . . . . . . . . . . . . . . . . 344
Basket Adjustment Ticket . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 345
EQUITY_SWAP_FINAL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 346
Automatic Tickets for Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 346
Floating rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 347
Equity leg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 347
Payment Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 347
Payment Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 348
Chapter 19 Deals on Stock Loans
Booking a Stock Loan using the Deal Input Window . . . . . . . . . . . . . . . . . . . . 352
Booking a Stock Loan using Drag&Drop to Portfolio . . . . . . . . . . . . . . . . . . . . 352
Booking a Stock Loan Using the Tickets Menu . . . . . . . . . . . . . . . . . . . . . . . . 353
Template Selector Window . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 355
Stock loans with Margin Calls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 357
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Commission Modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .357
Collateral/Repo Spread Modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .358
Stock Loan Deal Modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .358
Maturity Modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .359
Spot Modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .360
Partial Return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .362
Repricing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .366
Automatic Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .369
Stock Loan without Margin Calls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .369
Stock Loan with Margin Calls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .370
Chapter 20 Deals on Stock Derivatives
Standard Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .371
Barrier options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .372
Automatic Tickets for Stock Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .373
Automatic Tickets for Stock Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . .374
Share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .374
New Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .375
Market delivery . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .375
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .376
Cash and Apply . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .377
Currency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .377
Future . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .378
Early Exercise of an Option . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .379
Booking an Early Exercise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .381
Capturing a Movement on an OTC Option . . . . . . . . . . . . . . . . . . . . . . . . . . . .382
Digital, Look-Back, Two-Underlying and Average Options . . . . . . . . . . . . . . . .382
Chapter 21 Deals on Listed Options
Booking a Listed Option . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .385
Booking Deals on Listed Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .387
Chapter 22 Deals on TAPOs
Booking Deals on TAPOs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .391
Chapter 23 Deals on Futures and Forwards
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Futures Spread Transaction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 395
Chapter 24 Forex Deals
The Foreign Exchange Deals Dialog . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 397
Booking a Spot Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 402
Booking a Forex Forward Outright Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 403
Booking a Forex Non-Deliverable Forward . . . . . . . . . . . . . . . . . . . . . . . . . . . 403
Booking a Forex Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 404
Forex Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 404
Chapter 25 Deals on Debt Instruments
Booking a Loan on Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 405
Automatic Tickets for Debt Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 406
Unpackaged Debt Instrument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 407
Packaged Debt Instrument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 407
Chapter 26 Deals on Commodities
Standard Commodities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 409
Deals on Standard Commodities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 409
Automatic Tickets for Standard Commodities . . . . . . . . . . . . . . . . . . . . . . . 413
LME Commodities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 416
Deals on an LME Commodities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 416
Automatic Tickets for LME Commodities . . . . . . . . . . . . . . . . . . . . . . . . . . 417
Power and Gas Commodities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 418
Deals on Power and Gas Commodities . . . . . . . . . . . . . . . . . . . . . . . . . . . 418
Automatic Tickets for Power and Gas Commodities . . . . . . . . . . . . . . . . . . 418
Asian Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 430
Chapter 27 Deals on Inflation Instruments
Inflation Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 431
Automatic Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 433
Inflation Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 433
Automatic Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 435
Inflation Caps/Floors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 435
Automatic Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 436
Inflation Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 437
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Automatic Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .438
Chapter 28 Deals on Packages
Booking Packages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .439
Generating Automatic tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .439
Chapter 29 Creating Deals on External Funds
Creating Deals on External Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .441
Lock-up Status in Redemption Deals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .444
Chapter 30 Multiple Deals
Capturing a Series of Trades via Spreadsheet . . . . . . . . . . . . . . . . . . . . . . . . .445
Column Names . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .446
Entering Multiple Deals with the Trade Blotters . . . . . . . . . . . . . . . . . . . . . . . .448
Cross-Asset Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .449
Asian/Swaption Trade Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .451
Fixed Swap Trade Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .453
Float Swap Trade Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .454
LME Daily Future Trade Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .456
Power and Gas Asian/Swaption Trade Blotter . . . . . . . . . . . . . . . . . . . . . . .458
Power and Gas Float Swap Trade Blotter . . . . . . . . . . . . . . . . . . . . . . . . . .459
Power and Gas Trade Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .459
Credit Default Event Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .461
Credit Default Swap Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .462
Forex Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .464
Vanilla FX Option Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .466
Forex Basis Swap Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .468
Tenor Basis Swap Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .470
Interest Rate Swap Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .472
Variance Swap Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .473
Chapter 31 One Deal Blotters
Asian/Swaption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .478
Asian / Swaption Contract Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .478
Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .479
Asian/Swaption in Lots . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .480
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Fixed Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 480
Swap Contract Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 481
Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 482
Float Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 483
Swap Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 484
Leg 1 Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 485
Leg 2 Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 485
Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 485
LME Daily Future . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 486
Forward Contract Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 487
Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 487
Power&Gas Asian/Swaption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 488
Asian / Swaption Contract Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 489
Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 490
Power&Gas Float/Float . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 491
Swap Contract Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 492
Leg 1 Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 492
Leg 2 Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 493
Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 493
Power&Gas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 494
Swap Contract Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 495
Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 496
Credit Default Event . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 496
Contract Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 497
Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 498
Credit Default Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 499
Cross-Asset . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 501
Instrument Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 502
Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 503
Forex Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 503
Forex Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 504
Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 505
Vanilla FX Option . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 506
Option Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 507
Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 508
Calculation Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 508
Hedge (optional) Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 509
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Forex Basis Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .509
Swap Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .510
Receiving Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .511
Paying Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .511
Forex Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .512
Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .512
Calculation Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .513
Tenor Basis Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .513
Swap Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .514
Receiving Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .515
Paying Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .515
Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .515
Calculation Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .516
Interest Rate Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .516
Swap Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .517
Floating Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .518
Fixed Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .518
Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .519
Calculation Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .519
Variance Swap Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .519
Swap Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .520
Variance Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .521
Fixed Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .521
Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .522
Calculation Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .522
Chapter 32 Deal Mirroring
Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .525
Mirror Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .525
Mirror Rules Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .525
Creating Mirror Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .528
Deleting Mirror Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .529
Viewing Previously Deleted Mirror Rules . . . . . . . . . . . . . . . . . . . . . . . . . . .529
Mirror Rules Selector . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .529
Viewing the Mirror Rules Selector . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .529
Adding a Mirror Rule to Mirror Rules Selector . . . . . . . . . . . . . . . . . . . . . . .531
Removing a Mirror Rule from the Mirror Rules Selector . . . . . . . . . . . . . . . .531
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Creating Mirror Deals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 532
Creating Multiple Mirror Deals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 533
Modifying Mirror Deals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 534
Mirror Deal Identification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 534
Automatic Mirroring . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 535
Creating Automatic Mirroring Deals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 536
Chapter 33 Line Picking
Viewing the Line Picking on Position window . . . . . . . . . . . . . . . . . . . . . . . . . 538
Line Picking on Position Header . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 538
Line Picking on Position Frames . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 539
Line Picking on Position Frames Column Configuration . . . . . . . . . . . . . . . 540
Performing Line Picking . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 542
Picking Part of a Sell Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 542
Picking All of a Sell Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 543
Deleting Line Picking . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 544
Part 3: Portfolio Analysis
Chapter 34 Portfolio Analysis
Chapter 35 General Analysis
Scenario Lists . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 551
Defining Scenarios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 552
Running the Scenario . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 553
Running by batch . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 553
Viewing the Cash Delta with the Trend Scenario . . . . . . . . . . . . . . . . . . . . . . 553
Viewing the Break-Up of the Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 554
Viewing the Position Of Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 556
Viewing the Crossed Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 558
Viewing the Crossed Greeks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 558
Evaluating the Evolution of the Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 559
Running A Stress Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 561
CSV file . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 561
Stressable data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 562
Selector Columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 563
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Viewing Worst Case Scenario . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .564
Viewing the Aggregate of Option Positions by Maturities and Strikes . . . . . . . .565
Displaying Interest Rate Hedges . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .566
Viewing the Components of Stock Loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . .567
Stock Loan Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .569
Viewing the Stock Loan Components for an Instrument . . . . . . . . . . . . . . .569
Viewing the Positions of Stock Loans by Portfolio . . . . . . . . . . . . . . . . . . . .571
Cash Flow Diagram . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .572
Chapter 36 Analytical Graphs
Clauses Effect Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .575
Displaying the Pricing Surface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .577
Adjusting the Pricing Surface 2D Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .579
Adjusting the Pricing Surface 3D Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .579
Exporting Graphs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .582
Viewing the Monte Carlo Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .583
Chapter 37 Maturity Analysis
Correlation/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .585
Detailed Correlation Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .586
Epsilon maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .586
Family Rho/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .586
Future Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .586
IR Vega maturities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .587
Repo/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .588
Smile/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .588
Strike/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .589
Vega Maturity/Spot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .589
Vega/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .591
Vol Matrix/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .592
ZC Rho/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .592
Chapter 38 Credit Analysis
Credit Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .595
Credit (Recovery Rate) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .596
Credit Zero Coupon, Credit Market and Credit Hedging Scenarios . . . . . . . . .597
Credit Hedging . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .597
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Credit total loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 598
Chapter 39 Parametric Analysis
Parametric VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 601
Creating a .csv File . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 602
Including Commodities in the Parametric VaR . . . . . . . . . . . . . . . . . . . . . . 603
Calculating the Parametric VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 606
Viewing the Parametric VaR Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 610
Viewing Additional Parametric VaR Displays . . . . . . . . . . . . . . . . . . . . . . . 611
Parametric Volatility Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 613
Chapter 40 Historic Correlations
Configuring Historic Correlations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 615
Extraction Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 618
Generating the Historic Correlations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 618
Correlation Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 618
Sequences . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 619
Volatility . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 619
Correlations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 620
Generating the Correlation Output . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 620
Correlation Matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 620
CSV file . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 620
The Report Log File . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 622
Oracle Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 623
Chapter 41 IR Delta Analysis
Selecting the IR Hedge Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 625
Viewing IR Hedge Delta Breakdown Analysis . . . . . . . . . . . . . . . . . . . . . . . . . 626
Viewing IR Hedge Delta Forward Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . 627
Viewing IR Hedge Delta Swap Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 628
Running IR Delta Swap analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 629
Viewing IR Hedge Delta Reset Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 629
Viewing IR Hedge Delta Zero Coupon Analysis . . . . . . . . . . . . . . . . . . . . . . . 630
Running IR Hedge Delta Zero Coupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . 631
Viewing IR Hedge Vega Swaption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 631
Interest Rate Hedge Cash Forward . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 632
Launching the Cash Forward Scenario . . . . . . . . . . . . . . . . . . . . . . . . . . . . 633
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Exposure Maturity List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .636
Chapter 42 Risk Matrix Analysis
Viewing the Risk Matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .637
Working With Scenarios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .639
Saving settings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .639
Loading settings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .639
Deleting settings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .640
Chapter 43 Counterparty Analysis
Counterparty Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .641
Counterparty Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .642
Full Extraction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .643
Chapter 44 Forex Analysis
FXVolMatrix/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .645
Delta Adjustment Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .646
P&L Jump Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .647
Chapter 45 Commodity Analysis
Cega and Provision . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .650
Defining Maturity Zones . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .651
Launching the Cega and Provision Analysis . . . . . . . . . . . . . . . . . . . . . . . .652
Commodity Risk Split . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .653
Commodity Crossed Gamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .655
Commodity Index Delta Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .655
LME Card . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .657
Power and Gas Scheduling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .660
Viewing Commodities in the Commodities Pane . . . . . . . . . . . . . . . . . . . . .663
Viewing the Exposure Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .667
Creating Deals to Convert Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .668
Converting the Swap Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .671
Powernext, VPP, and RTE Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .671
Power and Gas Daily Strips Exercise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .677
Power and Gas Financial Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .679
Power and Gas Load Split . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .684
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Delta, Gamma, and Vega Future Analyses . . . . . . . . . . . . . . . . . . . . . . . . . . . 685
Configuring the Delta, Gamma, and Vega Future Analyses . . . . . . . . . . . . 686
Viewing the Future Analysis Delta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 687
Viewing the Future Analysis Gamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 688
Viewing the Future Analysis Vega . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 690
Power Physical Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 690
Setting Global Preferences . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 691
Importing Scheduling Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 691
Importing the Powernext Market Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . 696
Importing the VPP Order . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 697
VPP Nomination . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 698
RTE Nomination . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 700
Power Nomination Status View . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 700
Chapter 46 Inflation Hedge Analysis
Configuring the Inflation Hedge Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 703
Viewing the Analysis Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 704
Chapter 47 Interest Rate Fixing Analysis
IR Fixing Diary Scenario . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 707
Booking a Deal on a Debt Instrument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 710
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Preface
About this Guide
This guide is written for anyone that uses RISQUE 5.3.5.17.
How to use this Guide
This guide provides information about the Portfolio and Analyses provided by
RISQUE 5.3.5.17.
Conventions
This section describes the typographical conventions used in this document.
Courier New font is used for code, parameters, and screen output.
Courier Bold font is used for filenames, directory structures, URLs and
user input.
Italics are used for names of guides and references to other sections.
Verdana Bold is used for items on the Graphical User Interface.
RISQUE Documentation
This guide forms part of RISQUE documentation which comprises the following:
Document Description
Back Office Installation
Guide
Describes the Back Office Services that support the Back
Office functionality in RISQUE, and provides procedures for
installing the services.
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Back Office User Guide Describes the modules that comprise the Back Office
functionality and provides procedures for configuring and
using them. The modules include:
Back Office Kernel
Confirmations and Payments (OTC)
Settlements (Securities)
Accounting
In addition, it describes the Back Office user rights.
Back Office
Programming Guide
Describes the Sophis Markup Language Tags and how to
use them in Back Office document templates.
Core Installation and
Configuration Guide
Describes the CORBA services and architecture that
support RISQUE and Back Office Services, and provides
procedures for installing and configuring the CORBA
services.
Collateral Management
User Guide
Describes the Collateral Management module and provides
instructions for installing, configuring, and using it.
Administration Guide Describes the RISQUE architecture and provides
information for administering or configuring the following:
System preferences and general administration
tasks
User rights and security logs
Reference futures
End of Day and Year procedures
Portfolio calculation and valuation
Pre-calculations and night batches
Tax credits
Currencies, Interest Rates, Interest Rate Curves
Exchanges
Market Data Category and Pricer Category
Swaption and Cap/Floor Volatility
Third Parties
Real-time and historical prices.
Installation Guide Describes the RISQUE architecture, and provides
procedures for installing the RISQUE application.
Instrument Reference
Guide
Describes working with instruments in RISQUE and
provides procedures for the following:
Creating instruments
Editing instruments
Referencing instruments
Configuring Listed Markets
Instrument Lists
Document Description
Portfolio Management Guide
25


:

Portfolio Management
Guide
Describes the aspects of managing trades in RISQUE and
provides procedures for the following:
Creating deals and automatic tickets
Managing portfolios
Analysing portfolios, through reporting and creation
of scenarios
Auditing the history of changes and updates and
providing guidelines for interpreting the results
Document Description
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27
Chapter 1 Introduction
This guide describes user tasks.
These tasks are broken down into the following parts:
Introduction to the interface This chapter describes starting RISQUE, the
interface and gives a listing of the functionality of each menu.
Part 1:, Portfolio Management This part describes the use of the portfolio.
The following topics are described:
- The portfolio interface
- Working with portfolios
- Creating specific views and extractions
- Creating deals and multiple deals
- Profit and Loss
- Electronic Trades
- Automatic Tickets
- Valuation
Part 2:, Deal Management This part describes the deals you can make on
the varying types of instrument.
Part 3:, Portfolio Analysis This part describes the analyses you can
perform on your deals and instruments. The following types of analysis are
described:
- General analyses
- Maturity-based analyses
- Credit-based analyses
- Parametric analysis
- Risk matrices
- Future-based analyses
- Counterparty analysis
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29
Chapter 2 User Interface
This chapter describes the graphical user interface (GUI). It contains the following
sections:
The Interface on page 29
Menu Overview on page 30
Customising the Interface on page 46
The Interface
The main RISQUE User Interface is shown in figure 2-1:
Figure 2-1 Application interface.
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Portfolio Management Guide
The following describes the menu options that appear at the top of the window.
File
Edit
Data
Instruments
Parameters
Portfolios
Quotation
Analysis
Market
Audit
Manager
Envir
Important: The Back Office menus are not described in this book. They are described
in the Back Office User Guide, which is delivered with this installation set.
If you have not purchased and installed the Back Office Module, the Back
Office menus are inactive.
For more information on the Back Office and its functionality, consult your
Sophis Sales contact.
Menu Overview
Note: The menus available are dictated by the rights assigned to you. For more
information on your user rights, consult your system administrator.
File
Table 2-1 describes the File menu items.
Table 2-1 File menu items (Sheet 1 of 2)
Menu Option Description
Activate the Reuter
Link
Activates the link to Reuters.
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2


U
s
e
r

I
n
t
e
r
f
a
c
e
:

M
e
n
u

O
v
e
r
v
i
e
w
Edit
Table 2-2 describes the Edit menu items.
Activate the
Simulation
Activates the Simulation Mode. In this mode, modifications
made are not automatically saved - new positions are
displayed only in the Simulation Mode. When deactivating
the Simulation Mode, all modifications made during the
simulation are displayed. The user can then choose to save
them or not.
Close Closes the active window.
Events Window Opens the Events window. This window displays the
warnings generated for specific events. For example, when
a volatility is negative, a warning message is displayed in
the Events Window.
Find Opens the Find window, which allows you to search for a
reference code or name in a portfolio.
Information Displays detailed information or a graph in relation to the
selected item.
Lock Workstation Locks this session. You must enter your password to unlock
the application.
New Creates a new instrument or deal, depending on which
window has focus.
Open Opens the selected instrument or deal, depending on which
window has focus.
Page Set-up Defines your printing preferences.
Pre-defined printing Opens the Ready-to-Print Reports window.
Preferences Manager Opens the Preferences Manager window. You can load or
save a set of preferences using the Preferences Manager
Preferences... Opens the Preferences window. You can use this dialog
box to define all of your user preferences. For more
information on the Preferences, see the Administration
Guide.
Print Prints the information contained in the selected window.
Quit Closes the application.
Reconnection Reconnects the system to the Real-Time server.
Save Saves the current instrument or deal, depending on which
window has focus.
Table 2-1 File menu items (Sheet 2 of 2)
Menu Option Description
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Data
Table 2-3 describes the Data menu items.
Table 2-2 Edit Menu
Menu Option Description
Clear Clears the selected field.
Copy Copies the selected item to the clipboard.
Cut Cuts the selected item to the clipboard.
Delete Deletes the selected item.
Downward Copy Populates fields specified by the user with a selected value
from an above field.
Insert Inserts the item held in the clipboard at the position of the
cursor.
Insert Worksheet Opens the worksheet window.
Move Ticket Moves a deal from one movement line to another.
Paste Pastes the item held in the clipboard to the selected position.
Segment Ticket Segments a deal in to smaller movements.
Solve Calls the optional Solver module.
Note: Please refer to the Solver User Guide for more
information.
SQL Query Opens the SQL Query composition window.
Undo Undo your last action.
XML Copy Copies the details of instrument to XML, which may then be
saved as a file.
Table 2-3 Data Menu items (Sheet 1 of 3)
Menu Option Description
Access History Opens a window displaying the history, as a table, of
market prices for a given instrument.
Arbitrage Rule Opens a window that displays the Arbitrage Rule for a
selected security.
Bucketed Criteria Opens the Bucket criteria dialog.
Bucket Sets Opens the Bucket Sets list.
Calendar Opens the calendar of working days and settlement
dates.
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Change Owner Allows you to change the owner of deal tickets.
Commissions Opens a window displaying the commissions.
Commodities Correlations
Builder
Opens the Commodity Correlations Builder
window, which allows you to compare the volatility of
futures within specified commodity baskets.
Compliance Rule Builder Opens the Built rule properties window, which
allows you to build compliance rules.
Compliance Rules Opens a window displaying compliance rules.
Contract Opens Microsoft Word in order to write a description
of an Over-the Counter contract, which will then be
associated with a security.
Corporate Action Opens a window that allows you to view and key-in
corporate actions on shares.
Correlations Opens the Correlation window.
Currencies Opens a window displaying the list of currencies.
Default Event Opens the Default Event List window, which enables
you to define the events that may cause creditors to
fail to honour their debts.
Dividends Taxation Rules Opens the Dividends Taxation Rules window.
Dividends Taxation Selector Opens the Dividends Taxation Selector list.
External References Opens the External References window for a
highlighted instrument.
Future analysis weights Opens the Future Analysis Weight window.
Global RICs Prefix Opens the General Prefix Name window.
History Opens a window displaying the history of market
prices for a given instrument.
Hull and White Model Data Opens a window that allows you to set data for the
Hull and White model for swaptions.
Interest Rates Opens a window listing interest rates.
Issuers Opens the Issuer definition window.
Measure Unit Opens the Measure Unit window, which is used to
define new measure units and edit values of existing
units.
Power & Gas Delivery
Profiles
Opens the Commodity Periodicity Profiles window,
which allows you to define non-standard profiles and
periods for commodity swaps.
Rating Displays the Rating Agencies window. For more
information, see the Credit Derivatives information in
the Instrument Reference Guide.
Table 2-3 Data Menu items (Sheet 2 of 3)
Menu Option Description
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Instruments
Table 2-4 describes the Instruments menu items.
Real-Time Parameters Opens a window that displays the Real-Time
configuration for a selected instrument.
RIC List Opens a window displaying the list of RICs.
Sectors Displays the Business Sectors window. For more
information, see the Credit Derivatives information in
the Instrument Reference Guide.
Seniorities Opens the Seniority List window.
SL Instrument Status Displays all the stock loans for a selected instrument.
Third Parties Opens a window displaying the third parties.
Universal References Opens the Universal Reference list.
User Columns Opens the Edit user column window. This dialog box
enables you to define a column that you can then
display in the Portfolio window.
Table 2-4 Instrument Menu items (Sheet 1 of 3)
Menu Option Description
Add a Sub-List Opens a dialog that allows you to create a new,
user-defined selection option in the Instruments
menu.
Asset Swaps Opens a window containing all of the asset swaps in
the system.
Bond Baskets Opens a window containing all of the bond baskets in
the system.
Bonds Opens a window containing all of the bonds in the
system.
Caps and Floors Opens a window containing all of the caps and floors
in the system.
Commodities Opens a window containing all of the commodities in
the system.
Commodity Baskets Opens a window containing all of the commodities
baskets in the system.
Commodity Derivatives Opens a window containing all of the commodities
derivatives in the system.
Table 2-3 Data Menu items (Sheet 3 of 3)
Menu Option Description
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Commodity Futures Opens a window containing all of the commodities
futures in the system.
Commodity Swaps Opens a window containing all of the commodities
swaps in the system.
Commodity Swap Templates Opens a window containing all of the commodities
swap templates in the system.
Contracts for difference Opens a window containing all contracts for
difference in the system.
Convertibles and Indexed Opens a window containing all of the convertibles
and indexed items in the system.
Credit Default Swaps Opens a window containing all of the credit default
swaps in the system.
Cross Currencies Swaps Opens a window containing all of the cross currency
swaps in the system.
Debt Instruments Opens a window containing all of the debt
instruments in the system.
Delete a Sub-List Opens a dialog that allows you to delete any
user-defined selection options from the Instruments
menu.
Equity Swaps Opens a window containing all of the equity swaps in
the system.
Exchange Rate Futures Opens a window containing all of the exchange rate
futures in the system.
Exchange Rate Options Opens a window containing all of exchange rate
options in the system.
General List Opens a window that contains a list of all of the
instruments in the system.
Index Futures Opens a window containing all of the index futures in
the system.
Indexes and Baskets Opens a window containing all of the indexes and
baskets in the system.
Interest Rate Derivatives Opens a window containing all of the interest rate
derivatives in the system.
Interest Rate Futures Opens a window containing all of the interest rate
futures in the system.
Interest Rate Swaps Opens a window containing all of the interest rate
swaps in the system.
Loans on Stock Opens a window containing all of the loans on stock
in the system.
Table 2-4 Instrument Menu items (Sheet 2 of 3)
Menu Option Description
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Packages Opens a window containing all of the packages in the
system.
Repos Opens a window containing all of the repos in the
system.
Shares Opens a window containing all of the shares in the
system.
Singled legged swaps Opens a window containing all of the single-legged
swaps in the system.
Stock Derivatives Opens a window containing all of the stock
derivatives in the system.
Swapped Options Opens a window containing all of the swapped
options in the system.
Table 2-4 Instrument Menu items (Sheet 3 of 3)
Menu Option Description
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Parameters
Table 2-5 describes the Parameters menu items.
Table 2-5 Parameter Menu items
Menu Option Description
CDO Implied
Correlation
Opens a window that allows you to define the implied
correlation for instruments that have the CDS model
defined.
Credit Risk Curve Opens the Credit Risk Data window for the selected
instrument.
Default Probabilities Opens the default probabilities for the selected instrument.
Dividends Opens the Dividends window for the selected instrument.
Market Categories Opens the Market Categories window, which allows you to
group up to three types of instruments and display specific
curve families for the group.
Option Pricer
Categories
Opens the Options Pricer Categories window, which
enables you to control the pricing models without
parameterising individual Financial instruments.
Parameters Set Opens a window that allows you to change the Oracle table
used for a specific task.
Parametric Credit
Spread
Opens a window that allows you to define the parametric
credit spread for instruments that have the CDS model
defined.
Parametric Volatility Opens the parametric volatility dialog for the selected
instrument.
Power and Gas
Volatility
Opens the volatility window for Power and Gas commodities.
Prices Date Opens a window that allows you to specify price values
associated with dates other than the system date.
Rating Opens the rating definition window.
Repo Curves Opens the Repo Margin window for the selected
instrument.
Sector Opens the Business Sector definition window.
Specific Volatility
Matrix
Opens the Swaptions Volatility Matrix window if you have
selected a cap or floor.
Volat Graph Opens the Volatility window for a selected instrument.
Volat Matrix Opens the matrix volatility for a selected instrument.
Worksheet list Opens the list of worksheets for power, gas, etc.
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Portfolios
Table 2-6 describes the Portfolios menu items.
Table 2-6 Portfolio menu items (Sheet 1 of 2)
Menu Option Description
Add a Consolidation Opens a window that allows you to add a user-defined
consolidation.
Alert Book Opens the Alert MANAGER window which displays all
future events (such as Dividends & Maturity of
Options) that may impact on the portfolio.
Alert Portfolio Opens the Alert Portfolio window which displays all
portfolios that contain movements linked to events
that occur within the period defined for an alert.
Automatic Tickets Opens a window that lists all of the automatic tickets.
Calculate Baskets Re-calculates the baskets.
Calculate Implied Spot Re-calculates the implied spot.
Calculate Now (F9) Recalculates the underlyings of the selected
portfolio.
Fast Calculation (F10) Applies a selected fast P&L mode to specific
different types of instruments and triggers to
recalculate theoretical values using the last values
from the Calculate Now operation as the quotation.
For more information, see Fast P&L on page 255.
Delete a Consolidation Opens a window that allows you to delete any
user-defined consolidations.
Electronic Tickets Opens a window that lists all of the electronic trades.
Extraction Opens a window that lists all of the report extraction
types.
Instrument Book Displays a list of all Instruments that have been
created or modified today.
Launch Forecasts Launch Forecasts allows you to exercise options and
forecast cash flows for certain types of tickets.
Load Load the portfolios.
Movement History Opens a dates dialog box and a window that displays
the trade history for a given folder.
Pivot Extraction Opens the Pivot Extraction List window.
Refused Deals BO Opens a dates dialog box and a window that displays
all of the refused back office trades for a given folder.
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Quotation
Table 2-7 describes the Quotation menu items:
Analysis
This section describes the Analysis menu items:
Reporting Opens the Reporting window, which defines how
positions are to be recalculated, for a correct Profit &
Loss value.
For more information on Reporting, see Reporting on
page 98.
Result Reporting (F8) Opens the Result Reporting window which
displays the result of a portfolio and its breakdown.
For more information on Reporting, see Reporting on
page 98.
Result Variation Opens a window displaying portfolios and their result
variations.
For more information on the Result Variation, see
Result Variation on page 187.
Status Counter Blotter Opens the status counter for the selected portfolio.
Trading Book Opens the Trading Book for either the selected deal,
or, if no deal is selected, for the entire portfolio.
Table 2-7 Quotation menu items
Menu Option Description
Add a Derivative List Opens the Add a Screen window, which allows you
to add a derivative list to the Quotation menu.
Add an Option List Opens the Model window, which allows you to add
an option list to the Quotation menu.
Delete a Derivative List Opens the Add a Screen window, which allows you
to delete a user-defined derivative list from the
Quotation menu.
Delete an Option List Opens the Record to Delete window, which allows
you to delete an option list from the Quotation
menu.
Table 2-6 Portfolio menu items (Sheet 2 of 2)
Menu Option Description
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Portfolio Management Guide
Table 2-8 Analysis menu items. (Sheet 1 of 3)
Menu Option Description
Break-Up Opens the Split window, which displays the portfolio
breakdown by underlying, in table format.
Cash Flow Diagram Displays the cash flow in terms of K units.
Cega and Provision Displays the P&L variation of a portfolio produced in
relation to the portfolios cega.
Clauses Effect Produces a graphic representation of the prices for
each clause.
Collateral Schedule Opens the Collateral Schedule window.
Commodity Risk Split Commodity Risk Split, which is only available for the
LME commodities, splits the delta risk on a possibly
customised series of futures.
Correlation/Maturity Runs the Correlation Maturity analysis, either
displaying the results or saving them to a text file.
Credit (Exposure) Opens the Credit Risk Exposure window.
Credit Hedge Opens the Credit Risk Hedging window.
Crossed Greeks Opens the Crossed Greeks matrix for the portfolio.
Crossed Indicators Generates a graph that displays crossed gamma and
crossed vega between portfolio underlyings.
Detailed Correlation/Maturity Opens the Correlation/Maturity results window.
Epsilon/Maturity Opens a graph that illustrates the dividend risk
relative to maturity.
Evaluation Opens the Evaluation window, for generating a
graph of the evolution of a dividends theoretical
characteristics.
Forex Analysis Opens the Forex Analysis of the open portfolio.
Future Analysis Delta Opens a window displaying the delta analysis for the
selected portfolio.
Future Analysis Gamma Opens a window displaying the gamma analysis for
the selected portfolio.
Future Analysis Vega Opens a window displaying the vega analysis for the
selected portfolio.
Future/Maturity Opens the Future/Maturity window, which
calculates the sensitivity of an instrument price,
given simulated scenarios.
Generic Card Displays a read-out of the position of each tradable
date from the current day until the longest dated
position the bank has.
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Option Position Generates a graph that displays positions based on
prices, quantities or the greeks for various options.
Parametric Volatility Analysis Opens the parametric VAR configuration dialog.
PowerGas daily strips
exercise
Displays the strip maturities for a selected portfolio
within a specified time period.
PowerGas Financial Analysis Displays Power and Gas Financial Exposure
report, which aggregates for the cash flows of the
swaps in your portfolio with a power or gas
commodity as the underlying
PowerGas Physical
Scheduling
Allows you to quickly identify this physical exposure
for the power and gas commodities within a portfolio.
Pricing Surface Opens a dialog box, allowing you to select a 2D or 3D
visualisation of a selected items pricing surface.
Repo/Maturity Opens the Repo/Maturity results window.
IR Hedge Opens a dialog box and a scenario window that
calculates the number of instruments needed to
hedge a position.
Repo/Maturity Opens a window that displays the sensitivity
according to the repo rates per underlying and per
maturity.
Risk Matrix Opens a Simulation Parameters window, which
defines the parameters for a resulting table which
displays the Profit & Loss or a Greek.
Scenario lists Displays a list of hedging scenarios.
SL Position Displays the SL Position window for viewing stock
loans.
Smile/Maturity Opens the Smile Risk window, which displays a
volatility skew risk analysis matrix.
Stress Test Opens a dialog box which requests a .csv file, on
which to perform a worst case scenario stress test
for a portfolio.
Strike/Maturity Opens a Matrix window, that displays the Strike
Maturity results.
Vega/Maturity Opens a scenario that displays the Vegas of a
portfolio according to maturities.
Trend Opens the Trend window, displaying a cash delta
view of all the positions in your portfolio.
Vega Maturity Opens the Vega/Maturity Risk graph relative to
maturity.
Table 2-8 Analysis menu items. (Sheet 2 of 3)
Menu Option Description
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Market
Table 2-9 describes the Market menu items.
VolMatrix/Maturity Opens a Matrix window, which displays a volatility
risk analysis matrix by time-bucketing and
strike-bucketing.
Worst Case Opens the Parameters for Worst Case window,
which defines the parameters for a resulting table,
which calculates the worst market conditions
possible for a given underlying.
ZCRho/Maturity Opens the Zero Coupon window, which displays an
interest rate risk analysis matrix, by time-bucketing
and by currency.
Table 2-9 Market menu items (Sheet 1 of 2)
Menu Option Description
Contango Opens the Contango window, which displays the components of
the basis and future spreads. The Contango table is calculated
using the rate curve, the dividends of the index, the tax credits
of the index, the repo cost of the index and the settlement rules
of the market to which the index belongs.
You can open the Contango window without selecting a listed
market. Press Alt + click on Contango in the Market menu to
open the Contango window without selecting a listed market.
Dividend Opens the Dividends window, which displays the dividends for
each component of the market reference index.
List Opens the List window, which displays all of the underlying
stocks and indices in the market. If you select an underlying in
this window and click Information in the File menu, a new
window detailing that underlying will be displayed.
New Market... Opens a dialog that allows you to define the characteristics of a
standard market, such as specific trading and management rules
for listed options.
Quotation Opens the Quotation window, which displays a listed market
Real-Time quotation index, including market prices for all Calls
and Puts according to the listed market settings.
Square Opens the Square window, which displays the current market
prices (last, bid & ask), all components and futures in the
reference index and the variation since the last saved prices.
Table 2-8 Analysis menu items. (Sheet 3 of 3)
Menu Option Description
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Audit
Table 2-5 describes the Audit menu items.
Manager
The Manager menu and functionality is described in the Administration Guide.
Table 2-11 describes the Manager menu items.
Strategy Opens the Strategy window, which displays a theoretical
quotation grid for listed options. The window displaying prices,
Greeks, and implied volatilities for all Calls and Puts, using the
templates defined in the listed market. To open the window, you
must first select and underlying.
Table 2-10 Audit menu items
Menu Option Description
Correlation History Opens the Correlation History window, which displays
changes in the correlations.
De-activate Audit Trail Activates or de-activates the current audit trail.
Deleted Instruments Opens the Deleted Instruments window.
Deleted Third Parties Opens the Deleted Third window.
Deleted Trades Opens the Audit Trail on Deleted Trades window.
History Opens the History window for a selected instrument or
trade.
Table 2-11 Manager menu items (Sheet 1 of 2)
Menu Option Description
Users Opens the Users window, which displays all of the
defined users in the system.
Security Log Opens a dialog box and a window that displays a log
of all activity during a specified time period.
End of Day Elements Opens the End of Day window.
End of Day Procedure Opens the Save on Database dialog box that allows
you to configure the End of Day procedure, and
launches the End of Day procedure.
Table 2-9 Market menu items (Sheet 2 of 2)
Menu Option Description
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Portfolio Management Guide
Envir
Table 2-12 describes the Envir menu items.
Create Ticket Archive Opens the Archive Status window which allows you
to define and update the archive of deals.
Save Todays Prices Opens a dialog that allows you to confirm the
request to save the current days prices.
Load Implied Volatilities Loads the Market-Implied Volatilities.
Night Batch Launch a pre-configured Night Batch.
Pre-calculations Parameters Opens the Overnightly Pre-calculations window,
which can be used to configure the pre-calculations.
Run Pre-calculations Opens a dialog that allows you to confirm the
request to run all previously defined
pre-calculations.
Reference Futures... Opens the Reference Futures window, which can
be used to replace underlyings in portfolios.
Reporting Start Date... Opens a window in which you can define the start
date and report type to be used in the reporting
process.
Computation Conventions... Opens the Computation Conventions window,
which you can use to define your calculation
preferences.
Update from Foreign Bases
Auxiliary Ledger Opens the Auxiliary Ledger Results window.
Check Index Spot Opens the Calculation Spot window, which displays
the calculated index value.
Check compliance Opens the Compliance Checking Session window.
LMS File Generator Generates the LMS File.
Run Balance Engine before
P&L
Apply balance rules before the Profit & Loss Engine.
Run Balance Engine after P&L Apply balance rules after the Profit & Loss Engine.
Run P&L Engine Run the Profit & Loss Engine.
Send to GL Sends the current status to the General Ledger.
Table 2-11 Manager menu items (Sheet 2 of 2)
Menu Option Description
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Window
Table 2-13 describes the Window menu items.
Table 2-12 Envir menu items.
Menu Option Description
Delete Deletes a pre-defined configuration of windows.
Save Saves the current configuration of windows.
Table 2-13 Window menu items
Menu Option Description
Cascade Aligns any open windows in a typical cascade formation.
Full Screen Extend the frame of the workspace to fill the entire screen.
Organise Icons Arranges any minimised windows or dialogs in formation at the
bottom of the application window.
Tiles Aligns any open windows in tiled formation.
Tool Bars Allows you to choose which toolbars are displayed.
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Customising the Interface
It is possible to define your own toolbars, buttons and so on, using the Customise
function.
The following actions are possible:
Create a new toolbar.
Add buttons from any of the existing menus to the new, or existing toolbar.
Customise the look and feel of the new or existing menus.
Reset the toolbars
Creating a New Toolbar
To create a new toolbar, do the following:
1 Select Customize from the Envir menu, or right-click on the toolbar and
select Customize from the context menu.
The Customize dialog is displayed:
Figure 2-2 Customize dialog.
2 Select Toolbars. The Toolbars tab is displayed:
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Figure 2-3 Toolbars tab.
3 Click on New to create a new toolbar. You are prompted to enter a name for
the toolbar:
Figure 2-4 New toolbar name dialog.
4 Enter the name and click OK.
The new toolbar appears above the Customize dialog. If you want it to
remain as a floating toolbar, you can do so. This allows you to position it
anywhere on the screen. You can also dock it to the existing toolbar by
dragging it to the toolbar and releasing the mouse button when the new
toolbar is over the existing toolbar.
5 To add functionality to the new toolbar, return to the Commands tab of the
Customize dialog.
6 Select the commands you want to add to the new toolbar and drag and drop
them onto the new toolbar.
Customise the Look and Feel
It is possible to change the look and feel of the menus in the following ways:
Menu animations. The following menu animations are available from the
Menu tab of the Customize dialog.
- None
- Unfold Menus unfold from their origin.
- Slide Menus slide down from their origin.
- Fade Menus fade in from the background.
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Menu shadows Enabling this option makes the menus appear three
dimensional by casting a shadow beneath them.
Tooltips Associates your new toolbars and buttons with the existing
tooltips. When you place your cursor over one of your customized buttons, a
tooltip describing the button appears next to the cursor.
Adopt the look and feel of Windows 2000, if you are using Windows XP, or
another version of Windows.
Customising the Buttons
You can customise the appearance of the buttons using the Button Appearance
dialog. To customise a button, do the following:
1 Right-click on the button and select Customize. The Customize dialog
opens.
2 While the Customise dialog is open, right-click on the button again. The
Button Appearance context-menu opens. This context menu contains the
following options:
- Reset to default Resets the buttons appearance to the default.
- Copy Button Image Copies the image used in the button.
- Delete Deletes the button.
- Button Appearance Opens the Button Appearance dialog. See Button
Appearance on page 48 for more information.
- Image Sets the button to display the image only.
- Text Sets the button to display text only.
- Image and Text Sets the button to display both Image and Text.
Button Appearance
The Button Appearance dialog allows you to define and edit the look and feel of your
buttons, and create new buttons.
Figure 2-5 Button Appearance dialog.
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Note: Selecting Text only deactivates all image-related functionality in the dialog.
The Image only and Image and Text buttons allow you to add an image to your
button. You can use either a default image, or create one of your own.
To create a new button, do the following:
1 Click New. The Edit Button image dialog opens:
Figure 2-6 Edit Button Image.
2 This dialog contains a painting grid, which allows you to define the image for
your new icon, using the tools and colour palette provided. A preview of
your image is shown in the bottom of the dialog.
Reset
If you want to return your interface to its original default state, press the Reset
button in the Menu tab. This removes all changes made to the menu bar.
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Creating a New Menu
To create a new menu, do the following:
1 Open the Customize dialog, by right-clicking on the menu, or toolbar and
selecting Customize. The Customize dialog opens:
Figure 2-7 Customize dialog.
2 Scroll through the Categories list of the Command tab and select New
Menu.
3 Drag and drop the New Menu entry from the list of Commands, to the
desired location in the existing menu bar.
4 You can now drag and drop Commands, or Categories into the new menu.
5 You can change the name of the Menu using the Button Appearance menu.
Part 1: Portfolio
Management
This part describes:
Managing portfolios
Alerts, Forecasts and Reporting
Electronic and Automatic Tickets
Calculations and Consolidations
Portfolio Management Guide
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Chapter 3 Portfolio Interface
The portfolio is the area in which you manage your deals and view and analyse your
results. It also enables you to produce full reports and analyses on all movements in
your portfolio.
This chapter introduces the Portfolio window and describes the following:
Portfolio Window on page 53
Underlying and Operator on page 63
Results on page 63
Greeks on page 65
Sample Customisable Portfolio Header on page 67
Asset Value on page 68
List of Portfolio Columns on page 71
Portfolio Window
The Portfolio window displays summaries of all positions and allows you to manage
multiple products and currencies. It is also possible to run a wide variety of analyses
and scenarios on your portfolio. These analyses enable you to see the performance
of your positions.
Important: Opening the portfolio window does not load all the portfolios it contains,
unless specified otherwise in your preferences. For more information on
preferences, see the Administration Guide.
To display the Portfolio window:
From the Portfolio menu, select Open.
The Portfolio window is displayed, as shown in figure 3-1.
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Figure 3-1 Portfolio Window
The Portfolio window is composed of the following areas:
Toolbar on page 54
Underlying and Operator on page 63
Results on page 63
Greeks on page 65
List of Portfolio Columns on page 71
Toolbar
Figure 3-2 shows the Portfolio window toolbar.
Figure 3-2 Portfolio Window Toolbar
This toolbar contains the following, from left to right:
View type allows you to specify the type of view. Hierarchical, Flat or
Underlying. For more information, see Views on page 55.
Expand folders opens all folders.
Collapse folders closes all folders.
Consolidations allows you to create personalised, aggregated folders. For
more information, see Consolidations on page 56.
Create folders allows you to create new folders.
Tickets allows you to create and modify deals. For more information, see
Tickets on page 57.
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Balance allows you to display the balance of your cash and stocks. For
more information, see Balance on page 57.
Arbitrage allows you to specify arbitrage. For more information, see
Arbitrage on page 57.
Position filter allows you to filter results based on the position. For more
information, see Positions views on page 58.
Positions displays the position of the selected underlying. For more
information, see Positions on page 59.
Delete allows you to delete folders or deals.
Freeze P&L allows you to freeze the P&L for comparison with later results.
For more information, see Freeze P&L on page 59.
Blotters allows you to create multiple deals for a variety of instruments
using one window. For more information, see Blotters on page 60.
One Deal Blotters allows you to create an instrument and book a deal on
that instrument using one window. For more information, see One Deal
Blotters on page 60.
Swaps allows you to open the swap dialog to create a new swap
instrument. For more information, see Swaps on page 61.
Portfolio Information adds an extra totals column to the Portfolio window.
For more information, see Portfolio Information Display on page 61.
Data Integrity enables you to view a saved set of data messages in the
Portfolio window. For more information, see the RISQUE Administration
Guide.
Change the portfolio header allows you to select the header for the
Portfolio window. For more information, see Change the portfolio header
on page 62.
Views
The following types of view are available:
Hierarchical
Flat
Underlying
Consolidation
These views are available from the View toolbar menu, as shown in figure 3-3.
Figure 3-3 View Button with Options Menu
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Hierarchical
Shows the portfolios contained in the portfolio. This view is similar to viewing the
contents of a harddrive on a computer.
Flat
Shows each position at the same level. Deals on the same instrument are
aggregated together.
Underlying
Lists all positions with respect to each available underlying. It is also possible to
group the results using the Index Consolidation preference in the Model tab of the
Preferences.
The following groupings are available:
Arbitrage The arbitrage underlying, first expressed in cash and then
converted in terms of the underlying. Using the underlying view in the
portfolio, the position is listed at the arbitrage underlying level.
Market The index of the place of the instrument. Using the underlying
view in the portfolio, the position is listed at the index level.
Currency The index of the currency of the instrument. Using the
underlying view in the portfolio, the position is listed at the index level.
Sector You can categorise instruments by business sector. Each Business
Sector defined is available from the drop down list in the Model tab.
Consolidation
The Consolidation view enables you to view the positions with respect to their
underlying but on an individual position basis.
Expand or Collapse
These buttons enable you to expand or collapse the folders you are viewing.
Consolidations
This menu, as shown in figure 3-4, enables you to create a consolidation.
Consolidations act as personal views of the portfolio. They allow you to create a
portfolio called a Consolidation portfolio, in which you can store the folios you are
interested in working with. Consolidations are described in Consolidation View on
page 118.
Figure 3-4 Consolidation Button
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Tickets
This menu, as shown in figure 3-5, enables you to create new deals directly in the
portfolio without dragging and dropping actual instruments from the instrument list
windows. You can create new deals, using new instruments, or you can create deals
based on those which exist in the portfolio.
Figure 3-5 Ticket Menu
Balance
This menu, as shown in figure 3-6, enables you to display the balance of your cash
and stocks. The Physical Stocks options are as follows:
Detail Allows you to see all your physical stocks with all relevant details.
Dates Allow you to display the behaviour of your stocks across a series of
dates. All the fields available in the Detail option are available in the Dates
option.
Figure 3-6 Balance Menu
Arbitrage
This menu, as shown in figure 3-7, enables you to define an arbitrage rule on a
position. You must define an arbitrage on the instrument using the Arbitrage item of
the Data menu.
If you select a position and click on this icon, the arbitrage is taken into account
within the folio.
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Figure 3-7 Arbitrage Button
Positions views
This menu, as shown in figure 3-8, enables you to filter the view of the Portfolio
window.
Figure 3-8 Position View Menu
You can filter the positions and portfolios in the Portfolio window as follows:
Hide Closed Positions hides all closed positions.
Show Everything does not hide anything.
Hide All Positions hides all positions.
Hide Closed Positions and Portfolios hides closed portfolios, all positions in
these portfolios, including open positions, and all closed positions in all
portfolios. This filter is available only in the Hierarchical View of the portfolio.
The Closed checkbox of the Portfolio Entry dialog, as shown in figure 3-9,
enables you to manually define a portfolio as closed even if it contains
positions with a non-zero number of securities, such as forex positions that
transfer the P&L.
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Figure 3-9 Portfolio Entry Dialog
Closed portfolios are shown in the Portfolio window with a red x.
Positions
This button, as shown in figure 3-10, displays the position report of the selected
underlying. The listed information includes strikes, call and put volatility, and so on.
Figure 3-10 Positions Button
Pre-selecting an underlying of a listed market displays the positions traded on this
underlying. It is then possible to create a new position on a listed option.
Pressing the Ctrl key when selecting this icon, displays the list of all underlyings on
the selected listed market. The position window described above is displayed when
you select an underlying
Freeze P&L
This menu, as shown in figure 3-11, enables you to store the portfolio P&L values for
future comparison. These values can either be stored to memory or saved to the
database. A maximum of three separate records of a portfolio's P&L can be saved to
the database.
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Figure 3-11 Freeze P&L Menu
For more information on Freezing the P&L, see P&L on page 171 on page 171
Blotters
The trade blotters menu, as shown in figure 3-12, enables you to submit multiple
deals simultaneously.
Figure 3-12 Trade Blotter Menu
For more information on trade blotters, see Multiple Deals on page 445.
One Deal Blotters
The One Deal Blotters menu, as shown in figure 3-13, enables you to create a
swap or option on an existing instrument and book a deal on that swap or option
from within one dialog.
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Figure 3-13 One Deal Blotters Menu
For more information about one deal blotters, see One Deal Blotters on page 477.
Swaps
The Swaps toolbar menu, as shown in figure 3-14, enables you to open a dialog to
create one of the following swap instruments:
Interest rate swap
Total return swap
Commodity swap
Credit default swap
Figure 3-14 Swaps Menu
Portfolio Information Display
The Portfolio Information toolbar menu, as shown in figure 3-15, enables you to
add an extra information row to the Portfolio window.
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Figure 3-15 Summary Line Menu
This menu has the following options:
Classical Display the columns of the Portfolio window are shown as
standard, with no extra summary line.
Portfolio Information Display an extra summary line, as shown in
figure 3-16, is displayed in the Portfolio window. This line shows the same
values that are displayed in the Hierarchal View of the portfolio.
Figure 3-16 Portfolio Information View of the Portfolio Window
Note: The Portfolio Information view is not available for the ROOT Portfolio
window, extractions, or result variation.
Change the portfolio header
The Change the portfolio header toolbar menu, as shown in figure 3-17, enables
you to change the header of the Portfolio window.
Figure 3-17 Change the Portfolio Header Toolbar Menu
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The Change the portfolio header toolbar menu has the following options:
Same as parent the Portfolio window of the portfolio displays the same
portfolio header as the parent portfolio. This is the default setting.
P&L the Portfolio window of the portfolio displays the classic results and
greeks portfolio header.
Customizable the Portfolio window of the portfolio displays the sample
customised portfolio header. For more information about customising the
header of the Portfolio window, see Sample Customisable Portfolio Header
on page 67.
You can also create your own headers for the Portfolio window using the RISQUE
toolkit. For more information, see the RISQUE toolkit documentation.
Underlying and Operator
The Underlying and Operator pane, as shown in figure 3-18, shows the following:
The name of the folder you are currently working in.
In this example the user is working in the ROOT of the portfolio.
Username of the Operator.
In this example, the user is Edward.
The name of the underlying of the folder
In this example, the underlying is the Hang Seng Index.
The current spot price of the underlying.
Figure 3-18 Underlying and Operator Pane
Results
The Results frame, as shown in figure 3-19, displays the measurements of the
following:
Realized
Unrealized
Income
Treasury
Financing
Result
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Figure 3-19 Results Frame
Realized
The realized is the calculated Profit and Loss (P&L) on all closed positions.
Unrealized
P&L on the opened positions calculated as the difference between the average price
and the last or the theoretical, according to the specified preferences, multiplied by
the number of securities.
Income
Amount of commissions, cash flows, and call margins on listed futures. For exchange
tickets, the first leg is in the income and the second one is in the treasury. The
income also integrates all incomes such as dividends and so on.
Treasury
Treasury is a measure of the cost to keep a position opened. It is calculated using all
opened positions and investing the total amount at a risk free rate (defined at the
currency level, in the funding box). The treasury is the sum of all interests.
Financing
The Financing displays the forecast of the financing cost. Financing is calculated
using the interest rate curve and taking into account the difference between the
value date, the negotiation date of a ticket and its mirror ticket, that is, the ticket
that closes the position.
The financing is then the cost to close the position today due to the lag between
negotiation dates and value dates.
Result
The result is the sum of the following:
Realised + Unrealised + Income + Financing + Treasury
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Greeks
The Greeks, as shown in figure 3-20, are calculations of risk sensitivity, which can
affect the price of your financial instruments.
Note: For more information on the algorithms used to calculate the Greeks, see the
Financial Modelling documentation provided with this release.
Figure 3-20 Greeks Pane
Clicking the link for each Greek displays a pop-up window showing the variation in
value for each.
Important: If the portfolio has no underlying, the Greeks pane is not present for that
portfolio.
Delta
A measurement of the change in price of a call option for every one-point move in
the price of the underlying security. The delta is also referred to as the hedge ratio.
The delta can be expressed in cash or according to the underlying of the portfolio
depending on the preference chosen in the display panel for 'delta cash in folio'.
Gamma
A measurement of how fast delta changes, given a unit change in the underlying
futures price.
Epsilon
The epsilon is equal to the average daily price change divided by the difference
between the 52-week high and low prices.
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Vega
Vega is the change in the price of an option that results from a 1% change in
volatility.
Applying Weights to the Vega
You can define a curve of weights that RISQUE applies to the vega to display the
Weighted Vega value in the Portfolio window, the Option dialog and so on.
Create a curve of weights as follows:
1 Choose Vega Weights from the Data menu.
The Vega Weights Curves window opens, as shown in figure 3-21.
Figure 3-21 Vega Weights Curves Window
2 Create a new curve by pressing Ctrl+N.
3 Replace the default name.
4 Save the curve by pressing Ctrl+S.
5 Edit the curve by double clicking on the line of the curve.
The Vega Weights List window opens, as shown in figure 3-21.
Figure 3-22 Vega Weights List Window
6 Add weights by maturity by adding a maturity and the corresponding
weight.
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Theta
Theta is the variation of the P&L one day ahead of the current date. The Theta of the
portfolio is the sum of the Theta of all positions contained in that portfolio.
Rho
Rho is the measurement of a theoretical change in a given option's price that results
from a 1% change in interest rates.
Currency
The Currency pane lists all the currencies used in the portfolio and their associated
Greek values.
Sample Customisable Portfolio Header
To customise the information shown in the header of the Portfolio window, choose
Customizable from the Change the portfolio header toolbar menu. This enables
a customised view of the results of your portfolio. For more information about the
Change the portfolio header toolbar menu, see Change the portfolio header on
page 62.
The customisable portfolio header included with RISQUE enables you to display a
combination of the portfolio column values in the header of the Portfolio window.
These results are displayed instead of the results and greeks sections of the standard
header of the Portfolio window.
The customisable header, as shown in figure 3-23, contains 12 cells, each of which
can display the portfolio results for any portfolio column.
Table 3-1 Currency pane columns.
Field Description
Delta Result of the sum of positions expressed in this currency,
corresponding to an exposition in this currency.
Rho Rho of the currency.
Conv. Convexity, or the second derivatives of the positions in this currency
according to the rates.
Index Total delta expressed in this currency.
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Figure 3-23 Customisable Portfolio Header
You can configure the value displayed in each cell of the portfolio header by
right-clicking on a cell, choosing a value, and clicking Apply.
You can also copy and paste portfolio header configurations by clicking Configure in
the header. This opens the Configuration menu, as shown figure 3-24.
Figure 3-24 Portfolio Header Configuration Menu
The Configuration menu has the following options:
Copy current configuration copies the current configuration of the cells
of the portfolio header.
Paste current configuration pastes a copied configuration to the cells of
the portfolio header.
Clear current configuration resets the cells of the portfolio header.
Note: You cannot paste or clear the header configuration of a child portfolio that is
set to Same as parent.
Asset Value
You can define how the asset value of each instrument is calculated in the Portfolio
window by configuring rules in the Asset Value Parameterisation dialog. This
dialog is displayed by choosing Asset Value Parameterisation from the
Parameters menu. The Asset Value Parameterisation dialog is shown in
figure 3-25.
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Figure 3-25 The Asset Value Parameterization Dialog
You can define how your asset value is calculated by configuring rules for any
number of instruments. Rules are created in categories, usually according to
instrument type, and each category contains rules that determine a set of criteria
and an asset value calculation type. Once an instrument satisfies this criteria, its
asset value will be calculated according to the defined calculation method.
To create a new category, click the New toolbar button or press Ctrl-n. The
Category dialog is displayed, as shown in figure 3-26.
Figure 3-26 The Category Dialog
To define an asset value calculation category, enter the name of the category in the
Name field and any comments in the Comments field. This category is displayed in
the list of asset value categories and you can configure rules for each category.
To configure an asset value rule, click the Version Currently Used line under your
category and click the New toolbar button or press Ctrl-n. A new line is created
allowing you to define the criteria for the asset value configuration. Once the criteria
is met, the calculation method defined by the Asset Value Calculation column is
applied to that instrument.
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Note: You can also choose a rule to calculate the global asset value of your portfolio.
To do this, choose the relevant rule from the Asset value category drop-down list
on the Model tab of the Preferences dialog. For more information, see Preferences
in the RISQUE Administration Guide.
Table 3-2 describes the columns in the Asset Value Parameterisation dialog that
are used to define your asset value criteria.
Table 3-2 Columns in the Asset Value Parameterisation dialog
Column Description
Instrument Type The type of instrument to which the asset value
calculation is applied.
Instrument Feature 1
Instrument Feature 2
The configuration items of the instrument for which you
are defining criteria. This allows you to define the
calculation method for specific types of your
instrument.
These columns are optional and do not need to be set
for all instruments. For example, if you want to apply
the calculation for all bonds you can choose bonds from
the Instrument Type column and not choose anything
from these columns.
Asset Value Calculation The calculation method that is applied to instruments
that satisfy your criteria. You can choose one of the
following asset value calculation methods:
Default The asset value is calculated as
follows:
0 for Commission or forex instruments.
The unrealised amount for forex futures and
CFDs.
Equal to With Coupon for all other instruments.
Null The asset value is always 0.
Unrealized The asset value is equal to the
unrealised amount.
With Coupon The asset value is the price plus
accrued coupon multiplied by the number of
securities and the quotity.
Without Coupon The asset value is the price
multiplied by the number of securities and the
quotity.
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List of Portfolio Columns
Portfolio columns can be displayed or hidden in the Configuration dialog. In this
dialog, you can choose portfolio column subsets that are grouped by the type of
information the columns display. The columns in these groups are defined in the
following sections:
Commodity on page 71
Fund on page 73
Greeks on page 74
Instrument on page 79
IR Swaps on page 83
Prices on page 85
Result on page 87
Result (advanced) on page 89
Total Return Swaps on page 91
No Group on page 93
The column group, Freeze P&L, that displays frozen P&L results is described in
Freezing the P&L on page 178.
Columns that you have defined are contained in the User Defined group. This is
only displayed if user columns have been defined. For more information defining user
columns, see User Columns on page 103.
Commodity
Table 3-3 describes the columns in the Commodity column grouping.
Table 3-3 Commodity Portfolio Columns (Sheet 1 of 3)
Name Description
Cash leg Displays the cash leg value of commodity swaps when the cash leg
is the second leg.
Commo Result by
Underlying
Displays the position of commodity swaps minus the cash leg.
Commodity Fixing Type Indicates the fixing type of the commodity. For example,
Standard, Power Swing, LME Cash, and so on.
Commodity Maturity The commodity maturity date.
Commodity Name The name of the underlying commodity.
Contract size Displays the contract size of commodity futures. The value is
always displayed in black.
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Delivery End Indicates the end date of the Delivery Period using the Baseload
delivery load. This value does not depend on the actual delivery
load of the instrument.
Note: Displayed for commodity derivatives on power or gas
commodities only.
Delivery Load For example, Baseload, Peakload 8-20, and so on.
Note: Displayed for commodity derivatives on power or gas
commodities only.
Delivery Period For example, Dec 2007, Cal 2008, Q4 2007, and so on.
Note: Displayed for commodity derivatives on power or gas
commodities only.
Delivery Start Indicates the start date of the Delivery Period using the baseload
delivery load. This value does not depend on the actual delivery
load of the instrument. For example, a Peakload December 2007
deal, where December 1st is a Saturday and December 2nd is a
Sunday. The actual delivery starts on 3/12/2007, however, the
Delivery Start column shows 1/12/2007.
Note: Displayed for commodity derivatives on power or gas
commodities only.
Delta Hedge The number of units of the underlying that must be bought to
hedge the Delta P&L. This column is identical to Delta Quantity
but may differ for LME commodities when a forward position is
hedged with a forward at a difference delivery date.
Delta P&L The price variation for a bump of the underlying, expressed in the
measure unit of the underlying. For more information, see the
Delta column.
Delta Quantity The undiscounted value of the Delta P&L column. This is the
actual position, in measure unit, determined by removing the yield
curve discount factor. This column is identical to the Delta P&L
column for futures with margin calls but not for forwards.
Fixed Coupon First Leg Displays the value of the fixed coupon of the first leg of the
commodity swap.
Fixed Coupon Second Leg Displays the value of the fixed coupon of the second leg of the
commodity swap.
Global Delta Hedge This is the number of securities multiplied by the amount of the
Delta Hedge column.
Global Delta Quantity This is the number of securities multiplied by the amount of the
Delta Quantity column.
Number of remaining
hours
The number of hours remaining in the commodity delivery period.
Power Exercise
Probability
Displays the exercise probability
Table 3-3 Commodity Portfolio Columns (Sheet 2 of 3)
Name Description
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Fund
Table 3-4 describes the columns in the Fund column grouping.
Power MTM This column displays the mark-to-market value of underlyings for
power swaps. According to the selected portfolio view, this new
column shows the following:
In Flat View, this column shows the swap instruments
mark-to-market value.
In Hierarchical View, this column shows the global
mark-to-market.
In Underlying View, this column shows the global
mark-to-market for the underlying of the swap.
Underlying Contract Size Displays the contract size of the underlying commodity.
Table 3-3 Commodity Portfolio Columns (Sheet 3 of 3)
Name Description
Table 3-4 Fund Columns (Sheet 1 of 2)
Name Description
Estimated NAV An estimation of the NAV. This value can be modified or derived from the
rate of return.
Estimated NAV date The date of the Estimated NAV value.
Estimated NAV RoR The rate of return between the estimated NAV and the latest reference
NAV.
Expected Return The average possible returns of the assets in the fund.
Expected Volatility The expected volatility of the assets in the fund.
Firm AUM The firms assets under management, shown in the funds currency.
Fund AUM The fund's assets under management, shown in the funds currency.
Gross Long Position The gross amount of the funds assets held in long positions.
Gross Short Position The gross amount of the funds assets held in long positions.
Inception Fund The inception fund for share series.
Gross Short Position The gross amount of the funds assets held in short positions.
Market
Capitalization
The average market capitalization of the assets in the fund, weighted for
each asset's value (Large, Mid, Small).
Minimum S/R
Amount
The minimum amount that can be invested in the fund or redeemed from
the fund in a single deal.
Official NAV The latest value retrieved from the D column in the HISTORIQUE table.
This is the same as the LAST value.
Official NAV date The date of the Official NAV value.
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Greeks
Table 3-5 describes the columns in the Greeks column grouping.
Valuation NAV This value is based on the theoretical value of the fund. If the fund is
benchmark-linked, the performance of the benchmark is applied to the
theoretical to calculate the Valuation NAV.
Valuation NAV date The date of the Valuation NAV value.
Table 3-4 Fund Columns (Sheet 2 of 2)
Name Description
Table 3-5 Greeks Portfolio Columns (Sheet 1 of 6)
Name Description
Credit Risk Convexity Displays the credit risk sensitivity from the second order
calculated according to the settings defined in the Credit tab of
the preferences.
Credit Risk Sensitivity Displays the Credit Risk Sensitivity calculated according to the
settings defined in the Credit tab of the preferences.
Delta Price variation for a centred 10 basis points variation of the price
of the underlying. Refer to the Financial Models Reference Manual
for smile effects and preferences in the Volatility tab, to take these
effects into account.
Delta Cash Price of the Delta-hedge. The delta cash calculation takes the
differed payment date of the securities and the contract size of the
options into account:

cash
= x Q x q x U
(t0)
x A
Where:
is the delta for one option
Q is the contract size of the option
q is the number of traded options
U
(t0)
is the Spot of the underlying at t
0
A is a discount factor, depending on the differed payment
date of the hedging shares
Delta curr. global Delta cash expressed in the default currency.
Delta in percent A percentage of the Maximum Delta.
delta*Proportion/Conversion Ratio
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Delta in portfolio
underlying
Number of folio index (reference security defined on the portfolio
to sell in order to hedge the position).
Where:
fi = folio index
UT = Unit of trading
B = beta
Delta Long/Delta Short In the underlying view:
The Delta Long is equal to the Delta Cash, if the Delta Cash
is greater than zero. If the Delta Cash is less than zero, the
Delta long is equal to zero.
The Delta Short is equal to the Delta Cash, if the Delta Cash
is less than zero. If the Delta Cash is greater than zero, the
Delta Short is equal to zero.
At the portfolio level, the Delta Short or Long is not calculated by
positions, but by underlying. This means:
The delta cash is calculated for each position and summed
by underlying.
If the sum is positive, it is added to the delta long of the
portfolio.
If the sum is negative, then the opposite of this negative
value is added to the delta short of the portfolio.
Epsilon Price sensitivity to a ten percent variation of the dividends
Epsilon curr. global Epsilon expressed in the default currency.
Epsilon curr. portfolio Epsilon expressed in the portfolio reference currency.
Epsilon long/Epsilon short Epsilon for both long and short positions.
Equity crossed Gamma Price variation for a variation of each underlying price, except the
one the user looks at. Available through the view by underlying
only.
Table 3-5 Greeks Portfolio Columns (Sheet 2 of 6)
Name Description
B
A
= A *
*UT Last
fi
cash
fi
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Financing Theta FX deals, which were previously calculated in the income column,
are now calculated into a new column FX treasury and into another
one for financing. Total treasury and total financing do the sum of
both columns.
There are new columns for the theta (theta Treasury and theta FX
financing). These columns are saved by the EOD to the
ReportFlatHier table in the FX treso and FX financing fields.
For result variant, the columns yesterday, Delta combined with
FX/total and treasury/FX has been added (in total 8).
The FX-financing in Preference the P&L tab allows you to take
into account the settlement for FX spot is D+2 (usually) and not
today when aggregating P&L in different currencies. The values
are stored in Application context during the calculation of the book
and you can retrieve it using the Getdayforex method.
See also the Financial Models Guide.
Forex Financing Theta See Financing Theta above.
Theta Treasury and Forex financing Theta - the EOD stores these
column values in the table REPORTFLATHIER (fields TRESO_FOREX
and FOREX_FINANCING).
Forex Treasury Theta See Financing Theta above.
Gamma Price variation from the second order variation of the spot. Three
calculation methods are available in the Model tab of the
Preferences menu. You can also specify whether you want
Gamma to include the smile effect in the Volatility tab.
Gamma cash Global gamma multiplied by the last market value of the
underlying:
Where DF is the discount factor from today to value date.
Gamma curr. global Gamma expressed in the default currency.
Gamma in percent Corresponds to a percentage of the Maximum Gamma.
Table 3-5 Greeks Portfolio Columns (Sheet 3 of 6)
Name Description
. * * DF Last
Underlying global cash
I = I
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Gamma in portfolio
underlying
Gamma expressed in options on index.
To hedge the position you have to sell the number of options on
index, which have Gamma in global index gamma.
Where: gi = global index
UT = Unit of Trading
B = beta of the underlying of the option with regard to the
reference instrument of the security.
Gamma long/Gamma
short
The gamma displayed for long and short positions.
Global Delta Delta * Number of securities * contract size.
Global Delta Adjustment Displays the delta adjustment for the position. For more
information, see Delta Adjustment Report on page 646.
Global Epsilon Epsilon * Number of securities * contract size.
Global Equity crossed
Gamma
Equity crossed gamma * Number of securities * contract size.
Global Gamma Gamma * Number of securities * contract size.
Global Paid PV01 The sensitivity of price with respect to the underlying rate of the
paying leg of swap positions in a portfolio.
Global PV01 The sensitivity of price with respect to the underlying rate of
positions in a portfolio, multiplied by the quantity and quotity.
Global Received PV01 The sensitivity of price with respect to the underlying rate of the
receiving leg of swap positions in a portfolio.
Global Rho Rho * Number of securities * contract size.
Global Theta Theta * Number of securities * contract size.
Global Vanna Vanna * Number of securities * contract size.
Global Vega Vega * Number of securities * contract size.
Global Vega Market Vega Market * Number of securities * contract size.
Global Volga Volga * Number of securities * contract size.
Global Weighted Vega Weighted Vega * Number of securities * contract size.
Global Weighted Vega
Market
Weighted Vega Market * Number of securities * contract size.
Income Theta Variation in time one day ahead of the Income.
Inflation convexity Convexity of the inflation swap or bond.
Table 3-5 Greeks Portfolio Columns (Sheet 4 of 6)
Name Description
B
I
= I *
*UT Last
gi
cash
gi
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Inflation sensitivity Sensitivity of the inflation swap or bond.
Leverage Delta Percentage of delta - dP/dS * S/P Where P is the price of the
option and S the spot of the underlying.
Leverage Gamma Percentage of gamma - this is the first derivative with regard to
the spot price of the above formula.
Paid PV01 The sensitivity of price with respect to the underlying rate of the
paying leg of a swap.
PV01 The variation of the dirty price in percent if the underlying rate
moves by 1 basis point.
Received PV01 The sensitivity of price with respect to the underlying rate of the
receiving leg of a swap.
Recovery Rate Sensitivity Displays the Recovery Rate Sensitivity according to the settings
defined in the Credit tab of the Preferences.
Result Theta Variation in time of the P&L one day ahead.
Defined as:
Result Theta = Theta + Income Theta + Financing Theta +
Treasury Theta.
Rho Price variation for a N percent variation of the interest rate
(defined in the Rho tab of the Preferences menu).
Rho curr. global Rho expressed in the default currency.
Rho curr. portfolio Rho expressed in the portfolio reference currency.
Rho Long/Rho Short Rho value for long and short positions.
Theta Price variation for a one day variation of the pricing date. Refer to
the Theta tab in the Preferences menu.
Theta curr. Global Theta expressed in the default currency.
Theta curr. portfolio Theta expressed in the portfolio reference currency.
Theta Financing Total Financing Theta + Forex Theta (expressed in the currency of the
instrument)
Theta Treasury Total Treasury Theta + Forex Theta (expressed in the currency of the
instrument)
Theta Long/Theta Short Theta displayed for long and short positions.
Total IR convexity Displays the total rho convexity for interest rate futures.
Total IR sensitvity Displays the total rho sensitivity for interest rate futures.
Treasury Theta Displays the variation of the Treasury one day ahead, if the other
market data are unchanged.
Vanna The first derivative of the delta with respect to the volatility. This
value is obtained by finite difference bumping the volatility of the
option.
Table 3-5 Greeks Portfolio Columns (Sheet 5 of 6)
Name Description
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Instrument
Table 3-6 describes the columns in the Instrument column grouping.
Vega The first order derivative of the theoretical value with respect to
the volatility of the instrument.
Vega (average) The average vega.
Vega curr. Global Vega expressed in the default currency.
Vega curr. portfolio Vega expressed in the portfolio reference currency.
Vega long/Vega short Vega displayed for long and short positions.
Vega Market Vega obtained by finite difference bumping each market plot of the
volatility surface, if the volatility smile is defined with Strike in
delta. If smile points are defined in Delta Volatility, it is obtained
by bumping each ATM volatility plot.
Volga The first derivative of the vega with respect to the volatility. This
value is obtained by finite difference bumping the volatility of the
option.
Weighted Vega The Vega computed using the defined curve of weights by maturity
associated with the underlying of the option. For more information
about defining a curve of weights see Vega on page 66
Weighted Vega Market The Vega Market computed using the defined curve of weights by
maturity associated with the underlying of the option.
Table 3-5 Greeks Portfolio Columns (Sheet 6 of 6)
Name Description
Table 3-6 Instrument Portfolio Columns (Sheet 1 of 5)
Name Description
Alert Component Displays the package component for which there is an alert.
Alert date Date of the Automatic tickets alert. Filled by the Launch the
forecast option in the Portfolio menu.
Alert Ex-Date The ex-coupon or ex-dividend date of the position is displayed in
this column 40 days prior to the coupon date or dividend date and
is displayed until the coupon or dividend date is reached.
Alert type Type of the alert.
Alert value Value of the alert.
Allotment The allotment of the deal ticket.
Beta Beta of the security. For shares, it is the user input (default value
= 1), but this beta can be calculated for different types of baskets.
CDS Rate Lists the CDS rate for Bonds (At the money)
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CDS Strike Lists the CDS Strike for Swaps
Conversion Ratio Displays the number of shares received when converting a bond.
Current Critical Errors Contains an alarm symbol, if any error messages with Critical
Error severity, as displayed in the Sophis Data Integrity
Messages window, occur.
Calculation Errors The number of error messages with Error severity, as displayed in
the Sophis Data Integrity Messages window. This number is
displayed in red.
Calculation Warnings The number of error messages with Warning severity, as
displayed in the Sophis Data Integrity Messages window. This
number is displayed in orange.
Date to Best MTM
Date to Best Theo
The call or put clause end date of the best YTM result.
Date to Call MTM
Date to Call Theo
The next call clause end date.
Date to Put MTM
Date to Put Theo
The next put clause end date.
Date to Worst MTM
Date to Worst Theo
The call or put clause end date of the best YTM result.
Default event of first leg Displays the default event of the first leg of a swap.
Default event of second
leg
Displays the default event of the second leg of a swap.
Derivative type Displays the type of option. For example, this column displays Call
for call options.
Discount Family Rate curve family.
Dividend Yield The dividend yield of the instrument.
Duration The duration of a basket.
Duration to Best MtM
Duration to Best Theo
The duration to the end date of the call or clause with the highest
YTM.
Duration to Call MtM
Duration to Call Theo
The duration to the end date of the first call clause.
Duration to Put MtM
Duration to Put Theo
The duration to the end date of the first put clause.
Duration to Worst MtM
Duration to Worst Theo
The duration to the end date of the call or clause with the lowest
YTM.
External Operation
Reference
Displays the user defined external reference of the deal. This is
usually a client reference code.
External reference External reference of the deal.
Forex Underlying The forex of the underlying currency vs the deal currency.
Table 3-6 Instrument Portfolio Columns (Sheet 2 of 5)
Name Description
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Ident ID for instruments and folders. Linked to the MVTIDENT field in
the HISTOMVTS table.
Instrument code ID of the instrument, linked to the SICOVAM field in the TITRES
table. For portfolios, the instrument ID is linked to the SICOVAM
field of the underlying belonging to the portfolio.
Instrument type Type of instrument.
Internal Operation
Reference
Displays the user defined internal reference of the deal. This is
usually a code unique to RISQUE.
Issuer For a credit derivative, this column displays the name of the
basket if the basket is in index, or the name of one issuer of the
basket if the basket is in components.
Issuer of the first leg The credit issuer of the first leg of a swap.
Issuer of the second leg The credit issuer of the second leg of a swap.
Kind of share The security type, denoted by the following:
A = shares
B = interest rate cap/floor
C = commissions
D = derivatives
E = foreign exchange
F = futures
I = index
L = stock loan
M = listed option
N = package
O = bonds
P = stock repo
Q = commodity
R = interest rate
W = swapped option
Market Name The market in which the deal ticket is dealt.
Maturity Maturity date of the instrument.
Measure Unit Measure unit of the instrument. Used mainly for commodity
instruments.
Mnemo Mnemonic of the product.
Mod. Duration to Best MtM
Mod. Duration to Best
Theo
The modified duration to the end date of the call or clause with the
highest YTM.
Mod. Duration to Call MtM
Mod. Duration to Call Theo
The modified duration to the end date of the first call clause.
Table 3-6 Instrument Portfolio Columns (Sheet 3 of 5)
Name Description
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Mod. Duration to Put MtM
Mod. Duration to Put Theo
The modified duration to the end date of the first put clause.
Mod. Duration to Worst
MtM
Mod. Duration to Worst
Theo
The modified duration to the end date of the call or clause with the
lowest YTM.
Next Paid Coupon
Next Received Coupon
Rate
The rate of the next coupon for the paying and receiving legs of
the following instruments:
Swaps
Fixed and floating bonds
onvertible bonds
Swapped options
Caps and floors
NCDs
Nominal Nominal of the bond * the number of bond traded (Deal nominal).
Nominal rate Nominal rate for bonds and CBs.
Notional (bonds) Displays the notional of bonds.
Notional (swaps) Displays the notional of swaps.
Option Type Option type (European, American, Bermuda or Asian). The column
displays a flag corresponding to the type of the option.
Previous Critical Errors Contains an alarm symbol, if any error messages with Critical
Error severity, as displayed in the Sophis Data Integrity
Messages window, occurred on the previous day.
Previous Errors The number of error messages with Error severity, as displayed in
the Sophis Data Integrity Messages window, that occurred on
the previous day. This number is displayed in red.
Previous Warnings The number of error messages with Warning severity, as
displayed in the Sophis Data Integrity Messages window, that
occurred on the previous day. This number is displayed in orange.
Quotation Type Price type of the deal.
Rating (agency) Displays the rating agencys rating for the underlying instrument.
Ref. Entity first leg Reference of the entity of the first leg of a swap.
Ref. Entity second leg Reference of the entity of the second leg of a swap.
Reference Reference of the instrument (this is the user-defined ID of the
product).
Table 3-6 Instrument Portfolio Columns (Sheet 4 of 5)
Name Description
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IR Swaps
Table 3-7 describes the columns in the IR Swaps column grouping of the Portfolio
window.
Right There are three possible values for this column:
Cum means that you are entitled to dividends for shares and
coupons for bonds.
Ex means that you are not entitled to dividends or coupons
depending on the type of product traded.
MIXED means that some of the traded securities give the right to
dividends against the remaining securities.
Sector (sector) Displays the sector of the deal.
Seniority The credit risk seniority level.
Seniority of the first leg The credit risk seniority level of the first leg of a swap.
Seniority of the second
leg
The credit risk seniority level of the second leg of a swap.
Share Outstanding Displays number of shares outstanding on the market.
Spread type The bond spread type.
Strike Strike of the option.
Yield To Best MTM
Yield To Best Theo
The highest YTM of all the call and put clauses.
Yield To Call MTM
Yield To Call Theo
The YTM of the bond if the redemption date was same as the next
call clause end date.
Yield To Put MTM
Yield To Put Theo
The YTM of the bond if the redemption date was same as the next
put clause end date.
Yield To Worst MTM
Yield To Worst Theo
The lowest YTM of all the call and put clauses.
Table 3-6 Instrument Portfolio Columns (Sheet 5 of 5)
Name Description
Table 3-7 IR Swaps Portfolio Columns of the Portfolio Window
Name Description
Paying Break Even The break even amount of the paying leg of an interest rate swap.
Receiving Break Even The break even amount of the receiving leg of an interest rate
swap.
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Swap Paying Basis The name of the calculation basis.
Fixed leg
If the basis is not defined, undefined is displayed in the
column
Floating leg
If the basis is not defined, the default basis is displayed in the
column.
Swap Paying End Date The end date of the current coupon
Swap Paying Fixing Date The fixing date of the current coupon for a floating-rate leg.
Swap Paying Frequency The name of the swap paying frequency leg.
Swap Paying Mode The name of the calculation mode, or if it is the floating-rate leg, it
is the mode of the floating-rate leg.
Swap Paying Rate The fixed rate in percentage for the fixed-rate leg.
Swap Paying Spread The spread in percentage for a floating-rate leg. The spread is
displayed in the colour of the leg currency.
Swap Paying Start Date The start date of the current coupon.
Swap Rate The break even amount of the fixed leg of an interest rate swap.
Swap Receiving Basis The name of the calculation basis.
Fixed leg
If the basis is not defined, undefined is displayed in the
column
Floating leg
If the basis is not defined, the default basis is displayed in the
column.
Swap Receiving End Date The end date of the current coupon.
Swap Receiving Fixing
Date
The fixing date of the current coupon for a floating-rate leg.
Swap Receiving
Frequency
The name of the swap receiving frequency leg.
Swap Receiving Mode The name of the calculation mode, or if it is the floating-rate leg, it
is the mode of the floating-rate leg.
Swap Receiving Rate The fixed rate in percentage for the fixed-rate leg.
Swap Receiving Spread The spread in percentage for a floating-rate leg. The spread is
displayed in the colour of the leg currency.
Swap Receiving Start Date The start date of the current coupon.
Table 3-7 IR Swaps Portfolio Columns of the Portfolio Window
Name Description
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Prices
Table 3-8 describes the columns in the Prices column grouping.
Table 3-8 Prices Portfolio Columns (Sheet 1 of 3)
Name Description
Accrued coupon Calculated for the period between the previous coupon date (or
the issue date, if the first coupon date has not occurred) and today
or the value date.
If the bond is quoted on a market (d+2 for example), the accrued
coupon is calculated until today or the value date according to
what is defined in the currency or place. A preference can be set to
force the calculation up to the trading day. The accrued coupon
column is expressed in percentage.
Note: The number of decimals in this column is determined by
the Theoretical field of the Preferences dialog. The
Theoretical field is located in the Number of Decimals
Displayed frame on the Display tab.
Ask The positions asking price.
Bare Value The dirty value of the bond attached to the convertible bond.
Bid The positions bid price.
Close price Closing price of the security on the last day of EOD procedure. This
price can be any of the price types sent by your TR system
(settlement price, historical close, last). This is part of the RT
setup for each instrument.
Convexity Price variation from the second order variation of the interest rate.
Dirty price Price of the instrument - also equal to the clean price plus the
accrued amount.
Duration (modified) The modified duration of a basket.
First leg The swap first leg NPV
Global convexity Convexity * Number of securities * contract size.
High The positions high price.
Interest days Number of days elapsed since the issue date or the last coupon
payment date.
Last Last market price quoted. Displays the selected type of price with
Ctrl+J.
Last (time) The last spot price as updated by real-time. The time of the update
is displayed in brackets.
Last curr. global Last price expressed in the default currency.
Last curr. portfolio Last price expressed in the portfolio reference currency.
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Last for ascot Displays the last quoted CB price (if this quotation is a price
Today) of an ascot CB. It can also be used to change the CB
market price. This will change the column Last in the CB historic
list.
Low The positions low price.
Parity change For convertibles change of parity between yesterday and today
Parity change in percent For convertibles change of parity between yesterday and today
in percentage
Parity close For convertibles this column shows the value of yesterdays
closing price, with the parity included.
Parity last Like Parity Close, but this value is calculated with the last price
instead of the closing price of the day before.
Performance The performance payoff amount displayed for the following time
periods:
1 day
1 week
1 month
3 months
1 year
absolute date (dd/mm/yy)
beginning of the year
Point value Notional for bonds and swaps. Contract size for options and
futures Index point value for indices.
Price change Difference between the spot price and the Last.
Price change in percent Difference between the spot price and the Last expressed in
percentage.
Second leg Second instrument for a swap.
Spot Volatility Displays the equity spot volatility for convertible bonds. If the
instrument is not a convertible bond, 0 is displayed in this column.
Spread The positions spread amount.
Spread Forward Rate The spread forward rate.
Theoretical Theoretical price of the security updated from the last of the
underlying and/or the yield curve for IR instruments.
Theoretical curr. global Theoretical expressed in the default currency.
Theoretical curr. portfolio Theoretical expressed in the portfolio reference currency.
Volatility Volatility of the positions underlying.
YTM MToM The mark-to-market amount of the yield to maturity value.
YTM sensitivity The sensitivity of a bond to its yield-to-maturity.
Table 3-8 Prices Portfolio Columns (Sheet 2 of 3)
Name Description
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Result
Table 3-9 describes the columns in the Result column grouping.
Yield to Maturity The positions yield to maturity amount.
Zero coupon rate Zero coupon from today to the option maturity
Table 3-8 Prices Portfolio Columns (Sheet 3 of 3)
Name Description
Table 3-9 Result Portfolio Columns (Sheet 1 of 3)
Name Description
Accrued Amount Global accrued interest up to the computation date:
AM = AC * N
Where: N is the nominal of the bond, AC the accrued coupon.
Asset value Number of securities * Theoretical or Number of securities * Last
(depending on the P&L preferences).
Average Price A weighted sum of Sell/Buy prices of deals.
Balance The balance is the sum of all cash flows (received cash flows minus
paid cash flows) at the last reporting start date.
Balance per ccy The settled balance for cash positions.
Balance Total Balance + Forex Balance (expressed in the currency of the
instrument)
Book The column 'Book' indicates in which folder, or folio, each listed
product can be found. This column only appears in the Hierarchical
view.
Broker Fees The amount of broker fees calculated for the position.
Commission Displays the commission amount when commissions are traded in
the portfolio. Commissions can only be viewed with closed
positions.
Counterparty The counterparty of the position.
Counterparty fees The amount of counterparty fees calculated for the position.
Currency Payment currency of the securities
Day Result The value of the instrument at the end of the day.
Delta Result The delta amount between the date of the last end of day and the
current date.
Entity The entity of the position.
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Financing The financing amount for differed payment. If a security, which
has a value date in the future, is sold, the amount of the deal and
the financing amount is the difference between the actual amount
and the value of the deal at its payment date.
Financing F = n.S
p
(1-B(t
0
,t
1
))
where:
n is the number of securities
S
p
is the purchase price
B(t
0
,t
1
) the zero coupon from trading date to value date.
If nothing changes, the P&L is 0. Therefore, the financing for the
mirror trade is calculated. If the spot or the yield curve changes,
the financing of the mirror trade changes.
Tomorrow, the calculation period of the mirror trade remains the
same (market rules) whereas the calculation period of the real
trade is one day less.
Forex Balance The balance of the forex of the position.
Forex Financing See Financing Theta in Greeks on page 74.
Forex financing takes into account the settlement date for Forex
spot (which is normally D+2) when aggregating P&L in different
currencies.
Forex Treasury See Financing Theta in Greeks on page 74.
FX Rate The forex rate used to convert the currencies of the position.
Income Includes coupons for bonds or dividends, tax credit for shares and
margin calls for futures
Margin Call The margin call of a stock loan position.
Market fees Market fees calculated from the market window (for listed options)
or from the fees rule attached to the depository.
Number of securities Number of securities in position.
Realized Increase or drop in value for a closed position (including all types
of fees).
Realized long The amount realised by selling a long position for the defined time
period.
Realized short The amount realised by selling a short position for the defined time
period.
Table 3-9 Result Portfolio Columns (Sheet 2 of 3)
Name Description
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Result (advanced)
Table 3-10 describes the columns in the Result (advanced) column grouping.
Receivable coupon Coupons, dividends or tax credits to be received in the future by
this position.
For example, there will be some receivable coupons on a long
position on an English stock if a dividend falls the day after the
deal is committed, as you need to physically have the stock to get
the dividend.
Result Result = Realized + Unrealised + Income + Treasury + Financing.
Tax credit Tax credit received until the reporting date.
Total income Income + Market fees + Broker fees.
Treasury Funding cost of all positions until the reporting date. The treasury
is calculated by using a treasury rate on each currency.
Unrealised Realized if the position is closed today at the Price P.
The calculation of the unrealized depends on the valuation type. If
the valuation type is set to M, the price P is the last market value.
If the valuation type is set to T, the price P is the theoretical price
calculated from the last market price of the underlying. Finally, if
the valuation type is set to A, the price P is the arbitrage value:
Where:
Q is the quantity of securities in open position
P1 is the average price
P2 is the Theoretical 1, Market or Arbitrage value
Unsettled Balance The unsettled balance for cash positions.
Valuation type Valuation type used for the spot price of the instrument.
M = using market price.
T = using theoretical price.
A = using arbitrage price calculated from Arbitrage rule in
the Data menu.
Table 3-9 Result Portfolio Columns (Sheet 3 of 3)
Name Description
) 1 2 ( * P P Q Unrealized =
Table 3-10 Result (advanced) Portfolio Columns (Sheet 1 of 3)
Name Description
Accrued Commission The accrued commission amount, to the current date.
Accrued Interest The accrued interest, to the current date.
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Asset value curr. folio Asset value expressed in the default currency.
Asset value curr. global Asset value expressed in the portfolio reference currency.
Asset value long/Asset
value short
The asset value of long and short positions.
Average price curr. global Average Price expressed in the default currency.
Average price curr.
portfolio
Average price expressed in the currency of the portfolio reference
instrument.
Balance curr. global Balance expressed in the default currency.
Balance curr. portfolio Balance expressed in the portfolio reference currency.
Balance long/Balance
short
The balance for long and short positions.
Commission Rate Displays the last commission rate used in the pricing.
Cum div Number of securities giving right to dividends or number of bonds
giving right to coupons. You may have to Tick the Coupon Lag
option in the Profit and Loss tab of the Preferences sub-menu
(File menu)
Deposit The initial deal deposit + the margin call deposit.
Financing curr. global Financing expressed in the default currency.
Financing curr. portfolio Financing expressed in the portfolio reference currency.
Financing Total Financing + Forex Financing (expressed in the currency of the
instrument)
Income curr. global Income expressed in the default currency.
Income curr. portfolio Income expressed in the portfolio reference currency.
Initial Deposit The amount of the initial deposit.
Loss limit Loss limit authorized by the manager. This value is input in the
access rights of each user and is applied on each position of the
user.
Margin Call Deposit The risk amount * the margin call haircut in %.
Margin Rate Displays the last margin rate used in the pricing.
MTM Unrealised Theo
Unrealised
Unrealised calculated with the last price of the instrument
unrealised calculated with the theoretical price of the instrument.
Nominal cum div Sum of the nominals of Cum Div deals.
Number of securities
long/ Number of
securities short
Number of securities in long and short positions.
Principal Option type (European, American, Bermuda or Asian). The column
displays a flag corresponding to the type of the option.
Realized curr. global Realised expressed in the default currency.
Table 3-10 Result (advanced) Portfolio Columns (Sheet 2 of 3)
Name Description
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Total Return Swaps
Table 3-11 describes the columns in the Total Return Swaps column grouping.
Realized curr. portfolio Realised expressed in the portfolio reference currency.
Result curr. global Result expressed in the default currency.
Result curr. portfolio Result expressed in the portfolio reference currency.
Result freeze (memory) The frozen P&L value stored in the memory cache. This value is
not saved between sessions.
Result freeze currency
folio (memory)
Frozen P&L value converted into the root portfolio currency and
stored in the memory cache. This value is not saved between
sessions.
Result freeze currency
global (memory)
Frozen P&L value converted into the global currency and stored in
the memory cache. This value is not saved between sessions.
Result since freeze
(memory)
Difference between the current P&L value and the frozen P&L
value. This value is stored in the memory cache and is not saved
between sessions.
Resultx freeze Frozen P&L value.
Resultx freeze currency
folio
Frozen P&L value converted into the root portfolio currency.
Resultx freeze currency
global
Frozen P&L converted into the global currency.
Resultx since freeze Difference between the current P&L value and the frozen P&L
value.
Resultx since freeze
currency folio
Difference between the current P&L value and the frozen P&L
value, converted into the root portfolio currency.
Resultx since freeze
currency global
Difference between the current P&L value and the frozen P&L
value, converted in to the global currency.
Settled The number of securities settled.
Treasury Total Treasury + Forex Treasury (expressed in the currency of the
instrument)
Treasury curr. global The treasury amount in the global currency.
Treasury curr. portfolio The treasury amount in the portfolio currency.
Unrealized curr. global Unrealized expressed in the default currency.
Unrealized curr. portfolio Unrealized expressed in the portfolio reference currency.
Unsettled Balance ccy The unsettled balance for cash positions in the portfolio currency.
Unsettled Balance global The unsettled balance for cash positions in the default currency.
Table 3-10 Result (advanced) Portfolio Columns (Sheet 3 of 3)
Name Description
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Table 3-11 Total Return Swap Columns (Sheet 1 of 2)
Name Description
SFAccrued Dividend The accrued dividend of the total return swap.
SF Accrued Equity
Performance
The TRS equity performance and cash equity unrealized for TRS.
SF Accrued Interest
Rate
The contribution of the floating to the accrual funding.
SF Accrued Total
Interest
The accrued floating plus the accrued spread on TRS, cash equity
and stock loan.
SF Accrued Spread The contribution of the spread to the accrued interest.
SF Realized Dividend The sum of cash equity dividend and dividend rebate cash flows.
SF Realized Equity The sum of cash equity and synthetic equity P&L.
SF Realized Floating The contribution of the floating to the sum of paid interest.
SF Realized Funding The realized floating plus the realized spread.
SF Realized Spread The contribution of the spread to the sum of paid interest.
SF Value Dividend The realized dividend plus the unrealized dividend.
SF Value Equity
Performance
The realized equity plus the accrued equity. Calculated as:
Result Equity = (realized equity) + (accrued equity). Where:
Accrued equity = spot(today) - spot (period start)
SF Value Interest Rate The realized floating, plus the accrued floating, plus the unrealized
floating. Calculated as:
Result Floating = (realized floating) + (accrued floating) +
(unrealized floating)
SF Value Total Interest The realized funding, plus the accrued funding, plus the unrealized
funding. Calculated as:
Result Funding = (realized funding) + (accrued funding) +
(unrealized funding)
SF Value Spread The realized spread, plus the accrued spread, plus the unrealized
spread. Calculated as:
Result Spread = (realized spread) + (accrued spread) + (unrealized
spread)
SF Unrealized Dividend The clean PV of forecasted dividends and corresponding dividends
rebate. Calculated as:
Unrealized Dividend = PV(TRS Dividend rebate, tax credit) - PV(tax
credit, tax credit)
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No Group
Table 3-12 describes the columns in the No Group column grouping.
SF Unrealized IR Fixing The clean present value of the current period floating leg and funding
positions. Calculated as:
Unrealized Fixing = PV(Floating rate fixed) - PV(Floating rate until
next reset)
SF Unrealized
Settlement Lag
The unrealized equity is the TRS equity performance from now to the
next reset date taking into account the forward spot. Calculated as:
Unrealized others = (unrealized total) - (unrealized dividend rebate
+ unrealized funding)
SF Unrealized Spread The clean present value of the spread. Calculated as:
Unrealized Spread = PV(TRS spread, repo margin) - PV(repo margin,
repo margin
Table 3-11 Total Return Swap Columns (Sheet 2 of 2)
Name Description
Table 3-12 Miscellaneous Portfolio Columns (Sheet 1 of 3)
Name Description
Barrier Crossed This column displays CROSSED for any barrier option having a
barrier that has been crossed.
On a position row for deals on a barrier option, the column
displays nothing if no barrier has been crossed or Barrier
[n] if a barrier condition is satisfied, where n is the index of
the crossed barrier (starting from 1).
On a portfolio row, the column displays nothing or Crossed,
if any of the barrier option contained in the portfolio has
one of its barrier conditions satisfied.
On an underlying row, the column displays nothing.
Barrier Near Threshold Displays the value of the first barrier that will be crossed,
according to the current underlying spot value.
This column is populated for Position rows only and displays the
value of the barrier having the minimum value according to:
Abs(Ln(Barrier / Underlying.Last))
Business Line Displays the business line of portfolios. This could be an assigned
business line or one that has been inherited from a parent
portfolio. This allows you to quickly identify the portfolios that will
be included in multisite end of day calculations.
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Fast P&L Calculation Displays the current status of fast P&L calculation. The following
values are possible:
Full P&L[hh:mm:ss] data is available for a fast
calculation from a full calculation performed at the time
displayed.
EOD data is available for a fast calculation from the EOD
calculations.
Fast P&L[hh:mm:ss] a fast P&L calculation was
performed based on data from a full calculation performed
at the time displayed.
Fast P&L [EOD] a fast P&L calculation was performed
based on data from the EOD calculations.
Fast - No Fast P&L conf [hh:mm:ss] a fast P&L
calculation was performed based on data from a full
calculation performed at the time displayed. This fast
calculation was performed by default because the position
does not match any of the mappings in the selected fast P&L
category or no Fast P&L category is selected on the
Model tab of the Preferences dialog.
Recompute needed[hh:mm:ss] a fast P&L calculation
was performed based on data from a full calculation
performed at the time displayed. Manual fast P&L mode was
triggered, indicating that a full calculation is required.
No data no data is available to perform fast P&L
calculation from an EOD or F9 calculation.
N/A fast P&L calculation is not supported for this
instrument type.
For more information about fast P&L calculation, see Fast P&L on
page 255.
Fast P&L Spot Variation Displays the difference of the spot in percent between the current
market data spot and the spot stored in the fast P&L buffer. This
value corresponds to the delta(Spot) triggers, which you can
select in the Fast P&L Categories window.
Note: This value is only displayed in underlying view.
For more information about fast P&L calculation, see Fast P&L on
page 255.
Days to Barrier Displays the number of days to a defined barrier on a Barrier
Option. This column is specific to Barrier Options and displays
nothing for any other type of position.
Global Delta Agreement Displays the delta agreement for the position. For more
information, see Delta Adjustment Report on page 646.
Line Picking Displays LP if line picking was performed on the position.
Table 3-12 Miscellaneous Portfolio Columns (Sheet 2 of 3)
Name Description
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MtM Spread Displays the following spread information for bonds:
The zero coupon spread amount when the bonds pricing
model is set to MtM greeks MtM.
The historical spread amount for all other pricing models.
This is the same as the Spread column.
The historical spread amount for negotiable contracts of
difference and convertible bond instruments.
Strategy Asset Value Displays the sum of the Asset value of all positions, including
positions in sub portfolios, that have the same underlying as the
underlying of the portfolio or a TRS on this underlying.
Note: This column displays the same values as the Asset Value
column for each position but displays the specific Strategy
Asset Value in the hierarchical view of a portfolio.
Strategy Nb of Securities Displays the sum of the Number of securities of all positions,
including positions in sub portfolios, that have the same
underlying as the underlying of the portfolio or a TRS on this
underlying.
Note: This column displays the same values as the Number of
securities column for each position but displays the
specific Strategy Nb of Securities in the hierarchical view
of a portfolio.
Universal Reference
Columns
The references defined in the Universal Reference window are
displayed as columns. The columns display the data retrieved by
the universal reference for the portfolio entry.
The column names take the following format:
REF: Universal Reference Name
Note: Univalves reference names that exceed 36 characters in
length are not displayed as columns in the Portfolio window.
Table 3-12 Miscellaneous Portfolio Columns (Sheet 3 of 3)
Name Description
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Chapter 4 Working with Portfolios
This chapter describes the basic user tasks involved in setting up, configuring and
using your portfolios.
The following topics are described:
Loading the Portfolio on page 97
Reporting on page 98
Managing Folios on page 101
User Columns on page 103
Scripting User Columns on page 110
External References on page 112
Loading the Portfolio
This section describes the following:
Loading the Portfolio on page 97
Selective Loading of Portfolios on page 98
Loading the Portfolio
Loading the portfolio activates its contents. Prior to loading, the portfolios contents
can not be viewed or modified in any way.
If you have selected the Do Not Load All Portfolios preference in the General tab
of the Preferences dialog, opening the portfolio window does not immediately grant
you access to the contents of the portfolio. It simply lists the folders contained in the
portfolio. This option is particularly useful if you have complete access to your
organisations portfolio, or a large subset of it. Loading large portfolios can take a
long time.
If the Do Not Load All Portfolios preference is not selected, loading the portfolio
loads all folders and their contents. Depending on the size of the portfolio you have
access to, this can be a time-consuming action.
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Selective Loading of Portfolios
Using the Preferences dialog box, you can specify whether you want to
automatically load all of the portfolios, when opening the Portfolio window. If you
chose not to load all portfolios automatically, you can load each folio individually, as
required, when working in the Portfolio window.
To load an individual portfolio in the Portfolio:
1 In the Portfolio window, select one or more portfolios.
2 Right-click to open the context menu.
3 Select Load.
4 The selected portfolios load.
Important: If the Root of your portfolio contains positions, deals or movements,
selectively loading the portfolio does not load these movements. In order
to load these, you must run the reporting, using F8, or from the Portfolio
menu.
Reporting
Reporting reports on all movements that match the criteria specified in the reporting
dialog, and if your portfolio is not loaded, loads the portfolio.
All deals are loaded to calculate the average price, the realised, the costs of treasury,
the income, and the part of financing due to the amount paid in the future. It also
manages the coupons to be received when the market is ex and the position cum.
For stock loans, CFDs and equity swaps with increase of nominal, it also calculates
the costs of commission and interest.
Depending on the number of transactions in the selected folio, the reporting can be
time-consuming. The first time the reporting is run, the instruments in open position
or closed recently are all loaded, which can also take a long time.
Run the reporting by selecting Run Reporting from the Portfolio menu, or pressing
F8. The Reporting dialog is displayed:
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Figure 4-1 Reporting dialog
The following reporting methods are available:
First In First Out FIFO
Last In First Out LIFO
For more information, see FIFO and LIFO on page 99.
Weighted Average Price WAP
For more information, see WAP on page 100.
First In First Out for Futures FIFO Futures
For more information, see FIFO Futures on page 100.
Line Picking
For more information, see Line Picking on page 100.
Note: The reporting methods are described in detail in the Financial Models
Documentation delivered with your installation set.
The following additional parameters can be specified:
End date Date at which Reporting stops. Positions after this date are not
reported on.
Grouping The menu allows you to group the movements at the server
level in order to optimize calculation time. The average prices may then be
different to those expected, but the results are always correct.
- Detailed - All movements
- Two trades per day - All the buy and sell movements
- Two trades per payment day
- One trade per day
- One trade per payment day
Unrealized Reset Date Date to reset the unrealized to.
FIFO and LIFO
The FIFO method calculates the Average Price using the remaining number of
securities already traded, while the LIFO method calculates the Average Price using
the remaining number of securities lastly traded.
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WAP
The WAP method takes into account the proportional relevance of each deal, rather
than treating each component equally.
FIFO Futures
The FIFO Futures method allows you to do a reporting with Futures in FIFO and WAP
for the other Instruments. This reporting type is not available in the Auxiliary Ledger.
Important: It is necessary to run Reporting only once a day, unless more is required.
You can then use the F9 or F10 to update the P&L and Greeks. For more
information, see Recalculating the Position on page 253 and Fast P&L
on page 255.
Running the Reporting during the day can be useful for distributing the
P&L between the Unrealised and Realised, updating the treasury costs in
the even of modification of overnight or deal history, assessing the need
for future financing with new rate curves, and for any modifications of
Bonds which affect the P&L and Greeks.
Line Picking
The Line Picking method calculates the realized of the portfolio based on the
content saved in the Line picking on position window of the positions in the
portfolio. For more information about line picking, see Line Picking on page 537.
Reporting on Single Positions
It is also possible to perform the reporting on individual positions or a selection of
positions. To do this, select the position(s) you want to perform the reporting on and
right-click to open the context menu. Select Reporting to perform the reporting on
each position of this instrument in all the loaded folios.
Important: Selecting an individual position and pressing F8 does not perform the
reporting on the selected position. It performs the reporting on every
position in all the loaded folios.
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Managing Folios
This section describes how to create and manage folders. It comprises the following
sections:
Creating a Folio on page 101
Managing the Contents of a Portfolio Folder on page 102
Creating a Folio
This section describes how to create a folder. To Create a Folio, do the following:
1 Select the location in which you want to create a Folio.
For example, select Folio1 to create a Folio in the Folio1 directory.
2 To create a Folio, click the New Folio icon.
The Portfolio Entry dialog box opens:
Figure 4-2 New folder dialog
3 Enter values in the dialog box as described in table 4-1:
Table 4-1 New Folder Parameters (Sheet 1 of 2)
Field Description
Name Enter the name of the folder to be displayed in the Portfolio
window.
Security The security or currency to use as the underlying of the folder.
Currency Allows you to define the underlying of the folio as a currency pair,
such as EUR versus GBP.
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4 Click OK.
Important: You must specify an underlying for the portfolio to display the results and
risk parameters of the portfolio.
Managing the Contents of a Portfolio Folder
This section describes how to manage the contents of a folder. The following table
describes possible procedures.
Displaying the Folders Contents
To display the composition, result & risk parameters of a Portfolio, do the following:
1 Double-click the required folder.
A second Portfolio window opens displaying the contents of the selected
folder.
Displaying a Summary of a Deal
To display the summary of a deals movements, do the following:
1 Double-click the deal you want to view.
The Movement window opens, displaying the movements of the selected
Entity Default entity for all deals entered in this folder.
Folio Currency Allows you to display the contents of the folio in a currency other
than the currency of the underlying. All results in this folio are
expressed in the currency defined here.
Business Line The business line to which the portfolio belongs. All portfolios in a
business line are included in the End of Day procedure when it is
run on site that includes the business line.
Customizable
Header
The customizable header option. See
Comments Text field. This field can store up to 250 characters.
Locked Check to store the P&L of the Portfolio in database if an EOD
procedure is launched.
Closed
Table 4-1 New Folder Parameters (Sheet 2 of 2)
Field Description
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deal.
Displaying Folio Properties
To display, or modify the properties of a folder, do the following:
1 Select the folder you want to examine, or modify.
2 Select Information from the context menu or File menu, or press Ctrl+f.
This displays the Folder Entry window. See figure 4-2 for more information.
User Columns
The portfolio column editor provides dynamic specification of portfolio columns,
given an associated expression and a display style. This is fully data-driven because
the column expression is defined in conventional language.
User columns are described in the following sections:
Creating User Columns on page 103
Column Expressions on page 105
User Column Keywords on page 106
Creating User Columns
To display the user column list, choose User Columns from the Data menu. The
Edit User Column window is displayed, as shown in figure 4-3.
Figure 4-3 Edit User Columns dialog
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To add a new portfolio column, click Add. To edit an existing portfolio column, select
a column from the list and click the Edit. In both cases, the Column Editor is
displayed, as shown in figure 4-4.
Note: When editing a column you can not change its name.
To delete a portfolio column, select the column from the list and click Delete. The
column is removed and but you will not see the deletion until RISQUE is restarted.
Figure 4-4 Column Editor dialog
To create a portfolio column, enter the details of the column and define an
expression to be used to calculate the contents of the column. You can define
expressions for the portfolio, underlying, and position lines of the Portfolio window.
If you are creating a user column that displays a value for each position line in your
portfolio as well as the total for the portfolio, you will need to create the column with
the position expression, save the column, and then create the portfolio expression
using the Sum function. Column expressions are described in Column Expressions
on page 105.
Table 4-2 describes the fields of the Column Editor dialog.
Table 4-2 Column Editor field descriptions (Sheet 1 of 2)
Item Description
Column Name Name of the portfolio column
Column Group The portfolio column configuration group in which the user
column will appear.
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Column Expressions
The following constructs and expressions can be used when defining portfolio
columns:
Arithmetic constructors + - / *
Comparisons > < = <> <= >=
Portfolio Expression The expression used to calculate the values of the column
for the folio lines of the Portfolio window.
Underlying Expression The expression used to calculate the values of the column
for the underlying lines of the Portfolio window. The
underlying lines are only displayed when you have selected
the underlying view.
Position Expression The expression used to calculate the values of the column
for the position lines of the Portfolio window.
Style The font style.
Alignment The cell alignment.
Color The colour of the cell:
Position CCY - colour is the same as the position
currency colour
Underlying CCY - colour is the same as the positions
underlying currency colour
Portfolio CCY - colour is the same as the portfolios
currency colour
Global CCY - colour is the same as the global
currency colour
Fixed CCY - the currency colour can be chosen from
the list
Top Portfolio CCY - colour is the same as the top
portfolio currency colour (as displayed in the current
window).
Type The column data type. This can be defined as:
Short
Long
Float
Double
Null Value This value will be neither displayed nor conceded during the
processing: Zero, Zero or not Defined, Not Defined, None
Number of Decimals The number of decimals displayed in the column.
Table 4-2 Column Editor field descriptions (Sheet 2 of 2)
Item Description
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Conditional statement Decode. For example:
DECODE(condition1, value1, condition2, value2, ... , defaultvalue)
Or:
if (condition1 is true), then value1
else if (condition2 is true), then value2
else ...
else defaultvalue
Note: The default value must be an integer. You can also use AND OR
operators in the Decode statement.
Conditional statement DecodeString. The Decode expression with a string as
the second or third argument.
DecodeString([Instrument Type]='A',"string1", "string2"
Minimum or maximum of two or several expressions: Min(a,b,),
Max(a,b,)
Mathematical functions: Log(a), Exp(a), Power(a,b)
Numerical constants
Note: The decimal point is used as a decimal separator. The comma is used
only to separate the arguments of a function.
The function Last(code) returns the last price of a security from its internal
code
The function Theoretical(code) returns the calculated theoretical value of an
instrument from its internal code. Note that this function is only defined on
the position of a deal on the instrument
The function Forex(ccy1, ccy2) to retrieve an exchange rate
The construct [ Column Name ] to retrieve the value of any other portfolio
column on this position / underlying / portfolio. For example [Asset Value] or
[Delta cash]
The construct Sum[ Column Name ] to calculate the sum of an indicator
over the current portfolio (over the current underlying in the per underlying
view)
The construct Consolidate[ ] is similar to Sum[ ] except that the FX rate
between the positions currency and the portfolio currency is applied before
calculation.
The function ATOL(string) converts ascii characters to a long integer. For
example, ATOL(123.456) returns 123 and ATOL(123ABC) returns 123.
The function ATOF(string) converts ascii characters to a floating integer. For
example, ATOF(123.456) returns 123.45 and ATOF(123.45ABC) returns
123.45.
User Column Keywords
Table 4-3 describes the user column keywords that you can use when defining
column expressions.
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Table 4-3 User Column Keywords (Sheet 1 of 4)
Value Description
AverageCol[column] Calculates average of the column specified. (Does not take
differing currencies into account.)
AverageFX[column] Calculates average of the column specified over a portfolio using
the currency of the portfolio.
EF.VAL.fieldname
EF.DES.fieldname
Returns the value or description of external fund indicators from
the Indicators, Analysis, and Investment Rules tabs of the
Fund Edition dialog. EF.VAL returns the value of the indicator
and EF.DES returns the indicator description.
The following list shows the value keywords that are created for
the fund indicators. The description keywords are defined in the
same way but with DES instead of VAL.
EF.VAL.REDEMPTIONNOTICE
EF.VAL.CUTOFFTIME
EF.VAL.NOTICEALERTDAYS
EF.VAL.INVESTMENTTYPE
EF.VAL.ACCEPTEDINVESTORTYPE
EF.VAL.INVESTORBASEBREAKDOWN
EF.VAL.LARGESTINVESTORS
EF.VAL.MAXIMUMCAPACITY
EF.VAL.MANAGEMENTSTAKES
EF.VAL.RISKMANAGER
EF.VAL.LIQUIDITYRISK
EF.VAL.HEDGERISKS
EF.VAL.MAXIMUMLEVERAGE
EF.VAL.AVERAGELEVERAGE
EF.VAL.LISTEDINSTRUMENTSINVESTMENTIN
EF.VAL.OTCINSTRUMENTSINVESTMENTIN
EF.VAL.LIMITS
EF.VAL.INSTRUMENTSUSED
EF.VAL.MAXIMUMEXPOSURE
EF.VAL.AVERAGEHOLDINGPOSITION
EF.VAL.CASHMANAGEMENTPOLICY
EF.VAL.STRUCTUREDESCRIPTION
EF.VAL.ADMINISTRATIVEFEE
EF.VAL.LATEREDEMPTIONFEE
Whenever you add a custom indicator for your fund, a keyword
is automatically added to this list. The keyword is created by
capitalising the indicator and removing all spaces and
non-alphabetical characters. For more information, see Editing
Funds in RISQUE Instrument Reference Guide.
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CCString Returns ISO string of the currency code
Count[column] Counts number of deals in a folder which have a non-zero entry
for the column.
GLOBAL.CORRELATIONDATE Returns the correlations date.
GLOBAL.CREDITRISKDATE Returns the credit risk date.
GLOBAL.DIVIDENDDATE Returns the dividend date.
GLOBAL.FXDATE Returns the forex date.
GLOBAL.INSTRUMENTDATE Returns the instrument date.
GLOBAL.POSITIONDATE Returns the positions date.
GLOBAL.RATEDATE Returns the interest rate date.
GLOBAL.REPODATE Returns the repo date.
GLOBAL.SPOTDATE Returns the spot date.
GLOBAL.SRDATE Returns the subscription/redemption date.
GLOBAL.TODAY Returns the current date.
GLOBAL.VOLATILITYDATE Returns the volatility date.
GLOBAL.CCY Returns the name of the global currency.
GLOBAL.currency_name Returns the reference code for currency_name.
GLOBAL.TODAY The number of days since 01/01/1904
Global.isoccy Returns the reference code of the global currency.
MinCol[Column] Returns minimum of the column in the portfolio. (Does not take
differing currencies into account.)
MaxCol[Column] Returns maximum of the column in the portfolio. (Does not take
differing currencies into account.)
MinFx[Column] Returns minimum of the column in the portfolio, taking the
currency of the portfolio into account.
MaxFx[Column] Returns maximum of the column in the portfolio, taking the
currency of the portfolio into account.
PORTFOLIO.CCY Currency of the portfolio
PORTFOLIO.CODE For a portfolio expression, returns the portfolio internal code.
For a position expression, returns the code of the portfolio that
the position is in.
For an underlying expression, returns the code of the portfolio
that the position is in hierarchical view.
Portfolio.isoccy Returns ISO code for portfolio underlying currency
Portfolio.OpenPositionsCount Returns number of open positions in the portfolio.
Portfolio.ClosedPositionsCount Returns number of closed positions in the portfolio
Table 4-3 User Column Keywords (Sheet 2 of 4)
Value Description
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POSITION.CCY Currency of the Position
POSITION.INSTRUMENT_TYPE A char that identifies the type of instrument
Position.isoccy Returns ISO code for position currency
POSITION.UNDERLYING_TYPE A char that identifies the instrument underlying
POSITION.UNDERLYING_
REFERENCE
Returns the reference number of the underlying of a position.
POSITION.UNDERLYING_CODE Returns the code of the underlying of a position.
POSITION.TYPE Returns a value for the type of position. The values are:
0 = standard position,
1 = blocked,
2 = arbitrage,
3 = borrowed / lent,
4 = simulation,
5 = basket,
6 = brokerage,
7 = virtual forex,
8 = simulated virtual forex (virtual forex associated to a
simulated position).
PREF.RHOUNIT Uses the value specified in the Rho Unit field of the Rho tab of
the Preferences dialog. Rho Unit specifies the number of yield
curve basis points, to which the rhos displayed in the positions
correspond.
PREF.
PNLMONETARYUNITFACTOR
If the preference P&L in monetary unit is ticked, the contents of
your column are multiplied by 1000.
PREF.ISGAMMAINPCT Applies the preference Gamma in % to the contents of your
column.
PREF.ISCONVRATIOINSHARES Applies the setting specified by the ConvertionRatioInShares
preference of the RISKPREF table. If ConvertionRatioInShares is
set to 1, the Conversion Ratio is expressed in Shares instead of
in prices.
PREF.ISSIMULATIONMODE Specifies the conditions for what should occur in your column if
Simulation Mode is active.
PREF.ISRTACTIVE Specifies what occurs in your column if Real-Time connection is
active.
Table 4-3 User Column Keywords (Sheet 3 of 4)
Value Description
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Scripting User Columns
The user columns can also be defined using scripts written in C# or VB.NET.
This functionality must be configured and requires the following:
A valid license for the Sophis .NET Financial Integration Toolkit.
SophisSCR.dll The scripting library.
Configuration A section in the risk or global.ini file to activate and
configure the scripting functionality.
Important: The .NET Toolkit is also accessible for your scripts, if it is enabled. For
more information on obtaining a license for the .NET Toolkit, consult your
Sophis Sales advisor.
SQLQUERYdatatype Defines an SQL query that returns a value to be used in the user
column. The datatype of this keyword is the variable that is
included in the SQL. This keyword is defined as follows:

sqlquerystring("select reference from titres where
sicovam=%1",position.underlying_code)
In this example, the string contained in the
position.underlying_code column of the titres table is used in
the SQL command in place of the %1 variable.
This keyword can be defined for different datatypes in the SQL
command as follows:
sqlquerystring
sqlqueryint
sqlqueryfloat
sqlqueryvar
sqlqueryvarchar
sqlquerynumber
sqlquerydate
SumFx[column] Same as consolidate function
Underlying.isoccy Returns ISO code for deal underlying currency
UNDERLYING.CCY Currency of the underlying (in the underlying view)
UNDERLYING.LAST Last price of the underlying
Table 4-3 User Column Keywords (Sheet 4 of 4)
Value Description
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Configuration
To configure the scripting functionality, do the following:
1 Ensure the SophisSCR.dll is present in the root of your RISQUE installation
directory.
2 Add the following section to your risk.ini or global.ini file:
[SophisSCR]
activated=yes
repository=d:\ScriptFiles
where:
- activated defines whether or not the functionality is available for use.
If this parameter is set to no, or any other value, the User Column
Scripting functionality is unavailable.
- repository defines the location of your script repository. This is the
directory to which your scripts are saved, or from where they are loaded.
Using the Scripting Script Editor
To use the Scripting Interface, do the following:
1 Open the Sophis Script Editor by clicking the Scripted Columns item of the
data menu.
The Sophis Script Editor is displayed, as shown in figure 4-5.
Figure 4-5 Sophis Script Editor
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2 To add a script, select Portfolio Column, the entry beneath Scriptable Object
in the tree view, and right-click it.
The context menu is displayed, showing the following entries:
- Add Script C# Adds a C# scripting template to the edit pane.
- Add Script VB.NET Adds a VB.NET scripting template to the edit pane.
3 Define your script and click Apply when finished. Compilation errors are
displayed in the Error pane in the bottom of the dialog.
4 If no compilation errors occur, the script is added to the tree view and is
available in the portfolio column list. If compilation errors occur, the script is
not added to the tree view and is not accessible in the portfolio.
External References
External References are used to allow you to define your own references to an
instrument instead of referring to an instrument using only the Mnemo or the
system-defined reference. These references are known as external references.
Each external reference has a name to identify it. Each instrument has for each
external reference an external reference value defined for it. The external reference
value is the external reference for a particular instrument.
For example, there are a number of Spanish and German operators working in the
system. They refer to instruments in Spanish or German. The external reference
ExRef_Spanish and ExRef_German can be set up where for all instruments that are
referenced by these operators an external reference value can be set. An external
reference can accept redundancies. The external reference can then be associated
with the same external reference value for different instruments.
To create external references, you must first define the references in the database.
Only then can they be associated with instruments.
Database Tables
A database administrator (DBA) can define any number of external references. Each
external reference has a name, an ID and a redundancy value. Table 4-4 shows the
contents of a sample EXTRNL_REFERENCES_DEFINITION table.
Table 4-4 Contents of EXTRNL_REFERENCES_DEFINITION
REF_IDENT REF_NAME RENDUNDANCY
1 External_ReferenceSpanish 1
2 External_ReferenceGerman 0
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Table 4-5 shows the contents of a sample EXTRNL_REFERENCES_INSTRUMENT
table.
3456234623 is the instrument reference of IBM in the database and the table
column VALUE holds the external reference value.
The union of the table columns SOPHIS_IDENT and REF_IDENT must be unique.
Assigning References
To Assign External References for an Instrument:
1 Open the window in which the instrument is found.
2 Select the instrument.
3 Select External References from the Data menu.
4 Enter the values for each External Reference.
5 Click OK to save.
To Assign External References for Multiple Instrument:
1 Hold the Shift key, then select the instrument at the top of the group.
Note: If the instruments are not grouped, use the Ctrl key to individually
select the instruments that you want to assign references to.
2 Select the instrument at the bottom of the group.
This highlights all instruments in the group.
3 Select External References from the Data menu.
4 Enter the values for each External Reference for each instrument.
5 Click OK to save.
To Assign External References for an Instrument in the Portfolio
1 Select the instrument
2 Select External References from the Data menu.
3 Enter the values for each External Reference.
4 Click OK to save.
Table 4-5 Contents of EXTRNL_REFERENCES_INSTRUMENT
SOPHIS_IDE
NT
REF_IDENT VALUE
3456234623 1 IBM GBP
3456234623 2 IBM FR
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Note: Assigning or viewing the External References of more than one instrument in
the portfolio is not possible.
Old External References
Previously set External References can still be used (shown here in the blue box).
This is shown separately from the External Reference Values, as it is not
associated with an External Reference name.
It is also not saved in the table EXTRNL_REFERENCES_DEFINITION but in
the TITRES table.
It is not also shown when the External Reference for more than one
instrument is opened.
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Chapter 5 Views
Views are subsets of the contents of the portfolio. You can use views to filter the
movements that you see.
This chapter contains the following sections:
View Types on page 115
Hierarchical View on page 116
Flat View on page 116
Underlying View on page 117
Consolidation View on page 118
Positions on page 120
Note: It is possible to filter the positions and portfolios listed in the Portfolio window
using the options in the Preferences dialog. For more information about these
preferences, see the RISQUE Administration Guide.
View Types
The Portfolios window can display positions in four ways:
Hierarchical View on page 116
Flat View on page 116
Underlying View on page 117
Consolidation View on page 118
These views are available from the Views menu, as shown in figure 5-1.
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Figure 5-1 Views Menu
Hierarchical View
The Hierarchical View displays portfolios and positions by directory. Each trade is
shown in a containing folder, as shown in figure 5-2.
Figure 5-2 Hierarchical View
Flat View
The Flat View displays all instruments at the same level. Deals on the same
instrument are aggregated, as shown in figure 5-3.
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Figure 5-3 Flat View
Underlying View
The Underlying view displays positions grouped by underlying, as shown in
figure 5-4. It is also possible to group the results using the Index Consolidation
preference in the Model tab of the Preferences.
The following groupings are available:
Arbitrage the arbitrage underlying, first expressed in cash and then
converted in terms of the underlying. Using the underlying view in the
portfolio, the position is listed at the arbitrage underlying level.
Market the index of the place of the instrument. Using the underlying
view in the portfolio, the position is listed at the index level.
Currency the index of the currency of the instrument. Using the
underlying view in the portfolio, the position is listed at the index level.
Sector you can categorise instruments by business sector. Each Business
Sector defined is available from the drop down list in the Model tab.
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Figure 5-4 Underlying View
Consolidation View
This section describes the procedures for working with consolidations.
Creating a Consolidation on page 118
Creating a Consolidation Folder on page 119
Deleting a Consolidation on page 119
Deactivating a Consolidation on page 119
Consolidating Portfolios by Business Sector on page 120
Creating a Consolidation
Creating consolidations allows you to view your portfolio in groupings of
sub-portfolios. In this way, you can display an aggregate presentation of positions,
according to specific criteria.
Consolidations are different from portfolios. The structure of portfolios is constant,
unlike the structure of consolidations, which can be defined according to specific
requirements. A user can work with their own, independent consolidation.
To create a consolidation:
1 From the Portfolios menu, select Add a consolidation.
The Add window is displayed.
2 Enter a name for the new consolidation.
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3 Click OK.
The new consolidation is displayed at the bottom of the Portfolios menu.
To activate a consolidation:
1 From the Portfolios menu, select the desired consolidation.
A tick is displayed on the left of the selected consolidation.
Creating a Consolidation Folder
You can create folder groups of consolidations, in the Portfolio menu.
To create a consolidation folder:
1 From the Portfolio menu, select an existing consolidation.
2 Click on the Consolidation button in the toolbar of the Portfolio window.
The Folder Entry window is displayed.
3 Enter a name for the consolidation folder in the Name field.
4 Specify the name and type of the underlying in the Underlying frame.
5 Select an appropriate Entity from the drop-down options.
6 Click OK.
Your consolidation is created in the ROOT portfolio and is represented by the
consolidation icon.
7 In the Portfolio window, select the required folders and drag them into the
consolidation folder.
The portfolios you drag into the consolidation folders must be on the first
level of the portfolio tree structure.
Deleting a Consolidation
You can remove existing consolidations from the system.
To delete a consolidation:
1 From the Portfolios menu, select Delete consolidation.
2 Select the consolidation to delete from the dialog.
3 Click Erase. The consolidation is removed from the Portfolio menu.
Deactivating a Consolidation
You can deactivate a consolidation without deleting it.
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To deactivate a consolidation:
1 In the Portfolio menu, click on the currently active consolidation.
The consolidation is removed from the Portfolio window, the consolidation
is retained in the Portfolio menu for future use.
Consolidating Portfolios by Business Sector
This section describes how to consolidate portfolios by Business Sector. You can
consolidate a portfolio by underlying sector. You can view the portfolio by Business
Sector when you select underlying view to display the portfolio.
To consolidate a portfolio by Business Sector:
1 From the File menu, select Preferences, then click Model.
2 From the Index consolidation drop-down menu, select Sector.
3 Close the Preferences dialog box. This consolidates entries in the Portfolio
(Delta, Gamma, Vega) by Business Sector.
Positions
You can filter the display of positions in the Portfolio window by using the positions
view drop-down menu on the Portfolios tool bar, as shown in figure 5-5.
Figure 5-5 Positions view menu
This menu offers the following types of view:
Hide Closed Positions hides all closed positions.
Show Everything does not hide anything.
Hide All Positions hides all positions.
Hide Closed Positions and Portfolios hides closed portfolios, all
positions in these portfolios, including open positions, and all closed
positions in all portfolios.
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Chapter 6 Extractions
This chapter describes extractions. Extractions provide a way to isolate and display
positions which satisfy user-specified conditions. This chapter contains the following:
Viewing Extractions on page 121
Managing Criteria Extractions on page 126
Managing Lookthrough Extractions on page 129
Managing Bucket Extractions on page 139
Managing SQL Filter Extractions on page 145
Managing Pivot Extractions on page 155
Linking Positions on page 162
Note: The P&L in extractions is affected by the Result without Financing check
box on the Profit and Loss tab of the Preferences dialog box. If this check box is
selected and the market has a defined delivery lag, the delivery lag is taken into
account when calculating the P&L of the extraction.
Viewing Extractions
This section describes the windows that enable you to manage extractions. It
contains the following:
Extractions List on page 121
Extraction Properties on page 122
Extractions List
The following types of extractions are saved and opened from the Extraction list
window:
Criteria extractions group the positions of entry point portfolios according
to one or more criteria. For more information, see Managing Criteria
Extractions on page 126.
Lookthrough extractions display the components of positions. For more
information, see Managing Lookthrough Extractions on page 129.
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Bucket extractions further group the results of criteria extractions. For
more information, see Managing Bucket Extractions on page 139.
SQL extractions display positions based on specified SQL queries. For
more information, see Managing SQL Filter Extractions on page 145.
To open the Extraction list window, do the following:
Click the Extraction command on the Portfolios menu.
The Extractions list window is displayed, showing all saved extractions.
Figure 6-1 shows the Extractions list window:
Figure 6-1 Extractions List
Table 6-1 describes the buttons of the Extractions list window:
Extraction Properties
The Extraction Properties dialog box enables you to create extractions of
portfolios according to the areas you are interested in.
To open the Extraction Properties dialog box, do the following:
With the Extractions list window open, press Ctrl+N or click the Create
button.
The Extraction Properties dialog box is displayed, as shown in figure 6-2:
Table 6-1 Buttons of the Extractions List Window
Name Description
The Create button. Opens the Extraction Properties
dialog box to enable you to define an extraction. For more
information, see Extraction Properties on page 122.
The Delete button. Deletes the selected extraction.
The Modify button. Opens the Extraction Properties
dialog box of the selected extraction. For more
information, see Extraction Properties on page 122.
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Figure 6-2 Extraction Properties Dialog
Table 6-2 describes the controls of the Extraction Properties dialog box:
Table 6-2 Extraction Properties Dialog (Sheet 1 of 4)
Name Description
Name Defines the name of the extraction.
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Reporting Determines how deals are included in the reporting
calculations for average price and, consequently, P&L.
By reducing the number of deals to calculate the average
price, you can improve the reporting time of your extraction.
However, the accuracy of the calculations may be reduced.
Only the Detailed reporting type displays an accurate
average price.
You can choose one of the following reporting types:
Detailed all deals are included in the calculation of
the average price. This reporting type is the only type
that calculates the asset value correctly but increases
processing time.
Two trades a day before reporting, deals are
aggregated as either a buy or a sell deal and the
average price is calculated using these two deals.
Two trades a payment day before reporting,
deals are aggregated as either a buy or a sell deal for
each payment date and the average price is
calculated using these two deals.
One trade a day before reporting, all deals are
aggregated for each deal date and the average price
is calculated using this aggregated deal. This
represents the cash flow of the deal for the day.
One trade a payment day before reporting, all
deals are aggregated for each payment day and the
average price is calculated using this deal.
One unique trade before reporting, deals are
aggregated as either a long or a short deal and the
average price is calculated using these two deal
types.
Without average price the average price is not
calculated or displayed. As a result, the P&L of the
extraction is not accurate.
Table 6-2 Extraction Properties Dialog (Sheet 2 of 4)
Name Description
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Model Defines the model of the extraction. The following models
are available:
Collateral positions are extracted based on the
following criteria:
Counterparty
Entity
Convention
Collateral Scheduler positions are extracted based
on collateral scheduler information. For more
information, see the Collateral Management User
Guide.
Counterpart positions are extracted based on the
counterparty of the deal.
Global Currency positions are extracted based on
the default currency.
Standard all positions in the loaded portfolios are
extracted and grouped by portfolio.
criteria positions are extracted based on specified
criteria. For more information, see Managing Criteria
Extractions on page 126.
The Configure model button. Opens the configuration
dialog box to enable you to configure the extraction.
Note: This button is only enabled for some models.
User right Defines the user rights of the extraction. The following user
right levels are available:
Read only the user that created the extraction can
modify the extraction.
Write all users can perform and modify the
extraction.
No Access only the user that created the
extraction can perform and modify the extraction.
Filter Defines the filter type. The following filter types are
available:
Manual manually enter a SQL query string in the
SQL Filter text box. For more information, see Manual
SQL Extractions on page 145.
Dynamic use the Query Builder to create a filter.
For more information, see Dynamic SQL Extractions
on page 147.
Table 6-2 Extraction Properties Dialog (Sheet 3 of 4)
Name Description
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Managing Criteria Extractions
This section describes how to create extractions based on a variety of portfolio, deal,
or instrument criteria. It contains the following:
Displaying the Extraction Criteria Dialog Box on page 126
Creating Criteria Extractions on page 129
Displaying the Extraction Criteria Dialog Box
User-defined criteria extractions are defined in the Criteria for Extraction dialog
box.
To open the Criteria for Extraction dialog box, do the following:
1 Select the criteria value from the Model drop-down list on the Extractions
dialog box.
2 Click the Configure model button.
The Criteria for Extraction dialog box is displayed. Figure 6-3 shows the
Criteria for Extraction dialog box:
The Configure Query button. Opens the Query Builder.
For more information, see Dynamic SQL Extractions on
page 147.
Note: This button is only enabled if the Dynamic value is
selected from the Filter drop-down list.
SQL Filter Enter a SQL string in this text box to extract positions using
SQL statements. For more information, see Managing SQL
Filter Extractions on page 145.
Count Displays an estimate of the number of positions included in
the extraction. This can help to determine the time that the
extraction takes to perform.
The Launch extraction button. Performs the extraction.
Table 6-2 Extraction Properties Dialog (Sheet 4 of 4)
Name Description
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Figure 6-3 Criteria for Extraction dialog box
Table 6-3 describes the controls of the Criteria for Extraction dialog box:
Table 6-3 Controls of the Criteria Dialog Box (Sheet 1 of 2)
Name Description
Criterion Defines the criteria of the extraction. The order of the list
determines the order in which folders are displayed in the
extraction.
Entry points Defines the entry point portfolios of the extraction.
The Delete button. Deletes the selected criterion.
The Up button. Moves the selected criterion up the list.
The Down button. Moves the selected criterion down the list.
Exclude Specifies if the selected entry points are excluded in the
extraction. The following options are available:
Selected the extraction includes all portfolios except
those specified in the Entry points list box.
Cleared the extraction includes all portfolios specified in
the Entry points list box.
Remove N/A
folders
Specifies if folders that do not contain relevant positions are
included in the extraction. The following options are available:
Selected the extraction includes only folders that contain
relevant positions.
Cleared the extraction includes an N/A folder, which
contains positions that are not relevant.
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Keep Position
Ident
Specifies if all deals in the extraction that make up the same
position are displayed on one line with the identifier of the
position. The following options are available:
Selected all lines in the extraction that come from the
same position are displayed on one line with the identifier of
the position.
Cleared lines are split in the extraction.
Note: The External reference and the User Comments are
available for all positions in the extraction by
right-clicking on the position.
Include
Unloaded
Positions
Specifies if positions are included in the extraction even if they
have not been loaded. The following options are available:
Selected the extraction includes positions in the
extraction even if they have not been loaded. If this check
box is selected, you can perform the extraction by
double-clicking on it in the Extractions list before you have
clicked Open from the Portfolio menu or pressed the F7
key. However, you must load the portfolio to launch
extractions from the Extraction dialog.
Cleared the extraction does not include positions that
have not been loaded.
Note: Some criteria, such as Duration, Market Capitalization,
Liquidity Risk, Gross Long Position, External Fund
Strategy, Expected Volatility, and Expected Return, are
calculated in the portfolio when an extraction is
performed. Therefore, they cannot be used as criteria
with the Include Unloaded Positions check box
selected before the portfolio is reported (F8).
Lookthrough Specifies if the extraction is a lookthrough extraction. Set this to
one of the following:
None no lookthrough is performed.
Forex lookthrough is performed on forex spot, forex
forward, and non-deliverable forex forward.
Package lookthrough is performed on packages and
forex.
Full lookthrough is performed on all instruments.
For more information, see Managing Lookthrough Extractions
on page 129.
Table 6-3 Controls of the Criteria Dialog Box (Sheet 2 of 2)
Name Description
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Creating Criteria Extractions
To create a criteria extraction, do the following:
1 Select the criteria value from the Model drop-down list on the Extractions
dialog box.
2 Click the Configure model button.
The Criteria for Extraction dialog box is displayed.
3 Select the required criteria in the Criterion list box.
You can select multiple criteria including portfolio, issuer, rating, business
sector, and currency. You can select each defined rating source and business
sector as criteria.
Note: One criteria represents one level of extraction. However some criteria
are multi-level.
4 Ensure the order of the criteria is correct. You can change the order using
the Up and Down buttons. Folders are displayed in this order in the
extraction.
5 Select the entry point portfolios of the extraction in the Entry points list
box.
6 Click the OK button.
Managing Lookthrough Extractions
This section describes Lookthrough extractions. Lookthrough extractions show
positions at the component level. This is particularly useful for viewing positions on
the instruments in packages. This section contains the following:
Creating Lookthrough Extractions on page 129
Viewing Lookthrough Results on page 131
Creating Package Lookthrough Extractions on page 132
Creating Full Lookthrough Extractions on page 134
Creating Lookthrough Extractions on External Funds on page 135
Note: The settings of the Result in Theoretical Value check box on the Profit and
Loss tab of the Preferences dialog is ignored for lookthrough extractions.
Creating Lookthrough Extractions
Lookthrough is supported for the following instruments:
TRS
CFD
Index and equity futures
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Packages
Funds
Forex
Indexes
Recursive instruments, such as packages containing packages.
Note: Lookthrough extractions only show instrument information. Only select criteria
that return information about instruments.
Table 6-4 describes the types of lookthrough extractions:
To display extraction criteria by component, do the following:
1 Define a criteria based extraction, as described in Managing Criteria
Extractions on page 126.
2 Select the type of lookthrough extraction from the Lookthrough drop-down
list, as described in table 6-4.
Table 6-4 Lookthrough Extraction Types
Name Description
Forex Lookthrough is performed on forex spot, forex forward, and
non-deliverable forex forward.
Package Lookthrough is performed on packages and forex. This
lookthrough can be used to split recursive instruments, such as
packages in packages, to the first nested package level only.
For example, if PackageA contains 10 shares and another
package, Package XYZ, a Package extraction produces results
on the shares and Package XYZ as an instrument. The
components of Package XYZ are not extracted. For more
information, see Creating Package Lookthrough Extractions on
page 132.
Full Lookthrough is performed on all instruments to the lowest level.
This lookthrough is used to split recursive instruments, such as
packages in packages, to the lowest level.
For example, if PackageA contains 10 shares and another
package, Package XYZ, which contains a future on an index that
has 5 shares, a Full extraction produces results on the ten
shares of Package A and the 5 shares of Package XYZ. For more
information, see Creating Full Lookthrough Extractions on
page 134.
Note: For total return swaps, full lookthrough shows the
underlying of the swap only if a basis is populated in the
received leg cash flow for the period of the extraction.
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Viewing Lookthrough Results
When you select a lookthrough type from the Lookthrough drop-down list the
results in the extraction are displayed by the components of the instrument.
In the example in figure 6-4, Instrument Type was selected as the extraction
criteria.
Figure 6-4 lookthrough extraction of a package
In the extraction, each position in the package is displayed according to the
extraction criteria.
Note: Positions split into components are not updated in real-time and cannot be
edited.
Note: Split positions are not aggregated with individual positions on the same
instrument.
An additional position, called Cash (Lookthrough) is also displayed in a section
called Commissions. This position represents the unrealised amount of the package
that is not listed with the instrument positions.
For example, in figure 6-4 the unrealised of the package is 2,259,432 and the
unrealised of the packages shares is 2,359,432. As a result, the Cash
(Lookthrough) shows an unrealised adjustment of -100,000.
Figure 6-5 shows the same extraction without lookthrough. This extraction only
shows one entry, in the Packages section, for the package itself.
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Figure 6-5 extraction of a package
Creating Package Lookthrough Extractions
Package lookthrough extractions are used to split recursive instruments, such as
packages in packages, to the first nested package level.
For example, a package lookthrough could be used on a portfolio containing a
futures contract on an index with two shares, as shown in figure 6-6:
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Figure 6-6 Extraction Example
To display an extraction of instruments to the package level, create a
package-lookthrough criteria-extraction with Instrument type defined as a
Criterion, as shown in figure 6-7.
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Figure 6-7 Extraction Criteria
This criteria produces the results shown in figure 6-8. The package is extracted, but
because this is a package lookthrough extraction, the results do not break down to
the underlying components of the index.
Figure 6-8 Extraction Results
Creating Full Lookthrough Extractions
Full lookthrough extractions split recursive instruments to the component level. For
example, a full lookthrough on the futures contract on an index with two shares
shown in figure 6-6 produces the results shown in figure 6-9. Because this is a full
lookthrough extraction, the results break down to the underlying components of the
index.
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Figure 6-9 Extraction Results
Creating Lookthrough Extractions on External Funds
Lookthrough extractions on external funds extract positions from the fund according
to the criteria defined in the Breakdown tab of the Edition window of the fund. The
extractions are broken down either by Instrument List (Bottom-Up) or Per
Criterion (Top-Down). For more information about the Breakdown tab, see
Editing Funds in the Instrument Reference Guide. The extraction replaces the asset
value of the fund when it was booked with the breakdown criteria of fund.
Bottom-Up Lookthrough Extractions
Bottom-up breakdowns for funds extract positions based on instrument type. The
instruments used are defined in the Breakdown tab of the Edition dialog of the
fund, as shown in figure 6-10. You can drag and drop commissions into the
Instruments list in addition to your fund shares. The fund breakdown shown in
figure 6-10 contains three shares and three commissions.
Note: The NAV weight column does not have to be equal to 100. The weights are
relative.
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Figure 6-10 Breakdown tab of the edition window
The extraction checks if each instrument of the fund meets the extraction criteria.
The NAV used in the extraction is determined by the deals on the fund booked in the
entry point portfolios, for example, the deal shown in figure 6-11.
Figure 6-11 Fund Deal for Bottom-Up Extraction
The lookthrough extraction calculates a NAV per criteria, and the number of shares is
derived from the NAV based on the last price saved for the instruments. For
example, an extraction based on geographic area for the deal shown in figure 6-11
generates the extraction shown in figure 6-12.
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Figure 6-12 Bottom-up extraction based on currency
The extraction in the example shows the components of the fund broken down by
geographic area. The asset value is shown in the currency of the fund, with
adjustments for forex rates if applicable. The cash line reflects an adjustment to the
P&L columns based on the Result of the original fund deal.
In this example, the Result of the fund deal in figure 6-11 was 7,500. The Asset
Value of the fund lookthrough was 50,000, resulting in a cash line GBP Cash
(Lookthrough) balance of 57,500. The Number of Securities column is derived
by dividing the Asset Value by the last price.
Top-Down Lookthrough Extractions
Top-down extractions reflect the criteria specified in the Breakdown tab of the
Edition dialog of the fund. The top-down breakdown for a fund is defined by
selecting Per Criterion (Top-Down). Figure 6-13 shows a top-down extraction
with currency as the first criteria.
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Figure 6-13 Top-down breakdown in fund edition dialog
Figure 6-14 shows a deal booked on the fund defined in figure 6-13:
Figure 6-14 Fund Deal for Top-Down Extraction
The extraction looks for its extraction criteria based on the values defined in the
Breakdown tab of the Edition dialog. The extraction criteria are displayed as
positions, as shown in figure 6-15.
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Figure 6-15 Top-down extraction based on currency
Managing Bucket Extractions
This section describes bucket extractions. Buckets enable you to further group the
results of criteria extractions. To use buckets you must define a bucket set and
associate it with a bucketed criterion. This section contains the following:
Defining a Bucket Set on page 139
Defining Bucket Criteria on page 144
Applying Bucket Criteria on page 144
Defining a Bucket Set
A bucket set is a list of buckets. Buckets further group positions within a criterion
and are particularly useful for criteria that can have a large number of values, such
as criteria that produce a date. A bucket can include intervals or points. Positions
extracted by the criterion that do not fall within a bucket are displayed in an N/A
folder.
Defined bucket sets are displayed in the Bucket Sets window. To display the Bucket
Sets window, click the Bucket Sets command on the Data menu.
Bucket sets are created using the Bucket Set Creation dialog box. Figure 6-16
shows the Bucket Set Creation dialog box:
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Figure 6-16 Bucket Set Creation dialog box
Table 6-5 describes the controls of the Bucket Set Creation dialog box:
Table 6-5 Controls of the Bucket Set Creation Dialog Box (Sheet 1 of 2)
Name Description
Name Defines the name of the bucket set.
Model Defines the type of the criteria affected by the buckets of the
set. The following options are available:
Date the bucket set can be applied to date criteria.
Default the bucket set can be applied to all criteria.
Third Party the bucket set can be applied to third party
criteria.
Year Count the bucket set can be applied to length of
time criteria such as Duration and Maturity.
Buckets Lists the buckets of the set.
Up Increases the priority of the selected bucket.
Down Decreases the priority of the selected bucket.
Add slices Opens the Slicer dialog box. For more information, see Bucket
Slicer on page 142.
Create Opens the Bucket Creation dialog box. For more information,
see Bucket Creation on page 141.
Edit Opens the Bucket Edition dialog box enabling you to modify
the selected bucket.
Delete Deletes the selected bucket from the set.
Save Saves the bucket set.
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To create a new bucket set, do the following:
1 Click the Bucket Sets command on the Data menu.
The Bucket Sets window is displayed.
2 Click the New button.
3 The Bucket Set Creation dialog box is displayed.
Figure 6-16 shows the Bucket Set Creation dialog box.
4 Enter a name for the set in the Name text box.
5 Select a model from the Model drop-down list.
6 Create buckets using the Bucket Creation or Slicer dialog boxes. For more
information, see Bucket Creation on page 141 and Bucket Slicer on
page 142.
Bucket Creation
The Bucket Creation dialog box enables you to manually create buckets.
Figure 6-17 shows the Bucket Creation dialog box:
Figure 6-17 Bucket creation dialog box
Table 6-6 describes the controls of the Bucket Set Creation dialog box:
Cancel Closes the Bucket Set Creation dialog box without saving any
changes.
Table 6-5 Controls of the Bucket Set Creation Dialog Box (Sheet 2 of 2)
Name Description
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Bucket Slicer
The Slicer dialog box enables you to generate several buckets by adding slices.
Multiple mono-interval buckets are generated.
Figure 6-18 shows the Slicer dialog box:
Figure 6-18 Slicer dialog box
Table 6-7 describes the controls of the Slicer dialog box:
Table 6-6 Controls of the Bucket Creation Dialog Box
Name Description
Intervals Lists the intervals of the bucket.
Custom name Defines the name of the bucket. This is the name of the folder
displayed in the extraction. If a name is not defined, RISQUE
creates a name for the bucket based on its values.
Add Single
Value
Defines a single value bucket.
Add Adds the specified single value bucket.
Add Interval Defines the parameters of an interval bucket. You can define the
start and end values of the interval with a specific value or as
infinity. You can choose to exclude these specified values from
the interval.
Note: You cannot create interval buckets for Third Party
bucket sets.
Add Adds the specified interval bucket.
Table 6-7 Controls of the Slicer Dialog Box (Sheet 1 of 2)
Name Description
Boundaries Defines the values of the borders of the interval.
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Figure 6-19 shows an example configuration in the Slicer dialog box:
Figure 6-19 Slicer dialog box
The configuration shown in figure 6-18 generates the following buckets:
[1;50[ represents the range >= 1, < 50.
[50;100[ represents the range >= 50, < 100.
50 is included in the bucket and 100 is excluded.
If the Finite Min and Finite Max check boxes are not selected, the following
intervals are generated:
]- ;1[
[1;50[
[50;100[
[100;+ [
Finite Min Specifies that the minimum value entered is the lowest valid
value of the bucket. If this check box is not selected, the lowest
valid value of the bucket is - .
Finite Max Specifies that the maximum value entered is the highest valid
value of the bucket. If this check box is not selected, the highest
valid value of the bucket is + .
Slices
orientation
Specifies which values are excluded from the interval. The
following options are available:
[[ the first value specified by the interval is included.
The second value is excluded.
]] the first value specified by the interval is excluded.
The second value is included.
Table 6-7 Controls of the Slicer Dialog Box (Sheet 2 of 2)
Name Description

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Defining Bucket Criteria
Bucket criteria enable you to specify which bucket set is applied to which criteria
when performing a criteria extraction. Bucket criteria are defined in the Bucket
Criteria Creation dialog box. Figure 6-20 shows the Bucket Criterion Creation
dialog box:
Figure 6-20 Bucket Criteria Creation dialog box
Table 6-8 describes the controls of the Bucket Criterion Creation dialog box:
Applying Bucket Criteria
To apply a bucket criteria to an extraction, do the following:
1 Create a criteria extraction. For more information about criteria extractions,
see Managing Criteria Extractions on page 126.
2 Select the defined bucket criterion as one of the criteria in the Criterion list
box in the Criteria for Extraction dialog box.
Table 6-8 Controls of the Bucket Criterion Creation Dialog Box
Name Description
Name Defines the name of the bucket criterion.
Bucket Set Defines the bucket set associated with the bucket criterion.
Criterion Defines the criterion that the bucket criterion filters.
Match Type Specifies if a position that matches more than one bucket is
displayed more than once in the extraction. The following
options are available:
First Match Only positions that match more than one
bucket are only displayed in the bucket listed first in the
Intervals or Boundaries list box.
All Matches positions that match more than one
bucket are displayed in all of those buckets. The P&L of
the position is counted each time and, as a result, the P&L
of the extraction is incorrect.
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Managing SQL Filter Extractions
This section describes how to create extractions based on SQL queries. You can
create Manual or Dynamic SQL extractions. This section contains the following:
Manual SQL Extractions on page 145
Dynamic SQL Extractions on page 147
Note: You can also use the Dynamic method to create the template for a Manual
query. To edit the Dynamic query generated by the Query Builder, change the
Filter drop-down list on the Extraction Properties dialog box from Dynamic to
Manual.
Manual SQL Extractions
You can enter SQL queries in the SQL Filter text box of the Extraction Properties
dialog box to create SQL filter extractions. The queries are executed on the
HISTOMVTS table by default. You can filter any field in this table. You do not have to
enter a Select From string but just the where clause of the SQL query.
For example, instead of entering select * from HISTOMVTS where sicovam =
67512453, you only need to enter sicovam = 67512453.
Figure 6-21 shows this example:
Figure 6-21 SQL Extraction Criteria
Referencing the Database Table
If you reference the HISTOMVTS table explicitly in your query, you must write it in
uppercase. Otherwise, RISQUE reads from the table alias, which is named in
lowercase.
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For example, to define an extraction query to display all positions except share
positions in the portfolio referenced as 32567, create the filter with HISTOMVTS in
uppercase, as shown in figure 6-22:
Figure 6-22 valid filter with uppercase reference
This filter results in the following query:
The only situation where you should use lowercase histomvts is to use the alias to
reference columns in the table.
For example, you can define a query to exclude the positions referenced in the
previous example, as shown in figure 6-23:
select * from histomvts h where sicovam not in (select sicovam from
HISTOMVTS histo, titres tit where tit.sicovam = histo.sicovam and
histo.opcvm = 32567 and tit.type = 'A')
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Figure 6-23 valid filter with lowercase reference
This filter results in the following query:
Dynamic SQL Extractions
This section describes how to define SQL extractions using the Query Builder. The
Query Builder enables you to define a SQL query using predefined templates and a
selection of variables without having in-depth SQL knowledge. This section contains
the following:
Displaying the Query Builder on page 147
Query Builder Variables on page 148
Query Builder Operators on page 150
Query Builder Selectors on page 151
Creating Queries on page 152
Displaying the Query Builder
To open the Query Builder, do the following:
1 Select the Dynamic value from the Filter drop-down list in the Extraction
Properties dialog.
2 Click the button next to the Filter drop-down list.
The Query Builder dialog box is displayed. Figure 6-24 shows the Query
Builder dialog box:
select * from histomvts h where not exists (select 'X' from titres tit
where tit.sicovam = h.sicovam and h.opcvm = 32567 and tit.type = 'A')
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Figure 6-24 Query Builder
Table 6-9 describes the columns of the Configuration Builder dialog box:
Query Builder Variables
Variables are added to the Query Builder using the Configuration selection
dialog box. For more information about creating queries, see Creating Queries on
page 152. Table 6-10 describes the Query Builder variables:
Table 6-9 Columns of the Configuration Builder dialog box
Name Description
Name Displays the name of the variable.
Operator Displays the operator on the variable value. For more
information, see Query Builder Operators on page 150
Value Displays the value assigned to the variable.
Table 6-10 Query Builder Variables (Sheet 1 of 3)
Name Description Operator Selector
Book Name The name of the portfolio, as stored in
FOLIO.NAME.
Text type No
Broker The name of the broker, as stored in
HISTOMVTS.COURTIER.
Text type Yes
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Business Event The business event of the deal, as
stored in BUSINESS_EVENTS.TYPE.
Text type Yes
Counterparty The counterparty of the deal, as stored
in HISTOMVTS.CONTREPARTIE.
Text type Yes
Counterparty2 The second counterparty of the deal, as
stored in HISTOMVTS.CONTREPARTIE2.
Text type Yes
Coupon Date The coupon date, as stored in
HISTOMVTS.DATECOUPON.
Numeric type Yes
Depositary The depositary of the deal, as stored in
HISTOMVTS.DEPOSITAIRE.
Text type Yes
Entity The entity of the deal, as stored in
HISTOMVTS.ENTITE.
Text type Yes
Entry Date The entry date, as stored in
HISTOMVTS.DATECOMPTABLE.
Numeric type Yes
Instrument Code The sicovam of the instrument. Limited text
type. Only the
in and not in
operators are
available.
No
Instrument Mnemo The mnemo of the instrument, as
stored in TITRES.MNEMO.
Text type No
Instrument Name The name of the instrument, as stored
in TITRES.LIBELLE field.
Text type No
Instrument Reference The reference of the instrument, as
stored in TITRES.REFERENCE.
Text type No
Instrument Type The instrument type, as stored in
TITRES.TYPE.
Text type No
Issuer The name of the issuer, as stored in
TITRES.CODE_EMET.
Text type No
Maturity The maturity, as stored in
TITRES.FINPER.
Numeric type Yes
Nb of Securities The number of securities in the deal, as
stored in QUANTITE column.
Numeric type No
Nominal of the Deal The nominal of the deal, as stored in
HISTOMVTS.MONTANT.
Numeric type No
Payment Currency The name of the payment currency. Text type Yes
Payment Date The date of payment, as stored in
HISTOMVTS.DATEVAL.
Numeric type Yes
Security Currency The currency of the instrument. Text type Yes
Table 6-10 Query Builder Variables (Sheet 2 of 3)
Name Description Operator Selector
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For more information about operators and selectors, see and Query Builder
Operators on page 150 and Query Builder Selectors on page 151.
Query Builder Operators
Operators are used in the Query Builder to set the value of variables. For more
information about creating queries, see Creating Queries on page 152. The
following types of operators are available:
Numeric types:
- = equal to a value
- < less than a value
- <= less than or equal to a value
- > greater than a value
- >= greater than or equal to a value
- <...< defines a range of values, greater than X and less than Y. For
example:
((DATECOUPON>to_date('02/07/2007', 'DD-MM-YYYY')) and
(DATECOUPON<to_date('06/07/2007', 'DD-MM-YYYY')))
- <=...< defines a range of values, greater than or equal to X and less
than Y. For example:
((DATECOUPON>=to_date('02/07/2007', 'DD-MM-YYYY')) and
(DATECOUPON<to_date('06/07/2007', 'DD-MM-YYYY')))
- <...<= defines a range of values, greater than X and less than or
equal to Y. For example:
((DATECOUPON>to_date('02/07/2007', 'DD-MM-YYYY')) and
(DATECOUPON<=to_date('06/07/2007', 'DD-MM-YYYY')))
- <=...<= defines a range of values, greater than or equal to X and less
than or equal to Y. For example:
((DATECOUPON>=to_date('02/07/2007', 'DD-MM-YYYY')) and
(DATECOUPON<=to_date('06/07/2007', 'DD-MM-YYYY')))
Important: The values defined in a range must be separated by semi-colons.
Text types defined according to lists, as follows:
Settlement Date The delivery date, as stored in
HISTOMVTS.DELIVER_DATE
Numeric type Yes
Status The status of the position, as stored in
KERNEL_STATUS.
Text type Yes
Trade Date The date of the deal, as stored in
HISTOMVTS.DATENEG.
Numeric type Yes
Table 6-10 Query Builder Variables (Sheet 3 of 3)
Name Description Operator Selector
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- in specifies a number of criteria from a list. For example:
(COURTIER in (select IDENT from TIERS where NAME in ('ABN
AMRO','AXA INVESTMENT MANAGERS','Barclays Bank Plc (Londres)')))
- not in specifies that the value is not in the supplied list. For example:
(COURTIER not in (select IDENT from TIERS where NAME in ('ABN
AMRO','AXA INVESTMENT MANAGERS','Barclays Bank Plc (Londres)')))
- like specifies that the value contains the supplied characters. If you
define the value as TH, the query is defined with %TH%. For example:
(COURTIER in (select IDENT from TIERS where NAME like '%TH%'))
Query Builder Selectors
The Query Builder provides selector functionality for third party, currency, date,
business event, and status variables. Selectors enable you to quickly set the value of
a variable. To open a selector, click the button next to the Value field. The selector
windows display the possible values for the selected variable.
Figure 6-25 shows the calendar selector:
Figure 6-25 calendar selector
Figure 6-26 shows the third party selector:
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Figure 6-26 third party selector
Creating Queries
To create an SQL query for an extraction using the Query Builder, do the following:
1 Click the Edit Template button on the Query Builder dialog box. For more
information about the Query Builder dialog box, see Displaying the Query
Builder on page 147.
The Configuration selection dialog box is displayed. Figure 6-27 shows
the Configuration selection dialog box:
Figure 6-27 Configuration selection dialog box
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2 Select the variables you want to include in the query and click the OK
button.
To save this selection as a template, enter a name in the Configuration set
drop-down list before clicking the OK button. This saves the current
configuration for future use.
Note: Saved configuration sets are available to all users of the database.
The Query Builder dialog box lists the selected variables. Figure 6-28
shows the Query Builder dialog box with variables:
Figure 6-28 Query Builder dialog box
3 For each variable set the Operator and Value values. For more
information, see Query Builder Operators on page 150.
Note: If the selector button is displayed for a variable you can use a selector
to define the value of the variable. For more information, see Query Builder
Selectors on page 151.
Figure 6-29 shows example variables and their values:
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Figure 6-29 Query Builder dialog box
4 Click the OK button.
The SQL Filter text box of the Extraction Properties dialog is populated
with the SQL query based on the values specified in the Query Builder
dialog box. Figure 6-30 shows the Extraction Properties dialog with a
Query Builder query:
Figure 6-30 Extraction Properties dialog with Query Builder query
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Managing Pivot Extractions
This section describes pivot extractions. Pivot extractions enable you to define
extractions according to pairs of criteria. This section contains the following:
Configuring Pivot Extractions on page 155
Displaying Two Criteria Extractions on page 158
Displaying Three Criteria Extractions on page 161
Configuring Pivot Extractions
Pivot extractions are defined in the Create Pivot Extraction dialog box. To open the
Create Pivot Extraction dialog box, click the Pivot Extraction command on the
Portfolios menu and press the New button. Figure 6-31 shows the Create Pivot
Extraction dialog box:
Figure 6-31 Pivot Extraction dialog
Table 6-11 describes the controls of the Create Pivot Extraction dialog box:
Table 6-11 Pivot Extraction Controls (Sheet 1 of 3)
Name Description
Name Defines the unique name of the pivot extraction.
First Criterion Defines the first criterion. For more information about the
available criteria, Pivot Extraction Criteria on page 157.
This is represented as the X-axis.
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Second Criterion Defines the second criterion. For more information about the
available criteria, Pivot Extraction Criteria on
page 157. This is represented as the Y-axis.
Use a third
criterion
Specifies if a third criterion is used by the extraction.
Third Criterion Defines the third criterion. This field is only enabled if the
Use a Third Criterion check box is selected. For more
information about the available criteria, Pivot Extraction
Criteria on page 157. This is represented as the Z-axis.
Entry Points Defines the entry point portfolios of the extraction.
Build Y
consolidation
extraction
Builds an optional Y secondary extraction, used to fill the Y
consolidation column. That is, results for the different Y
values independent of an X value.
If a third criterion is specified, this field changes to Build YZ
consolidation extraction. This builds an optional YZ
secondary extraction, used to fill the Y consolidation
columns. That is, results for the different Y values
independent of any X value, but dependent on the Z value
currently selected.
Build ZX
consolidation
extraction
Builds an optional ZX secondary extraction, used to fill the X
consolidation lines. That is, the results for the different X
values independent of any Y value but dependent on the Z
value currently selected. This check box is only available If a
third criterion is specified.
Remove N/A
Folders
Specifies if folders that do not contain relevant positions are
included in the extraction. The following options are
available:
Selected the extraction includes only folders that
contain relevant positions.
Cleared the extraction includes folders that do not
contain relevant positions.
Keep Position Ident Specifies if all lines in the extraction that come from the
same position are displayed with the identifier of the
position. The following options are available:
Selected all lines in the extraction that come from
the same position are displayed with the identifier of the
position.
Cleared lines are split in the extraction.
Note: The External reference and the User Comments
are available on any position in the extraction by
right-clicking on the position.
Table 6-11 Pivot Extraction Controls (Sheet 2 of 3)
Name Description
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Pivot Extraction Criteria
The following criteria are available for pivot extractions:
Allotment
Broker
Business Event
Convention
Counterparty
Currency
Depositary
Include Unloaded
Positions
Specifies if positions are included in the extraction even if
they have not been loaded. The following options are
available:
Selected the extraction includes positions in the
extraction even if they have not been loaded. If this
check box is selected, you can perform the extraction by
double-clicking on it in the Extractions list before you
have clicked Open from the Portfolio menu or pressed
the F7 key. However, you must load the portfolio to
launch extractions from the Extraction dialog.
Cleared the extraction does not include positions
that have not been loaded.
Note: Some criteria, such as Duration, Market
Capitalization, Liquidity Risk, Gross Long Position,
External Fund Strategy, Expected Volatility, and
Expected Return, are calculated in the portfolio when
an extraction is performed. Therefore, before the
portfolio is reported (F8), they cannot be used as
criteria with the Include Unloaded Positions check
box selected.
Lookthrough Specifies if the extraction is a lookthrough extraction. Set
this to one of the following:
None no lookthrough is performed.
Forex lookthrough is performed on forex spot,
forex forward, and non-deliverable forex forward.
Package lookthrough is performed on packages
and forex.
Full lookthrough is performed on all instruments.
For more information, see Managing Lookthrough
Extractions on page 129.
Save Saves the pivot extraction.
Launch Performs the extraction.
Table 6-11 Pivot Extraction Controls (Sheet 3 of 3)
Name Description
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Duration
Entity
Expiry Date
Instrument Type
Issuer
Issuer Sector
Issuer and Counterparty
Market
Maturity
Negotiation Date
Operator
Place
Portfolio
Rating
Sector
Value Date
Note: Both Issuer Sector and Rating can have many entries, depending on how
many are defined in your database.
Displaying Two Criteria Extractions
To display a pivot extraction based on two criteria, do the following:
1 Click the Pivot Extraction command on the Portfolios menu.
The Pivot Extraction list window is displayed.
2 Click the New button.
The Create Pivot Extraction dialog box is displayed.
3 Enter a name for the extraction in the Name text box.
4 Select the first cirterion from the First Criterion drop-down list.
5 Select the second cirterion from the Second Criterion drop-down list.
6 Enter the portfolio entry points of the extraction in the Entry points list
box.
You can select portfolios from the drop-down lists or drag-and-drop them
from the Portfolio window.
7 Select the required check boxes.
8 Click the Launch button.
9 The Pivot Extraction window is displayed.
The retrieved items for the first criterion are displayed as columns and the
second criterion as rows. The value shown in each cell is the first value
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selected in the Configuration dialog box. Cells that do not satisfy the
defined criteria are empty.
In the example shown in figure 6-32, the first criterion is Instrument Type and the
second is Counterparty. The first value selected in the Configuration dialog box is
Result.
Figure 6-32 Pivot extraction example
To display all of the values selected in the Configuration dialog box, left-click on a
populated cell.
You can launch three types of extractions from the Pivot Extraction window. For
more information, see the following:
Viewing Cell Extractions on page 159
Viewing Column Extractions on page 160
Viewing Primary Extractions on page 161
Viewing Cell Extractions
To display a cell extraction window, right-click on the cell in the Pivot Extraction
window and click the View cell extraction results command on the context menu.
This extraction displays all of the positions that make up that cell. For example, if
you select the Shares/Counterparty 1 cell in the pivot extraction shown in
figure 6-32, all of the positions on shares with counterparty 1 are displayed in the
extraction window. Figure 6-33 shows this extraction:
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Figure 6-33 cell extraction
Viewing Column Extractions
To display a column extraction window, right-click on a cell in the column in the
Pivot Extraction window and click the View column extraction results command
on the context menu. This extraction displays all of the positions that make up that
column. For example, if you select the Shares/Counterparty 1 cell in the pivot
extraction shown in figure 6-32, all of the positions on shares are displayed in the
extraction window grouped by counterparty. Figure 6-34 shows this extraction:
Figure 6-34 column extraction
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Viewing Primary Extractions
To display a primary extraction window, right-click on a cell in the Pivot Extraction
window and click the View primary extraction command on the context menu.
This extraction displays all of the positions of the pivot extraction. The positions are
grouped by the first criterion and then by the second criterion. For example, if you
select a cell in the pivot extraction shown in figure 6-32, all of the positions of the
extraction are displayed in the extraction window grouped by Instrument Type and
then Counterparty. Figure 6-35 shows this extraction:
Figure 6-35 primary extraction
Displaying Three Criteria Extractions
To display a pivot extraction based on three criteria, do the following:
1 Click the Pivot Extraction command on the Portfolios menu.
The Pivot Extraction list window is displayed.
2 Click the New button.
The Create Pivot Extraction dialog box is displayed.
3 Enter a name for the extraction in the Name text box.
4 Select the first cirterion from the First Criterion drop-down list.
5 Select the second cirterion from the Second Criterion drop-down list.
6 Select the Use a third criterion check box.
7 Select the third cirterion from the Third Criterion drop-down list.
8 Enter the portfolio entry points of the extraction in the Entry points list
box.
You can select portfolios from the drop-down lists or drag-and-drop them
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from the Portfolio window.
9 Select the required check boxes.
10 Click the Launch button.
11 The Pivot Extraction window is displayed.
The retrieved items for the first criterion are displayed as columns and the
second criterion as rows. The value shown in each cell is the first value
selected in the Configuration dialog box. A toolbar is displayed enabling
you to filter by the third criterion. Cells that do not satisfy the defined
criteria are empty.
Linking Positions
This section describes position linking. Position linking enables you to link related
positions and perform extractions based on these links. This section contains the
following:
Defining Position Links on page 162
Merging Position Links on page 163
Deleting Position Links on page 163
Displaying Position Link Extractions on page 163
Defining Position Links
To define a position link, do the following:
1 Right-click on a position in the Portfolio window and click the Positions
Link: Add command on the context menu.
The Position Link dialog box is displayed. Figure 6-36 shows the Position
Link dialog box:
Figure 6-36 Position Link dialog box
2 Enter a name for the new Position Link and click the OK button.
The name of the Position Link is displayed in the Position Link Name
column in the Portfolio window.
3 To add more positions to an existing position link definition, select the same
position link name for each from the drop-down list in the Position Link
dialog box.
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Note: You can also select multiple positions simultaneously and add them to an
existing link by merging them. For more information, seeMerging Position Links on
page 163.
Merging Position Links
Position-link merging enables you to add multiple positions to a selected position link
simultaneously. To merge positions links, do the following:
1 Select a position which is part of a position link.
2 Select the other positions while holding Ctrl.
3 Right-click on one of the selected positions and click the Position Link:
Merge command on the context menu.
The selected positions are added to the position link of the position selected
in step 1.
Deleting Position Links
To remove a position from a link, do the following:
Right-click on the position and click the Position Link: Undo command on
the context menu.
The position is removed from the position link.
Displaying Position Link Extractions
To view all linked positions, do the following:
Right-click on a position that belongs to the position link and click the
Position Link: Show command on the context menu.
The extraction window is displayed showing all of the positions linked with
the selected position.
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Chapter 7 Fund Alerts
Within RISQUE you can display information messages called alerts. An alert is an
event that represents activity that may require attention by the trader. These events
could be alerts for automatic tickets on positions, alerts on funds, or alerts created
by a trader.
Alerts are displayed in Alert window, portfolio extractions, and also in the alert
counter. These are described in the following sections:
The Alert Window on page 165
Alerts in Portfolio Extractions on page 169
The Alert Window
To view the Alert window, choose Alerts from the Fund Admin menu. The Alert
window is shown in figure 7-1.
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Figure 7-1 The Alert window.
The Alert window displays all events that may require attention by RISQUE users.
Depending on the severity of the alert, alerts are displayed as either Low, Medium,
High, or Blocking. To can choose to show only certain alert levels by clicking the
Filter toolbar button.
The Alert window shows four different types of alerts. These alerts are described as
follows:
Alert Book Displays the alerts that have been generated in the Alert
Book. These alerts are generated when the forecasts have been run for
your portfolio. These alerts are always displayed as Medium. The displayed
categories are the same as those in the Alert Book.
Note: If you have selected a folder in the Portfolio window when launching
the Alert window, only the Alert book alerts for that folder are displayed.
Funds Alerts Displays toolkit alerts for funds.
Global Alerts Displays global toolkit alerts.
User Alerts Displays the alerts that were created by a user. These alerts
are displayed for all users and are listed by the category specified when
defining the alert. The alert level for these alerts is also set when defining
the alert. See the Defining a User Alert section below.
To open the position for which an Alert Book alert is displayed, double-click the
relevant alert. To open the fund portfolio for which a Funds Indicator alert is
displayed, double-click the relevant alert.
To create a user alert, click Send an Alert. See Defining a User Alert on page 167.
To define the properties of the Alert Window, click Alert Sources Properties. See
Defining Alert Properties on page 167.
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Defining a User Alert
User defined alerts are alerts that are displayed for all RISQUE users. You define any
alert level or category for these alerts.
To define a create an alert, choose Send an alert from the Fund Admin menu. The
Alert writer dialog is displayed, as shown in figure 7-2.
Figure 7-2 The Alert writer dialog
Table 7-1 describes the fields in the Alert writer dialog.
Once you have defined the alert message and set the level and category, click Send
and close, this closes the dialog after the alert is sent. If you want to send another
alert, click Send, the dialog stays open so that you can define another alert.
Defining Alert Properties
You can choose to hide or display different types of alerts from both the Alert
window and the Alert Counter by defining the alert sources in the Alert Sources
Properties dialog. The Alert Counter is described in The Alert Counter on
page 168.
To open the Alert Sources Properties dialog, click Alert Sources Properties in
the Alert window. The Alert Sources Properties dialog is shown in figure 7-3.
Table 7-1 The fields of the Alert writer dialog.
Field Description
Message The message that is displayed in the Alert window.
Category The category in which the alert is displayed. Alerts are displayed
by category in the User Alerts section of the Alert window.
By default, Main is specified as the alert category but this can be
changed to any other relevant term.
Level The level at which the message will appear.
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Figure 7-3 The Alert Sources Properties Dialog
Table 7-2 describes the columns in the Alert Sources Properties dialog.
The Alert Counter
The Alerts counter is displayed at the bottom of main RISQUE window and shows
the number of alerts that have been sent for the current day. The counter displays
the number of blocking level alerts and a total of all alerts.
The number of alerts shown in the status counter are the same as those displayed in
the Alert window. You can display the Alert window by right-clicking the counter and
clicking the pop-up. For more information, see The Alert Window on page 165.
Table 7-2 Columns of the Alert Sources Properties Dialog
Field Description
Alert Source The source of the alert. You can define the properties for the
following sources:
Alert Book
Fund Alerts
Fund Indicators
Global Alerts
Lock-up alerts
User Alerts
Availability The display of alerts. You can choose one of the following
alert displays:
Available alerts are shown in the Alert window and
Alert Counter.
Not Available alerts are not shown in either the Alert
window or the Alert Counter.
Not in the status bar alerts are only shown in the
Alert window.
Critical Level The level at which the alerts are shown in the Alert window.
Status Bar Refresh
Period
The frequency with which alerts are refreshed in the Alert
Counter.
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The Alerts status counter is updated whenever you right-click the counter or
according to the value specified by the relevant value of the Status Bar Refresh
Period column of the Alert Sources Properties dialog. See Defining Alert
Properties on page 167.
Alerts in Portfolio Extractions
You can also view external fund alerts by creating a portfolio extraction. The portfolio
extraction will display only those positions in your portfolio that match the extraction
criteria.
To create an extraction that shows the alerts for external funds, create a portfolio
extraction with the following criteria:
Fund
Lock-up type
Lock-up Fee %
Locked Until
This criteria will display your positions by fund, lock-up type, fee %, and the lockup
period. This is shown in figure 7-4.
Figure 7-4 A portfolio extraction showing lock-up periods
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Chapter 8 P&L
This chapter explains the P&L and its attribution:
Mark P&L Rules on page 171
Freezing the P&L on page 178
Dynamic P&L Freeze on page 181
Displaying the Portfolio Result and its Breakdown on page 185
Result Variation on page 187
P&L Attribution on page 192
P&L Explanation on page 195
Result Variation Columns on page 197
For more information on the financial models behind the P&L, see the Sophis
Financial Model documentation.
Mark P&L Rules
You can define rules for the type of P&L pricing to use on deals which match
particular criteria in specific portfolios. These rules are defined in the Mark P&L
Configuration window, as shown in figure 8-1. To open the Mark P&L
Configuration window select Mark P&L Configuration from the Parameters
menu.
Figure 8-1 Mark P&L Rule Configuration window
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Table 8-1 describes the buttons of the Mark P&L Configuration window.
Table 8-2 describes the criteria for the rules.
Table 8-1 Mark P&L Configuration buttons.
Button Definition
Expand or collapse Rule Set.
Create new Rule Set.
Delete line
Priority down or up.
View previously deleted rules.
Insert Root Portfolio.
Table 8-2 Criteria for Mark P&L Rules
Criteria Definition
Pricing to Use The pricing to use on positions that match the criteria. The
following choices are available:
Theoretical
Last
Arbitrage
Portfolio The specific portfolio for which this rule applies.
Portfolio Id The identifier of the specific portfolio for which this rule
applies.
Portfolio Entity The entity of the specific portfolio for which this rule applies.
Market The market the deal is on.
Currency The currency the deal is in.
Instrument Type The type of instrument to which the rule applies. For more
information, see Instrument Types on page 173.
Instrument Feature 1 A sub-set of the instruments selected by Instrument Type.
For more information, see Instrument Features on page 175.
Instrument Feature 2 A sub-set of the instruments selected by Instrument Type
and Instrument Feature 1. For more information, see
Instrument Features on page 175.
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Instrument Types
Table 8-3 describes the instrument types that you can select from the Instrument
Type drop-down list.
Note You can modify Instrument Types using the RISQUE Toolkit.
Table 8-3 Instrument Types (Sheet 1 of 3)
Instrument Type Description
Any Type All instruments.
COM-Futures All commodity future instruments.
COM-Options-American All American commodity option instruments.
COM-Options-Asian All Asian commodity option instruments.
COM-Options-Futures-LME All commodity option instruments with a LME
future as the underlying.
COM-Options-Futures-Power All commodity option instruments with a power
future as the underlying.
COM-Options-Futures-
Standard
All commodity option instruments with a power
future as the underlying.
COM-Options-Index All commodity option instruments with an index
as the underlying.
COM-Options-Listed All listed commodity option instruments.
COM-Power-GRD-Options All GRD option instruments.
COM-Power-VPP-Options All VPP option instruments.
COM-Swaps-All All commodity swap instruments.
COM-Swaps-Basket MNP/Cash
Swap
All commodity basket and cash swap instruments.
COM-Swaps-Floating/Bullet
Swap
All floating/bullet commodity swap instruments.
COM-Swaps-Floating/Cash Swap All floating/cash commodity swap instruments.
COM-Swaps-Floating/Floating
Swap
All floating/floating commodity swap instruments.
Credit-All All credit swap instruments.
Credit-CDS-Basket All credit default swap basket instruments.
Credit-CDS-CDO All CDO credit default swap instruments.
Credit-CDS-Nth to default All Nth to default credit default swap instruments.
Credit-CDS-Single name All single name credit default swap instruments.
Credit-TRS All total return swap instruments with the Stop if
Default check box selected.
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EQU-Contracts for Difference All CFD instruments.
EQU-Futures All equity future instruments.
EQU-Options All option instruments with an equity or index as
the underlying.
EQU-Options-Listed All listed option instruments.
EQU-Shares All share instruments.
EQU-Stock Loans All stock loan instruments.
EQU-Swaps-All All equity swap instruments.
EQU-Swaps-Equity Swap Fixed
Index
All fixed index equity swap instruments.
EQU-Swaps-Equity Swap
Variable Index
All variable index equity swap instruments.
FI-Bond Option All bond option instruments.
FI-Bonds-All All bond instruments.
FI-Bonds-FRN All floating rate notes bond instruments.
FI-Bonds-Fixed All fixed bond instruments.
FI-Repo All repo instruments.
FX-Futures All forex future instruments.
FX-Options All forex option instruments.
FX-Spot FX All forex spot instruments.
Forex-All All forex instruments.
INF-Bonds-All All inflation bond instruments.
INF-Bonds-Caps & Floors All inflation bond cap or floor instruments.
INF-Bonds-Caps & Floors Digital All digital inflation bond cap or floor instruments.
INF-Swaps-All All inflation swap instruments.
INF-Swaps-Linked All linked inflation swap instruments.
INF-Swaps-Standard All standard inflation swap instruments.
IR-Caps & Floors All interest rate cap or floor instruments.
IR-Caps & Floors Digital All digital interest rate cap or floor instruments.
IR-Futures-All All interest rate futures.
IR-Futures-Bond All interest rate bond futures.
IR-Futures-Monetary All interest rate monetary futures.
IR-Swaps-All All interest rate swap instruments.
IR-Swaps-Asset Swap All asset interest rate swap instruments with the
Stop if Default check box not selected.
Table 8-3 Instrument Types (Sheet 2 of 3)
Instrument Type Description
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Instrument Features
Table 8-4 describes the instrument features that you can select from the
Instrument Feature drop-down list. Instrument Feature defines a sub-set of the
instruments selected by Instrument Type. For more information about instrument
types, see Instrument Types on page 173.
IR-Swaps-CIRS Fixed-Floating All CIRS fixed/floating interest rate swap
instruments.
IR-Swaps-CS Fixed-Fixed All CS fixed/fixed interest rate swap instruments.
IR-Swaps-Domestic Basis Swap All domestic basis interest rate swap instruments.
IR-Swaps-IRS All interest rate swap instruments.
IR-Swaps-Single legged All single leg interest rate swap instruments.
IR-Swaps-X CCY Basis Swap All cross currency basis interest rate swap
instruments.
IR-Swaptions All interest rate swaption instruments.
Package All package instruments.
TREAS-Debt Instrument All debt instruments.
TREAS-Debt Instrument-Fixed
Rate
All fixed rate debt instruments.
TREAS-Debt Instrument-Floating
Rate
All floating rate debt instruments.
TREAS-FRA All forward rate agreement instruments.
Table 8-4 Instrument Features (Sheet 1 of 3)
Instrument Feature Description
Amortizing-No All instruments of the specified type without
amortization.
Amortizing-Yes All instruments of the specified type with
amortization.
Any Feature All instruments of the specified type.
Average-Average index All instruments of the specified type with an index
average defined.
Average-Average strike All instruments of the specified type with a strike
average defined.
Table 8-3 Instrument Types (Sheet 3 of 3)
Instrument Type Description
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Average-No average All instruments of the specified type with no
average defined.
Barrier-Double All double barrier option instruments of the
specified type.
Barrier-None All instruments of the specified type with no
defined barriers.
Barrier-Single All single barrier option instruments of the
specified type.
Bond Callable All instruments of the specified type with the
model set to Callable Bond.
Cancelable Swap All instruments of the specified type with the
Cancelable check box selected.
Convexity-CMS All instruments of the specified type with CMS
convexity.
Convexity-In Arrears All instruments of the specified type with in
arrears convexity.
Convexity-None All instruments of the specified type with no
convexity defined.
Convexity-Quanto All instruments of the specified type with quanto
convexity.
Correlation Swap All instruments of the specified type with the
model set to Correlation Swap.
Option Style-American All instruments of the specified type defined with
the American exercise style.
Option Style-Bermudan All instruments of the specified type defined with
the Bermudan exercise style.
Option Style-European All instruments of the specified type defined with
the European exercise style.
Underlying-Basket All instruments of the specified type with a basket
as the underlying.
Underlying-Index All instruments of the specified type with an index
as the underlying.
Underlying-One All instruments of the specified type with one
underlying.
Underlying-Two All instruments of the specified type with two
underlyings.
Vanila All instruments of the specified type with no
convexity, no barrier, no path dependency, and no
average.
Table 8-4 Instrument Features (Sheet 2 of 3)
Instrument Feature Description
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Creating a Rule Set
To create a rule set, do the following:
1 Open the Mark P&L Configuration window from the Parameters menu.
2 Click the New button to create a new rule set.
The naming dialog opens.
3 Enter a name and a comment and click OK.
4 This creates the Rule Set with a nested container named Version Currently
Used.
5 To add rules to the rule set, drag the portfolio you want to create the rule for and
drop it on the Version Currently Used line.
This creates a rule with the same name as the porfolio you dragged across and
populates the portfolio columns.
6 Define the Currency and the Market of the rule from the drop-down lists.
7 Specify the Pricing To Use.
8 Save the rule.
9 Repeat as many times as necessary.
Deals that match the criteria specified are marked with specific icons in portfolios to
display what type of pricing is used during the reporting.
Variance Swap All instruments of the specified type defined with
the Variance Swap model.
Volatility Swap All instruments of the specified type defined with
the Volatility Swap model.
Table 8-5 Portfolio Pricing Icons.
Icon Description
Theoretical pricing used on this deal.
Last pricing used on this deal.
Table 8-4 Instrument Features (Sheet 3 of 3)
Instrument Feature Description
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Freezing the P&L
It is possible to store the portfolio P&L values for future comparison. These values
can either be stored to memory or saved to the database. A maximum of three
separate records of a portfolio's P&L can be saved to the database.
To freeze the current portfolio P&L data:
1 Click on the Freeze P&L button. The menu allows you to select either of the two
methods:
- Freeze P&L (memory)
- Freeze P&L (database)
If you choose to save the data to the database, the Freeze P&L Records dialog
is displayed.
Figure 8-2 Freeze P&L Records dialog.
2 The Freeze P&L Records dialog allows you to provide a description for the P&L
record you wish to save.
Arbitrage pricing used on this deal.
Table 8-6 Freeze P&L description.
Field Description
Name Name of the frozen P&L record.
Description Description of the frozen P&L record.
Table 8-5 Portfolio Pricing Icons.
Icon Description
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The value '1' in Column signifies that the results of this frozen P&L record will be
displayed in the portfolio column group 'Result1'. A maximum of three records may
be saved and displayed in the portfolio column groups:
Result1
Result2
Result3
Changing the Frozen P&L Column Names
You can change the name of the P&L Freeze these columns by clicking Customize
column names in the Freeze P&L Records window. The Customize Freeze P&L
columns names dialog is displayed.
Figure 8-3 Customize Freeze P&L Column Names window.
The names of all the columns in this dialog can be modified by editing the name in
the Next Session Name column. These changes will take effect the next time you
start a RISQUE session
Displaying Frozen P&L Results in the Portfolio
For each result column group generated from a frozen P&L save, there are six
columns which may be displayed in the portfolio. These are described in table 8-7.
Column This value represents the column in which the frozen P&L data is
displayed.
Table 8-7 P&L Freeze Portfolio Columns
Column Description
Result1 freeze Frozen P&L value.
Result1 freeze currency folio Frozen P&L value converted into the root portfolio
currency.
Result1 freeze currency global Frozen P&L converted into the global currency.
Table 8-6 Freeze P&L description.
Field Description
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Any or all of these columns can be added to the Portfolio columns displayed, using
the Configuration button.
Freezing the P&L Using a Batch File
You can now freeze the P&L via the command line using a batch file by setting the
-SFreezePNL parameter.
When the batch file is run, the frozen P&L values will be saved and are displayed in
the Freeze P&L Records window the next time RISQUE is run.
To freeze the P&L for an extraction, add the following to your batch file:
-SFreezePNL: Extraction name:Description
where Extraction name is the extraction name as it appears in the Extraction List
dialog. If you do not specify an extraction name, the main P&L is frozen for all folders
in your root portfolio.
The extraction description, Description in the above example, will appear in the
Description field of the Freeze P&L Records window. If you do not define a
description, Freeze P&L Night Batch is displayed.
You can set the -SFreezePNL parameter any number of times within your batch file
and each instance will generate a new frozen P&L record. However, if you include the
-SFreezePNL parameter more than once for the same extraction, the extraction
results will be overwritten each time the parameter is run.
The parameter can be added to your batch file so that it appears as:
SphRISQUE.exe -Ddatabase_instance -Uusername -SFreezePNL:'Extraction
name1:Description1' -SFreezePNL:':Main extraction' -SFreezePNL:'Extraction
name2'
Result1 since freeze Difference between the current P&L value and the
frozen P&L value.
Result1 since freeze currency
folio
Difference between the current P&L value and the
frozen P&L value, converted into the root portfolio
currency.
Result1 since freeze currency
global
Difference between the current P&L value and the
frozen P&L value, converted in to the global
currency.
Table 8-7 P&L Freeze Portfolio Columns
Column Description
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Dynamic P&L Freeze
The dynamic P&L freeze allows you to calculate the P&L on dates in the past without
freezing the information first. This is done by defining parameters in the
[DynamicPnlFreeze] section of the risk.ini file using relative or absolute dates. For
more information on [DynamicPnlFreeze] section of the risk.ini file, see the
RISQUE Installation Guide.
When the dynamic P&L column configuration is loaded from the risk.ini file, the
configuration is written to the DYNAMIC_PNL_FREEZE_COLUMNS table and to all
users connected to the database.
Note The configuration of dynamic P&L columns are also included when importing and
exporting portfolio columns. See Importing and Exporting User Settings in the
RISQUE Administration Guide.
The example below shows the possible parameters of the dynamic P&L freeze
parameters of the following is an example of the [DynamicPnlFreeze] section of the
risk.ini file.
[DynamicPnlFreeze]
dynamicPnlFreeze.calendar = EUR/PARIS/MONEP
dynamicPnlFreeze.delimiter = /
dynamicPnlFreeze.count = 9
dynamicPnlFreeze_0.name = 01/07/07
dynamicPnlFreeze_0.fixedDate = 01/07/07
dynamicPnlFreeze_1.name = 4 days
dynamicPnlFreeze_1.offset = 4d
dynamicPnlFreeze_2.name = 1 week
dynamicPnlFreeze_2.offset = 1w
dynamicPnlFreeze_3.name = 1 month
dynamicPnlFreeze_3.offset = 1m
dynamicPnlFreeze_4.name = WTD
dynamicPnlFreeze_4.offset = 1W
dynamicPnlFreeze_5.name = MTD
dynamicPnlFreeze_5.offset = 1M
dynamicPnlFreeze_6.name = YTD
dynamicPnlFreeze_6.offset = 1Y
dynamicPnlFreeze_7.name = Quarterly
dynamicPnlFreeze_7.offset = 1Q
dynamicPnlFreeze_8.name = quarter
dynamicPnlFreeze_8.offset = 1q
The parameters of the above code sample are described in table 8-8. The .name
parameter defines the name as it will appear in the portfolio column. For example,
the Accrued Amount column is displayed as Accrued Amount (4 days) for the
dynamicPnlFreeze_1.name = 4 days parameter. The .offset parameter defines the
date for which the dynamic P&L is frozen.
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Note If you have made changes to the historical price of a position in your portfolio you
must recalculate the P&L for your dynamically frozen columns. To do this, choose
Reset Dynamic P&L Freeze from the Portfolios menu.
Each dynamic P&L freeze setting creates a new portfolio column configuration group
that contain a number of columns that display P&L information for the specified date.
These columns are described in table 8-9.
Table 8-8 Dynamic P&L Parameters
Parameter Type Description
Absolute Date Freezes the P&L for an exact date. This is defined as
dynamicPnlFreeze_x.fixedDate = DD/MM/YY.
In the above example this is defined as:
dynamicPnlFreeze_0.name = 01/07/07
dynamicPnlFreeze_0.fixedDate = 01/07/07
Relative Date Freezes the P&L for a relative date. You can define the relative
date using d, w, m, y, or q. This is defined as
dynamicPnlFreeze_x.offset = relative date. For example,
dynamicPnlFreeze_4.offset = 1m freezes the P&L for a day
exactly one month before the current date.
In the above example, this parameter is defined as:
dynamicPnlFreeze_1.offset = 4d
dynamicPnlFreeze_2.offset = 1w
dynamicPnlFreeze_3.offset = 1m
dynamicPnlFreeze_8.offset = 1q
To specify that the relative date only aplies to business, add
the following entry:
dynamicPnlFreeze_x.inBusinessDays = true
To specify thet the relative date only aplies to all calendar
dates, set this entry to false.
The calendar used for freezing the P&L is set by the
DYNAMIC_PNL_FREEZE_CALENDAR global preference. See
the RISQUE Administration Guide.
Last Business Day Freezes the P&L for the last business day of a period. Periods
are defined as W for week, M for month, Q for quarter, and Y for
year. This is defined as dynamicPnlFreeze_x.offset =
period. For example, dynamicPnlFreeze_4.offset = 1W
freezes the last business day of the previous week.
In the above example, this parameter is defined as:
dynamicPnlFreeze_4.offset = 1W
dynamicPnlFreeze_5.offset = 1M
dynamicPnlFreeze_6.offset = 1Y
dynamicPnlFreeze_7.offset = 1Q
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Table 8-9 Dynamic P&L Columns (Sheet 1 of 2)
Information Type Dynamic P&L Columns
Accrued Accrued Amount
Accrued coupon
Acc. Amt. curr. folio
Acc. Amt. curr. glob.
Asset Value Asset Value
Asset val. curr. folio
Asset val. curr. glob.
Diff. Asset Value
Diff. Asset val. curr. folio
Diff. Asset val. curr. glob.
Average Price Average Price
Balance Balance
Balance curr. folio
Balance curr. glob.
Diff. Balance
Diff. Balance curr. portfolio
Diff. Balance curr. global
Broker Fees Broker Fees
Diff. Broker Fees
Commission Commission
Counterparty Fees Diff. Counterparty Fees
Day Result Result curr. portfolio
Result curr. global
Diff. Result curr. portfolio
Diff. Result curr. global
Dynamic P&L Dyn P&L date
Financing Financing
Diff. Financing
Financing curr. folio
Financing curr. glob.
FX Spot FX Spot
Income Income curr. folio
Income curr. glob.
Diff. Income
Diff. Income curr. portfolio
Diff. Income curr. global
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Last Price Last
Market fees Market fees
Diff. Market Fees
Nominal Amount Nominal
Nominal curr. portfolio
Nominal curr. global
Number of securities Number of securities
Diff. Number of securities
Realised Amount Realized
Realized long
Realized short
Realized curr. folio
Realized curr. global
Diff. Realized
Diff. Realized curr. folio
Diff. Realized curr. global
Diff. Realized long
Diff. Realized short
Result Result
Diff. Result
Theoretical Price Theoretical
Treasury Amount Treasury
Treasury curr. folio
Treasury curr. global
Diff. Treasury
Diff. Treasury curr. folio
Diff. Treasury curr. global
Unrealised Amount Unrealized
Unrealized curr. folio
Unrealized curr. global
Diff. Unrealized
Diff. Unrealized curr. folio
Diff. Unrealized curr. global
Valuation Valuation Type
Table 8-9 Dynamic P&L Columns (Sheet 2 of 2)
Information Type Dynamic P&L Columns
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Dynamic P&L for Alternate Business Week
Alternate business week formats, such as the Islamic week, are also supported for
dynamic P&L. By default, Monday is considered to be the first day of the week.
The database table DYNAMIC_PNL_CALENDAR_PARAM supports alternate business
weeks. Edit this table to establish days other than Monday as the first day of the
week for a currency in a given market.
Note The currency and market must already be defined in the database.
Table 8-10 describes the columns of the DYNAMIC_PNL_CALENDAR_PARAM table:
Example
Table 8-11 shows the settings for establishing Sunday as the first day of the week for
the dirham in the UAE market. This example assumes that 54875474 is the currency
code for dirham and 66876674 is the market code for the UAE market:
Displaying the Portfolio Result and its Breakdown
The Portfolio Result displays the breakdown of the yearly, monthly and daily P&L of
all locked portfolios into the following components:
Realised
Unrealised
Income
Treasury
Financing
Table 8-10 DYNAMIC_PNL_CALENDAR_PARAM table
Field Data Type Null Description
Currency NUMBER(10) No The currency.
Market NUMBER(10) No The market.
Weekday VARCHAR2(4
0)
No The first day of the business week.
Table 8-11 DYNAMIC_PNL_CALENDAR_PARAM table
Column Value
Currency 54875474
Market 66876674
Weekday sunday
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The corresponding columns are available from the column configuration panel in the
toolbar.
Yearly P&L This is calculated using the values since the last End of Year (EOY)
was calculated.
Monthly and Daily P&L These are calculated as the difference between the
displayed components and those stored in the HISTOPNL table during the last
End Of Day (EOD) procedure.
- The Daily P&L is calculated with respect to the preceding EOD date.
- The Monthly P&L is calculated with respect to the last day of the preceding
month when an EOD was run.
To view the portfolio result and its breakdown:
1 On the Portfolios menu, select Result reporting. The Results Reporting
window is displayed.
Figure 8-4 Results Reporting window.
Note You can add or remove columns in the Results Reporting window, using the
column configuration button in the toolbar.
Multisite End of Day in the Results Reporting Window
The results of the multisite end of day calculations are displayed in the Results
Reporting window, like the standard end of day results. The Results Reporting
window is shown in figure 8-5.
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Figure 8-5 The Results Reporting window showing the multisite end of day results.
Multisite end of day results differ from the standard end of day results in that they
are displayed by site. The end of day results for each site are grouped by site and
listed first by the site chosen in the P&L Analysis Site preference and then by the
priority order defined in the Multisite EOD configuration dialog. The P&L results in
the results pane at the top of the window show an aggregation of the end of day
calculations for all sites.
If a business line is included in more than one site, such as in a turning book, it is
only displayed for the P&L Analysis Site preference site or the highest priority site.
Portfolios are only shown in the Results Reporting window if they are sub-folders
of your entry point portfolio.
For more information on multisite end of day, see the Multisite End of Day chapter in
the RISQUE Administration Guide.
Result Variation
The Result Variation allows you to compare your current results with the last End Of
Day (EOD) results. You can also compare your current results with any one of the
saved EOD results. For more information on comparing your results with saved EOD
results, see Saved EODs on page 192.
If you perform a result variation just after an End of Day procedure, the change in
P&L is 0, if you use the same preferences for the P&L calculations. Usually, the P&L
explanation is performed just before you start the End of Day procedure, in order to
verify the intraday changes before storing them.
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The EOD is saved according to the following elements:
Locked portfolio and flat positions for the standard End of Day results.
Portfolios, and their positions, assigned to the business lines of sites for multisite
End of Day results.
P&L and the following components:
- Realised
- Unrealised
- Result
- Accounting income
- Number of securities
- Rate used for re-evaluation
- Accrued coupon
- Theoretical Value
- Market Fees
- Trade Fees
- Commissions
Prerequisites
To run a Result Variation, the following must be true:
For standard End of Day results:
- The portfolios whose values you want to examine must be locked.
- All nested folios must also be locked.
- All positions must be contained in folios and not in the root of the portfolio
you want to examine. Positions contained outside the folio structure are not
included in the calculation.
For multisite End of Day Results:
- The portfolios whose values you want to examine must be assigned to a
business line.
- The multisite End of Day must have been run for the business lines site.
These conditions are validated at the beginning of the Result Variation. If they are
not true, an error message is displayed showing the identifiers of the offending folios
and positions. These folios and positions are not used in the Result Variation
calculation and the generated Result Variation is not accurate.
Important When you run the Result Variation, the P&L must be calculated again and the
Real-Time feed, if one is present, is disconnected. If you choose not to recalculate
the P&L, it is assumed that the P&L is recently recalculated.
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Forex note
Changes in the FOREX rates can cause P&L changes in delta P&L which previously
showed now changes. For example, for a folio in Euro, containing a position in
Dollars, which displays a P&L delta of 0 in Dollars can display a P&L delta in Euro if
the FOREX changes.
NO_MARGIN_CALL_ON_FUTURE
If this preference is activated, the realised on Futures, which are presumed paid,
generates a change in the Treasury. This change is reflected in the Treasury Gap
column and subtracted from the Delta Treasury result.
Running the Result Variation
To run the result variation, do the following:
1 Open the Portfolio you want to examine in its own window.
2 Select Result Variation from the Portfolios menu.
You will be prompted to recalculate the result variation. If you have run the
Result Variation report in a while, you will need to recalculate. If you have
recently run the report and wish to display it again, you will most likely not need
to recalculate.
The Result Delta window is displayed:
Figure 8-6 Result Delta window.
Table 8-12 describes the buttons in the Result Delta window:
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Note You can add or remove columns in the Result Delta window, using the column
configuration button in the toolbar. The column 'Pure movement delta' excludes
the tickets of coupons from the delta movement:
- Pure Movement Delta = Movement Delta - Delta Income.
This is only relevant when the preference Accrued in Income is not ticked.
- For more information on the columns displayed in this window, see Result
Variation Columns on page 197.
Note If you perform a result variation after an End of Day procedure, the change in
P&L is 0, if you use the same preferences for the P&L calculations. The P&L
explanation is usually performed before you start the End of Day procedure, in
Table 8-12 Result Variation buttons.
Button Description
Allows you to change your view between Flat and Hierarchical.
Note: When using the Hierarchical view, the sum per column is not
equal to the sum of the portfolio, because a position can be
viewed as two different underlyings.
Allows you to Expand or Collapse the folders.
Allows you to alter your Position view between the following:
Opened Positions
Closed Positions
Without Positions
Opens the P&L Attribution dialog allowing you to specify which
effects or deltas you want displayed in your results.
For more information on P&L Attribution, see P&L Attribution on
page 192.
The Set Dates button opens the Set Dates dialog. This allows you
to specify which EOD results you want to compare the current P&L
against.
For more information, see Saved EODs on page 192.
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order to verify the intraday changes before storing them.
Multisite End of Day Results in the Results Variation Window
The Results Variation window allows you to compare your current results with the
last end of day results. With multisite end of day, however, there is no overall end of
day result. As a result, you can only display the Results Variation window for one
site. You can set this in the P&L Analysis Site drop down list on the Display tab of
the Preferences dialog.
When this preference is set, you can compare your current results to the end of day
results for the specified site. It is, however, important to note that if your current
RISQUE preferences differ from the sites end of day preferences, the results in the
Results Variation window may have little relevance. You can however, load the
sites preferences in the Preference Manager dialog.
The Results Variation window is shown in figure 8-7.
Figure 8-7 The Result Variation window.
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Saved EODs
To compare the current results with those of saved EOD results, do the following:
1 Run the Result Variation as described in Running the Result Variation on
page 189.
2 Select Set Dates. The Set Dates dialog is displayed:
Figure 8-8 Set Dates dialog.
3 This allows you to select previous EOD results against which you can compare
your current results.
4 Click OK. The comparison between the chosen EOD and the current results is
calculated and displayed.
P&L Variations
P&L Variations between yesterday and today can be caused by additional treasury
costs, changes in financing, trades between the last EOD and today, variations of the
theoretical value, and so on.
The variation of the theoretical value of in the position currency can be broken down
using the following techniques:
P&L Attribution
P&L Explanation
P&L Attribution
P&L attribution itemises the P&L variation between the current date and the last EOD
procedure in terms of several effects, such as the Greek effects and Day effect. It
also allows you to detect unknown effects. If these other effects are significant, the
product might be highly sensitive to risk parameters not included in the current
model. You may then need to reconsider the pricing.
P&L Attribution allows you to examine the effects of various combinations of
indicators on your overall P&L.
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Note P&L Attribution is calculated by the Calculation Server if you have chosen On
Demand or Always from the Use Calculation Server drop down list on the
Optimizations tab of the Preferences dialog.
Calculations
The calculation method compares the last open day's P&L, the last open day's
parameters, and the current P&L with the current parameters. Today's parameters
are then bumped one by one to the last open day's values, taking into account the
last open day's quantities, so as to estimate their respective impact on the P&L
variation. Treasury, finance and deal effects are valued separately.
P&L
today
P&L
last
= Result delta = TreasuryDelta + FinanceDelta + MvtDelta + Rate
delta
Note Because the income depends on some user preferences, such as the accrued which
can appear in Income or in the Realized, the income does not appear in this split.
Table 8-13 Effect formulae. (Sheet 1 of 2)
Effect Formula
Day Effect
Dividend effect
Finance Delta Today's Financing - last open day's Financing
Movement Delta
Other Effects Rate Delta - Spot Effect - Volatility Effect - Dividend Effect -
Rate Effect - Day Effect - Repo Effect - Other Effects
Other Spot Effect Spot Effect - Smile Effect - Pure Spot Effect
Pure Spot Effect
Rate Delta
= Spot Effect + Volatility Effect + Dividend Effect + Rate
Effect + Day Effect + Repo Effect + Other Effects
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Viewing the P&L Attribution
The P&L Attribution dialog allows you to define which elements of the P&L you want
to view in the Result Delta window.
To view the components of the result variation:
1 Click on the P&L Attribution button in the command bar of the Result
Variation window.
The P&L Attribution dialog box is displayed.
Figure 8-9 P&L Attribution dialog.
Rate Effect
Repo effect
Smile Effect
Spot Effect
= Pure Spot Effect + Smile Effect + Other Spot Effect
Treasury Delta Today's Treasury - last open day's Treasury
Volatility Effect
Table 8-13 Effect formulae. (Sheet 2 of 2)
Effect Formula
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2 Tick the components in the list that you wish to calculate.
3 Click OK. The results displayed are altered depending on the choices made in the
P&L Attribution dialog.
P&L Explanation
This process tests and validates the management greeks used by the traders. The
calculation method compares the last open day's P&L with the last open day's
parameters, and the current P&L with the current parameters. This allows you to
ensure that the data correctly explains tomorrows strike variations.
The respective bumps are applied to the last open day's P&L and greeks for each
parameter. The hedge ratios are relevant because they allow you to correctly
approximate the P&L variation.
Treasury, finance and deal effects are valued separately:
Volatility surface by maturity and strike split according to OTC matrix,
( for strike j and maturity k)
Rho and forward by maturity, (for maturity k).
The result variation is split as follows:
Table 8-14 Greek effect formulae. (Sheet 1 of 2)
Effect Equals
Delta Effect
Gamma Effect
Vega Effect
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P&L Notation
Database Field and Table Information
The Delta and Gamma results are stored in the GREC_SIMPLES table using the
instrument ID as primary key and, if the instrument is in arbitrage, the
underlying used for the partial derivative.
Crossed indicators are stored in the GRECS_CROISES table. These also use the
instrument ID as primary key and the second underlying.
The Theta is read from the INDICATEUR table, while the expected Coupon
amount is read from the COUPONDAY field. This amount must be retrieved for
trades resulting from Corporate Actions on the position.
Rho Effect
Forward Effect
Table 8-14 Greek effect formulae. (Sheet 2 of 2)
Effect Equals
Table 8-15 P&L Notation.
Formula Description
Today's value for Profit and Loss, spot, volatility related to
time t and spot, dividend expectations, risk free interest rate
curve, repo rate curve, today's date.
Last open day's value for Profit and Loss, spot, volatility
related to time y and spot, dividend expectations, risk free
interest rate curve, repo rate curve, last open days date.
Quantity of the derivative number in the portfolio at time y.
Price of the derivative number in the portfolio for the set of
parameters .
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Rates, Volatilities and Repos are grouped by three scenarios, Maturity_Strike,
Fwd_Strike and Family_Zero_Coupon and stored in the tables OTCMODELS,
OTCSTRIKES and OTCMATURITY.
- Rates = ID1
- Volatilities = ID2
- Forwards = ID3
Result Variation Columns
In addition to the standard Portfolio columns, the Result Variation window contains
several windows specific to the results generated by the variation. These specific
columns are described in table 8-16. For more information on the default Portfolio
columns, see List of Portfolio Columns on page 71.
Table 8-16 Result Variation columns and descriptions. (Sheet 1 of 12)
Column Name Details
Bug effect Effect of incorrect calculations of the theoretical value of the position.
If for any reason, when the theoretical value of the position is
recalculated in the calculation of the PNLAttribution, the theoretical
value used to value the position is not retrieved, the difference of the
theoretical value multiplied by the position value today is put in the
column Bug Effect.
Correlation effect Effect of correlation hypothesis change.
Coupon effect Explanation column for greeks. Equal to the amount of the expected
coupons for the EOD yesterday and today.
Note: Corresponds to the toolkit method
CSRInstrument::GetCouponAmount, using the theta
preferences, particularly the number of days of the calculation.
It can be compared to the Movement Delta, to see what result
of the position of yesterday and the pure trading.
Table: INDICATEUR
Field: COUPONDAY
Credit risk effect New column in 452.1. Due to the evolution of credit risk at level of
the change of the CDS curve as much as a spread defined at level of
the instrument itself.
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Day effect Corresponds to the variation of strike between the theoretical
variation calculated today with all the parameters of yesterday - the
value stored yesterday. If P&L Attribution is ticked, the day effect
blend the variations due to the receipt of dividends or coupons
according to the preferences ticked for the theta. For example, in the
case of spot theta, if Include Dividend is ticked, the Day Effect on the
share is -1 x number of share in position
Delta effect Corresponds to the Delta effect with the deltas of the EOD. Stored at
moment of the EOD.
Table: GRECS_SIMPLE
Field: DELTA
Delta price Corresponds to the variation of strike due to the indicator used to
calculate the greek effect corresponding, for a security.
Diff. Broker fees Represents the difference between the broker fees today and the one
of the last EOD. Valid for positions, portfolios and underlyings. Is
expressed in the column currency
Diff. Counterparties fees Represents the difference between the counterparty fees today and
those of the last EOD. Valid for positions, portfolios and underlyings.
Is expressed in the column currency
Diff. Financing Represents the difference between the financing today and the one of
the last EOD. Valid for positions, portfolios and underlyings. Is
expressed in their currency. It takes in account for portfolios the
change treasury as well as the column Treasury_Gap.
Diff. Forex financing Represents the difference of financing of a change position yesterday
Diff. Forex treasury Represents the difference of treasury of a change position yesterday
Table:
Field: FOREX_FINANCING
Diff. Income Represents the difference between the income today and the one of
the last EOD. Valid for positions, portfolios and underlyings. Is
expressed in the column currency
Diff. Market fees Represents the difference between the market fees today and the
one of the last EOD. Valid for positions, portfolios and underlyings. Is
expressed in the column currency
Diff. Number of securities Represents the number variation of securities between now and the
last EOD. It makes sense for positions only
Diff. Realized Represents the difference between the realized today and the one of
the last EOD. Valid for positions, portfolios and underlyings. Is
expressed in the column currency
Diff. Receivable coupon Represents the difference between the coupon amount today and the
one of the last EOD. Valid for positions, portfolios and underlyings. Is
expressed in the column currency
Table 8-16 Result Variation columns and descriptions. (Sheet 2 of 12)
Column Name Details
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Diff. Result Represents the difference between the result today and the one of
the last EOD. Valid for positions, portfolios and underlyings. Is
expressed in their currency. It takes in account for portfolios the
column Treasury_Gap.
Diff. Settled Represents the number variation of positions between now and the
last EOD. It makes sense for positions only
Diff. Tax Credit Represents the difference between the tax credit today and the one
of the last EOD. Valid for positions, portfolios and underlyings. Is
expressed in the column currency
Diff. total financing Corresponds to the difference between the columns Total Financing &
Yesterday Total Financing
Diff. total treasury For files, underlyings and portfolios, other than change position with
delta treasury.
In the change position, the variation of classic treasury is added with
the variation of change treasury x the rate change today.
Diff. Treasury Represents the difference between the treasury today and the one of
the last EOD. Valid for positions, portfolios and underlyings. Is
expressed in their currency. It takes in account for portfolios the
change treasury.
Diff. Unrealized Represents the difference between the latent today and the one of
the last EOD. Valid for positions, portfolios and underlyings. Is
expressed in the column currency
Diff.Balance Represents the difference between the balance today and the one of
the last EOD. Valid for positions, portfolios and underlyings. Is
expressed in the column currency
Dividend effect Represents the P&L variation due to the variation of the dividend
hypothesis variation. All the parameters are presumed equal to those
of today and the calculation corresponds to:
theoretical value today - theoretical value calculated today with the
dividend hypothesis of yesterday.
Forex effect in fair value New column in 452.1. Corresponds to the P&L variation due to the
change variation. All the parameters are presumed equal to those of
today and the calculation corresponds to:
theoretical value today - theoretical value calculated today with the
change of yesterday.
Forward effect Represents the P&L variation due to the variation of the coupon. At
Repo Maturity scenario, the volatility is replaced by the repo
Forward price Corresponds to the variation of strike due to the indicator used to
calculate the greek effect corresponding, for a security.
Table 8-16 Result Variation columns and descriptions. (Sheet 3 of 12)
Column Name Details
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Gamma effect Corresponds to the Gamma Effect
Table: grecque_simple
Field:
Gamma price Corresponds to the variation of strike due to the indicator used to
calculate the greek effect corresponding, for a security.
Global forex effect Called Forex Effect in 451. It explains the difference between the
result variation stated at level of the book and sum of the variation
results of the positions x change rate today.
Important: It does not contain the change effect that modifies the
theoretical value of a position due to a RISQUE source type change.
For each position the impact of that variation regarding the file that
contains it is displayed. The change effect is equal to:
(P&L - Treasury - Financing) x (today's change rate - yesterday's
change rate). For a portfolio, it is the addition of all its columns.
Important: For a position the amount currency is not as the position
currency, but in the currency of the portfolio that contains it.
Table: grecque_croise
Field:
Global fx effect Treasury
Financing
Displays the following value: (Treasury + financing from the last end
of day)*(FX today-FX at last end of day).
Greek Unknown Effect Corresponds to the variation of P&L not explained by the different
greeks'= Price - all the Greek Effects
Instr. definition effect Displays the difference between the current P&L of an instrument and
the P&L of the instrument the last time the End of Day procedure was
performed. This column displays a value only if the modification is
performed the day after the last End of Day procedure.
Table 8-16 Result Variation columns and descriptions. (Sheet 4 of 12)
Column Name Details
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Movement Delta Represents the transaction gap between today and yesterday. For a
deleted position, it equals to the opposite of the realized yesterday
and the latent yesterday. For a position, thanks to Audit_Mvt you
take the whole deals that have been created, modified or deleted
regarding the last EOD, then you do the following operation:
- with a direction equal to 1 for created deals,
- equal to -1 for the deleted deals,
- for modified deals, it is considered a deletion followed by a creation.
Of course we take in account the negotiation date of the trade could
have changed. If the Business Event of the transaction is treasury or
financing type, nothing is done. Indeed, this would already be
included in the columns Delta Treasury or Delta Financing. If it is a
coupon type, the column Delta Movement is incremented of the
transaction amount free of tax. Otherwise, a purchase sale for
example, the Delta Movement of the variation between the purchase
strike and the evaluation quotation today is impacted, the purchased
quantity is multiplied.
Movement Delta New The P&L variation due to new deals made since the date of the last
End of Day procedure.
Movement Delta Updated The P&L variation due to deals deleted since the date of the last End
of Day procedure.
Movement Delta Deleted The P&L variation due to deal updates made since the date of the last
End of Day procedure.
MTM Effect Explains the difference between the MtM strike variation and the
variation of the theoretical strike. For a position if the theoretical
value of yesterday is defined, the MtM effect = yesterday position x
[(yesterday's theoretical - yesterday's quotation) + (today's
quotation - today theoretical)]. For positions and change rates the
change rate is added with.
Other effect Corresponds to all that is not explained in the previous columns.
Difference between Price Delta and all the other columns effects.
Usually, corresponds to the crossed effects between 2 effects,
because those are evaluated independently of the procedure
Other spot effect Corresponds to the crossed effect smile / spot in the column spot
effect. Corresponds to the difference between spot effect - pure
effect - smile effect
Table 8-16 Result Variation columns and descriptions. (Sheet 5 of 12)
Column Name Details
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Price Delta Represents the P&L variation due to the strike variation on the
yesterday position aggregated with the change of today. For a
position, it is the value of the security point x the position of the
securities I had yesterday (valorization quotation of today + the
accrued today - (valorization quotation of yesterday + the accrued
yesterday)).For portfolios and underlyings, you aggregate positions
with today's change rate in such a way as we can compare the
column with the other effect. The effects due to a variation of the
change rate when a position is in a currency different as the
portfolio's one are in the column Forex_Effect. Calculated when the
affectation is done.
Price with yesterday's
correlation
Corresponds to the value display. Calculation to calculate the effects
Price with yesterday's
credit risk
Corresponds to the value display. Calculation to calculate the effects
Price with yesterday's
dividend
Corresponds to the value display. Calculation to calculate the effects
Price with yesterday's
forex
Corresponds to the value display. Calculation to calculate the effects
Price with yesterday's pure
spot
Corresponds to the value display. Calculation to calculate the effects
Price with yesterday's rate Corresponds to the value display. Calculation to calculate the effects
Price with yesterday's repo Corresponds to the value display. Calculation to calculate the effects
Price with yesterday's
smile
Corresponds to the value display. Calculation to calculate the effects
Price with yesterday's spot Corresponds to the value display. Calculation to calculate the effects
Price with yesterdays
volatility
Corresponds to the value display. Calculation to calculate the effects
Price yesterday Corresponds to the value display. Calculation to calculate the effects
Pure movement delta Approximate the P&L due to the pure trading of yesterday. Mvt Delta
- variation of the incomes except for futures and change. Indeed in
case of futures, the variation of incomes is a margin call, and in case
of change it is treasury. Note that to work properly, this column
supposed to have the Accrued in Income unticked, otherwise the
income variation includes the variation of the accrued coupon.
Pure spot effect Corresponds to the P&L variation due only to the spot variation and
not to the variation of the volatility. In the previous example, the
option is reevaluated with a spot at 100 and a volatility at 31. 2
effects are distinguished that are as well decomposed
Table 8-16 Result Variation columns and descriptions. (Sheet 6 of 12)
Column Name Details
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Rate effect Represents the variation of the P&L due to the variation of the rate.
All the parameters are supposed equal to those of today and the
calculation corresponds then to: theoretical value today - theoretical
value calculated today with the rate of yesterday. If Apply P&L
Attribution is ticked and if Roll is chosen as Rate pref without ticking
Used_Curve_Date_For_O_Coupon, a Rate effect appears even if the
rate curve has not been changed between yesterday and today, due
to a change of the 0 coupons today calculated with the same rate
curve in date of today and the Fwd rates departure 1 day calculated
for the theta.
Repo effect Represents the P&L variation due to the repo curve variation. Apply
P&L Attribution has an effect
Rho effect Represents the P&L variation due to the variation of the 0 coupon
Rho price Corresponds to the variation of strike due to the indicator used to
calculate the greek effect corresponding, for a security.
Smile effect Represents the P&L variation due to the smile. It is the difference of
the theoretical strike now - the theoretical strike with all the
parameters of today except that the volatility has been calculated
with the spot of yesterday. For example an option to the currency
gives a volatility of 30 and at 100,31%, and the spot increases of 1%
tomorrow, the option today will be evaluated at 31 and the smile
effect equals the vega.
Spot effect Represents P&L variation due to the spot variation. All the
parameters are assumed equal to those of today and the calculation
corresponds then to: theoretical value today - theoretical value
calculated toady with the spot of yesterday. If the pref Apply P&L
Attribution is ticked, we take the value of Spot_Theta of the table
Spot_hier, otherwise we take the field Quote. The field Spot_Theta
corresponds to the spot used for the calculation of the theta
according to the users prefs (for example, if we have taken the pref
Spot_Minus_Dividend in the tab Theta of preferences, and if the spot
has a worth of 100 yesterday as well a today and if today there is an
ex div date of 1, the spot effect isn't of 0 but of 1 x number of
securities in position)
Spot effect without
dividend impact
Displays the spot price change without the impact of dividends. This
is useful for seeing the spot price change on ex-div dates when the
price usually changes by the dividend amount.
Theoretical Result Delta It equals the variation of P&L, if this one is calculated in theoretical
value (rather than in MtM). By definition it is the P&L today - the P&L
yesterday - MtM effect
Theta effect Corresponds to the theta effect calculated during the EOD. Indicator
Theta Field
Theta price Corresponds to the variation of strike due to the indicator used to
calculate the greek effect corresponding, for a security.
Table 8-16 Result Variation columns and descriptions. (Sheet 7 of 12)
Column Name Details
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Treasury Gap Since 451,1,18. Represents the treasury gap due to the posting
method of the futures in margin calls. It is already added to the
yesterday's P&L
Vega effect Corresponds to the vega effect calculated during the EOD. At the
EOD, a scenario such as VolMatrix\Maturity can be generated that
calculates the sensitivity to the strike regarding different points of
the volatility matrix defined by a grid chosen during the EOD.The
volatility effect corresponds then to the sum of variations of
volatilities by its points x sensibility of the product at this point.
Vega price Corresponds to the variation of strike due to the indicator used to
calculate the greek effect corresponding, for a security.
Volatility effect Represents the P&L variation due to the variation of the volatility. All
the parameters are supposed equal to those of today and the
calculation corresponds to:
Theoretical value today - Theoretical value calculated today using
yesterdays volatility.
The volatility taken for yesterday is the volatility expected for the
theta calculation if the preference ApplyPNLAttribution is active.
Yesterdays Average price Corresponds to the average price of the last EOD. Only on positions
Table: Report_Flat_Hier
Field: prix
Yesterdays Balance Corresponds to the balance of the last EOD. For positions, it is
expressed in the position currency. For the underlyings and
portfolios, it is expressed in the currency by aggregating the balance
of each positions and by using as change rates the ones stored
during the EOD in the table Change_Hier. Stored change rates are
supposed to be expressed against a reference currency 1 for 1 in
mode certain (?)
Table: Report_Flat_Hier
Field: solde
Yesterdays Broker fees Corresponds to the broker fees of the last EOD. For positions, it is
expressed in the position currency. For the underlyings and
portfolios, it is expressed in the currency by aggregating the broker
fees of each positions and by using as change rates the ones stored
during the EOD in the table Change_Hier. Stored change rates are
supposed to be expressed against a reference currency 1 for 1 in
mode certain (?)
Table: Report_Flat_Hier
Field: courtage
Table 8-16 Result Variation columns and descriptions. (Sheet 8 of 12)
Column Name Details
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Yesterdays Counterparty
fees
Corresponds to the counterparty fees of the last EOD. From 452 only.
For positions, it is expressed in the position currency. For the
underlyings and portfolios, it is expressed in the currency by
aggregating the counterparty fees of each positions and by using as
change rates the ones stored during the EOD in the table
Change_Hier. Stored change rates are supposed to be expressed
against a reference currency 1 for 1 in mode certain (?)
Table: Report_Flat_Hier
Field: fraiscounterparty
Yesterdays Financing Corresponds to the financing of the last EOD. For positions, it is
expressed in the position currency. For the underlyings and
portfolios, it is expressed in the currency by aggregating the
financing of each positions + the Financing_Forex column for every
change positions and by using as change rates the ones stored
during the EOD in the table Change_Hier. Those stored change rates
are supposed to be expressed against a reference currency 1 for 1 in
mode certain (?).
Table: Report_Flat_Hier
Field:
Yesterdays Income Corresponds to the income for the last EOD. For positions, it is
expressed in the position currency. For the underlyings and
portfolios, it is expressed in the currency by aggregating the income
of each positions and by using as change rates the ones stored
during the EOD in the table Change_Hier. Stored change rates are
supposed to be expressed against a reference currency 1 for 1 in
mode certain (?)
Table: Report_Flat_Hier
Field: revenu
Yesterdays Market Corresponds to the market fees of the last EOD. For positions, it is
expressed in the position currency. For the underlyings and
portfolios, it is expressed in the currency by aggregating the market
fees of each positions and by using as change rates the ones stored
during the EOD in the table Change_Hier. Stored change rates are
supposed to be expressed against a reference currency 1 for 1 in
mode certain (?)
Table: Report_Flat_Hier
Field: fraismarch
Yesterdays Number of
securities
Corresponds to the number of securities of the last EOD. Only on
positions
Table: Report_Flat_Hier
Field: nbtitres
Table 8-16 Result Variation columns and descriptions. (Sheet 9 of 12)
Column Name Details
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Yesterdays Price Represents the quotation used to valorize the position. Valid for
positions only.The quotation is expressed in the same unit and the
same accrued. The theoretical value (for example if an obligation is
quoted in actuarial rate(Y to M)) then the list is a rate of yesterday's
quote (yesterday's price is expressed in a percentage clean.
Table:
Field: coursEval
Yesterdays Realized Corresponds to the realized of the last EOD. For positions, it is
expressed in the position currency. For the underlyings and
portfolios, it is expressed in the currency by aggregating the realized
of each positions and by using as change rates the ones stored
during the EOD in the table Change_Hier. Stored change rates are
supposed to be expressed against a reference currency 1 for 1 in
mode certain (?)
Table: Report_Flat_Hier
Field: realise
Yesterdays Result Corresponds to the result of the last EOD. For positions, it is
expressed in the position currency. For the underlyings and
portfolios, it is expressed in the currency by aggregating the result of
each positions and by using as change rates the ones stored during
the EOD in the table Change_Hier. Stored change rates are supposed
to be expressed against a reference currency 1 for 1 in mode certain
(?)
Table: Report_Flat_Hier
Field: resultat
Yesterdays Tax credit Corresponds to the tax credit of the last EOD. For positions, it is
expressed in the position currency. For the underlyings and
portfolios, it is expressed in the currency by aggregating the tax
credit of each positions and by using as change rates the ones stored
during the EOD in the table Change_Hier. Stored change rates are
supposed to be expressed against a reference currency 1 for 1 in
mode certain (?)
Table: Report_Flat_Hier
Field: avoir
Table 8-16 Result Variation columns and descriptions. (Sheet 10 of 12)
Column Name Details
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Yesterdays Treasury Corresponds to the treasury of the last EOD. For positions, it is
expressed in the position currency. For the underlyings and
portfolios, it is expressed in the currency by aggregating the treasury
of each positions + the Treasury_Forex column for every change
positions and by using as change rates the ones stored during the
EOD in the table Change_Hier. Those stored change rates are
supposed to be expressed against a reference currency 1 for 1 in
mode certain (?). From the v451.1.18 the Yesterday's treasury for
portfolios is corrected.
Table: Report_Flat_Hier
Field: tresorerie
Yesterdays Unrealized Corresponds to the unrealised of the last EOD. For positions, it is
expressed in the position currency. For the underlyings and
portfolios, it is expressed in the currency by aggregating the
unrealized of each positions and by using as change rates the ones
stored during the EOD in the table Change_Hier. Stored change rates
are supposed to be expressed against a reference currency 1 for 1 in
mode certain (?)
Table: Report_Flat_Hier
Field: latent
Yesterday's accrued Accrued coupon of the security stored during the EOD. same as n3
for accrued
Table: Report_Flat_Hier
Field: accrued
Yesterday's forex financing Represents the financing of a change position yesterday
Yesterday's forex treasury Represents the treasury of a change position of yesterday
Table: Report_Flat_Hier
Field: treso_forex
Yesterday's Receivable
coupon
Corresponds to the amount of the coupon we are about to receive
Table: Report_Flat_Hier
Field: decalage-coupon
Yesterday's Settled Corresponds to the securities delivered during the last EOD. Number
of securities settled yesterday. Used only on lines. It does not make
sense for positions.
Table: Report_Flat_Hier
Field: nbtitre_livre
Table 8-16 Result Variation columns and descriptions. (Sheet 11 of 12)
Column Name Details
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Yesterday's Theoretical Corresponds to the theoretical value of the position stored yesterday
during the EOD
Table: Report_Flat_Hier
Field: fair_value
Yesterday's total financing Corresponds to the sum of the financing of yesterday with the change
rates of yesterday. It is the sum of the column Yesterday Financing +
Forex Yesterday Financing
Yesterday's total treasury For files, underlyings and portfolios, other than change position with
delta treasury. In the change position, the classic treasury is added
with the change treasury x the rate change yesterday.
Table 8-16 Result Variation columns and descriptions. (Sheet 12 of 12)
Column Name Details
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Chapter 9 Electronic Trades
This chapter describes the automatic trades that are fed into the system from
external sources.
Managing Electronic Trades
This section describes how to manage electronic trades.
To retrieve tickets automatically from the electronic market:
1 In the Portfolio menu, select Electronic tickets.
The following window is displayed:
Figure 9-1 Electronic Trades dialog.
2 The toolbar buttons are as follows, from left to right:
- Expand folder
- Collapse folder
- Save configuration
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- Group by This produces a drop-down list of criteria which you can use
to group your tickets.
- Do not group This removes the specified grouping and returns the view
to a flat view of all tickets.
- Filter Allows you to specify exclusion filters. Any ticket matching the
filter is not displayed.
- Unfiltered Removes all filters.
- Configuration Opens the configuration dialog.
- Transmit Sends the ticket to the portfolio.
- Delete Deletes the selected ticket.
3 Click the Configuration button to display the Electronic Tickets
parameters:
The following window is displayed:
Figure 9-2 Electronic tickets setting window.
4 Complete the window as described in the following table:
Table 9-1 Electronic tickets setting field descriptions. (Sheet 1 of 2)
Field Description
Backoffice Folios
Reference
group-box
Enables the system to insert the electronic tickets at the
correct places and with all necessary complementary data
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Note: All electronic tickets have the 'Elect. Market' value in the Back Office field.
Compte back For Back-office purposes.
Folio's name Name of the portfolio where the electronic tickets
corresponding to this 'compte back' must be put. You can
either enter the name manually or do a simple drag & drop
from the Portfolios window.
Counterparty Counterparty to be added by default on each electronic ticket
for this 'compte back'. Click on the field to display a list of
counterparties.
Broker Broker to be added by default on each electronic ticket for
this 'compte back'. Click on the field to display a list of
brokers.
Depositary Depositary to be added by default on each electronic ticket
for this 'compte back'. Click on the field to display a list of
depositaries.
Topage Obsolete.
Traders group-box List of the traders who retrieve electronic tickets (all users
appear here)
Default folio n/a
Transfer type Select 'Manual' or 'Automatic' by double-clicking on the field.
Note: 'Automatic' means that all deals you have made are
automatically integrated in the value of your P&L.
'Manual' means that after having made the deal, the
ticket must be confirmed manually. This allows you to
check the details before accepting the deal in your
portfolio. To check the deal ticket, double click on the
line.
Baskets group-box Electronic basket trades require a specific treatment. This is
the list of all baskets defined in the database.
Name Name of the basket
Ident back Identifier of the trader for the electronic tickets
Options group-box Obsolete.
View by traders Obsolete.
Filter on book Obsolete.
Using trades server Obsolete.
Routing Obsolete.
Table 9-1 Electronic tickets setting field descriptions. (Sheet 2 of 2)
Field Description
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Manual Update
To manually update the features of the electronic tickets, double-click on the
automatic ticket before validating it in the Electronic trades window. Then, you can
validate the ticket by clicking the Transmit button. The ticket is automatically
integrated into your portfolio.
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Chapter 10 Automatic Tickets
Automatic Tickets are a system of automatically tracking and managing your deals.
This functionality allows you to automatically close out positions, generate dividends,
and so on. An Automatic Ticket is generated for each deal that requires one when
you Launch the Forecasts from the Portfolios menu.
Using the Back Office, deals generated in the future are compared with the deals in
the HISTOMVTS table using the following criteria:
Whether they have the same position
Sense. + or -
Business Event
Counterparty. Including where no counterparty is defined
Package component (field refMvtBack)
Negotiation date.
If two deals have the same reference and criteria, the deal is considered to
be a new deal.
New deals are proposed for insertion and deals which differ from the previous
generation by an amount of plus or minus 10 (Ten Euro) are not generated again.
All other deals are proposed for modification.
There are two types of Automatic tickets:
Tickets that are linked to a Corporate Action Dividends, Splits, Mergers,
and so on.
Tickets that are not linked Over The Counter, Stocks and Loans, and so
on.
Generating Automatic Tickets
Automatic tickets enable to you to exercise options and forecast the cash flows of the
following instruments:
Negotiable debt instruments
OTC options
Bonds
Swaps and caps coupons
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Repo and stock loans commissions
Listed options adjustments
Share dividends and dividend tax credits
You can generate automatic tickets in one of the following ways:
For all portfolio by clicking the Launch Forecasts command on the
Portfolios menu.
For a selected position by right-clicking a position in the Portfolio window
and clicking the Forecast command on the context menu.
This section describes how to generate and display automatic tickets. It contains the
following sections:
Launching Forecasts for All Portfolios on page 214
Launching Forecasts for Positions on page 214
Launching Forecasts for All Portfolios
To generate forecasts for all portfolios, do the following:
1 Click the Launch Forecasts command on the Portfolios menu.
The Launch Forecasts dialog box is displayed.
Figure 10-1 shows the Launch Forecasts dialog box:
Figure 10-1 Launch Forecasts dialog box
2 Click one of the following buttons to generate forecasts:
- Click the Since the last one button to generate all forecasts since the
last forecast generation.
- Click the Today only button to generate only the forecasts for the
current day.
Launching Forecasts for Positions
To generate forecasts for one or more position, do the following:
1 Right-click a position and click the Forecast command on the context
menu.
The Portfolio/Position Forecast dialog box is displayed.
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Figure 10-2 shows the Portfolio/Position Forecast dialog box:
Figure 10-2 Portfolio/Position Forecast dialog box
2 Enter the date on which you want to generate automatic tickets in the
Forecast Date text box.
3 Click the OK button to launch forecasts.
Alert Book
After Launching the Forecasts, the Alert Book is populated with the values of future
events which affect the portfolio, such as dividends or maturity of options.
Select Alert Book from the Portfolios menu. The Alert Manager window is
displayed:
Figure 10-3 Alert Manager window
The example of the Alert Manager window, in figure 10-3, shows a variety of FX
options information. Such as Barrier options that are approaching one of the defined
thresholds.
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Note: The Alert Manager displays Alerts for specific periods defined in the Alert for
field of the General Tab of the Preferences. For example, specifying 40 days in the
Alert for field, allows you to see all alerts for the coming 40 days.
The Alert Book and the Alert Portfolio are generated with the table ALERTE.
If the instrument for which there is an alert is not in a package, then the parent
package is the instrument itself.
The alerts for instruments inside a package are generated until the 10th level of
encapsulation (Package of packages of packages).
If the forecasts are launched by batch, one alert file is created for each user on the
folios to which the user has access. The list of these folios is defined in the Entry
Spot List in the User Rights when the user doesn't not have the right 'Entry Spot at
Root' set to Yes. For more information, see the Administration Guide. These files are
saved in the RISQUE subdirectory.
When the forecasts are launched from the application (Portfolios->Launch Forecasts)
by a user, only one alert file is generated for this specific user.
Table 10-1 ALERTE Field Descriptions.
Field In English Data Type Description Relationship
SICOVAM SEC_ID NUMBER(10) Security Internal Reference TITRES.SICOVAM
COURS PRICE NUMBER(16,4) Movement Value (strike for
options, dividend value)
DATENEG TRADE_DATE TRADE_DATE Alert Date
INFOS DESCRIPTION VARCHAR2
(80)
Type of Alert. Fixing rate,
Average, and so on.
LIBELLE SEC_NAME VARCHAR2
(40)
Name of the parent package TITRES.LIBELLE
MONTAGE ARRANGEMENT NUMBER (10) Internal reference of the
parent package
TITRES.SICOVAM
REFERENCE REFERENCE REFERENCE Parent Package reference TITRES.REFERENCE
Table 10-2 Alert Types. (Sheet 1 of 2)
Instrument
Type
Alert Type
Shares Dividend of for the dividends defined at the level of
the share, but not for dividends defined as corporate
actions.
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Alert Portfolio
The Alert Portfolio displays all portfolios which contain movements linked to events
that occur within the period defined for an alert.
There are four columns in the portfolios that display the information of the table
ALERTE:
Alert type INFOS
Alert value PRICE
Alert date DATENEG
Alert component used when the alert is on a package. It displays the
reference of the specific component of the package on which there is the
alert.
Derivatives Average for Asian or AveDep clauses the Alert date
is the End of Clause Date and the Alert value is the
value of the clause.
Begin of clause or End of Clause followed by the name
of the clause (Departure, Performance, Cliquet, Up In,
Up Out, Down In, Down Out) The Alert date is the
Begin of Clause or End of Clause Date and the Alert
value is the value of the clause.
Near threshold for the close occurrence of the
threshold of a Barrier Option
Close Of At the maturity of the option
Swaps Fixing rate for Variable Rate Leg of swaps. The Alert
date is the Fixing Date of the coupon and the Alert
value is the last historical value of the underlying
variable rate.
Fixing equity for Equity Leg (Variable Index and Fixed
Index). The Alert date is the Begin Date of the period
and the Alert value is the last historical value of the
underlying equity.
Balance in cash of for the coupons of a swap
Bonds Coupon of for the coupons of a bond
Listed Instruments Close of at the expiration of futures and options on
listed markets
Stock Loan and
Repos
Close of at the end date of the instrument
Table 10-2 Alert Types. (Sheet 2 of 2)
Instrument
Type
Alert Type
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Forecast on Individual Positions
It is also possible to perform the Forecast on individual positions. To do this, select
the position(s), right-click on them and select Forecast from the context menu.
Important: Selecting individual position(s) and clicking Launch Forecast in the
Portfolio menu does not launch the forecast on the chosen positions, but
on the entire contents of the loaded folios.
Automatic Tickets
This section describes the automatic tickets functionality. These tickets are displayed
in the Automatic Trades window, as shown in figure 10-4, which is opened by
selecting Automatic Tickets from the Portfolio menu.
Figure 10-4 Automatic Ticket window
This section contains the following sections:
Automatic Trades Buttons on page 219
Ticket Icons on page 220
Filtering Tickets on page 221
Grouping Entries on page 224
Pre-generation Checks on page 224
Global Preferences on page 224
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Automatic Trades Buttons
Table 10-3 describes the buttons of the Automatic Trades window.
Table 10-3 Automatic Ticket Window Buttons (Sheet 1 of 2)
Button Description

Expand/Collapse expands or collapses the list of automatic
tickets in the main panel.

Configuration Management opens a drop-down list enabling
you to save the current configuration, delete a saved
configuration, or load a delete configuration.
Clicking Save opens the Save Configuration dialog. To save
the current configuration, enter a name for the configuration in
the Name field and click OK.
Clicking Delete opens the Delete Configuration dialog, which
contains a list of all existing configurations. To delete a saved
configuration, select the configuration from the list and click
Delete.
To apply an existing configuration, select the name of the
configuration from the drop-down list. The current
configuration is marked with a checkmark.

Group by opens a drop-down list of ticket parameters. It
enables you to group the automatic tickets shown in the main
panel by a selected parameter.

Ungroup removes grouping of automatic tickets if applied.

Filter by opens a drop-down list of ticket parameters. It
enables you to select a column name and value on which to
filter the automatic tickets in the main panel.

Unfiltered removes the current filtering of automatic tickets
from the main panel.
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Ticket Icons
Table 10-3 describes the ticket icons.

Transmit transmits the selected tickets to the portfolio.
Adjust recalculates adjustments made using the Corporate
Action adjustment window.
Delete deletes the selected tickets.
Table 10-4 Automatic Ticket Icons (Sheet 1 of 2)
Icon Description
This is a standard ticket.
This ticket is generated for simulated positions booked
while Simulation Mode is enabled.
This ticket is generated for expired options contained in a
package.
This ticket is generated when a barrier clause is reached
by the underlying of barrier options.
This ticket is generated for IRS if there is no value saved
in the historic table for the floating rate fixing date. You
can enter a fixing value for the underlying rate by
double-clicking the ticket.
This ticket is generated for IRS when the Fixing field has
been populated.
This ticket is generated for corporate actions that have
not been validated.
This ticket is generated for validated corporate actions.
Table 10-3 Automatic Ticket Window Buttons (Sheet 2 of 2)
Button Description
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Filtering Tickets
Filters allow you to specify criteria to limit the number of results displayed in the
Automatic Tickets window. This allows you to specify ranges of values, dates, or
specific values, dates, names and so on.
The following filters types are available:
= Equal to
< Less than
<= Less than or equal to
> Greater than
>= Greater than or equal to
<> Different from. For example, if you specify an Instrument Type filter
using <> Exchange Rate Options, you are presented with all results
except Exchange Rate Options.
range Allows you to specify a range of dates or other numerical values.
like Displays all tickets which contain some, or all, of the supplied values.
To apply a filter to the list of Automatic Tickets in the main panel, do the following:
1 Click the Filter button. The complete list of ticket parameters is displayed.
2 Select the parameter you wish to use as a filter. A dialog box is displayed,
allowing you to specify a value for that parameter.
This ticket is generated for splits on stocks. It modifies
the dividend table for the stock according to the new ratio
defined for the split.
This ticket is generated for splits on stocks. It modifies
the volatility graph for the stock according to the new
ratio defined for the split.
This ticket is generated for splits on stocks if the stock is
contained in a basket. It modifies the basket composition
according to the new ratio defined for the split.
This ticket is generated for splits on stocks if the stock is
the underlying of a stock derivative. It modifies the option
conversion factor according to the new ratio defined for
the split.
This is a cancellation ticket, which is generated if the
corporate action is modified after a split ticket is
transmitted. When this ticket is transmitted, it removes
the split ticket from the portfolio.
Table 10-4 Automatic Ticket Icons (Sheet 2 of 2)
Icon Description
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Figure 10-5 Filter dialog
In this example, the parameter Instrument Type is selected, and Asset
Swaps specified. Only those Automatic Tickets that match this criterion are
displayed in the main panel.
3 Click OK to confirm.
The results of the filter are displayed, while the definition of the filter is
displayed in the Active Filter panel.
Figure 10-6 Filter result
Figure 10-6 shows a ticket relating to an Asset Swap. No other tickets match
this criteria.
4 To remove the filter, click the Unfilter button, which removes all filters, or
click Remove in the Active Filter pane, to remove individual filters.
Multiple Filters
1 Adding multiple filters allows you to further refine your view of the tickets.
You can use And Or clauses in the filter window.
The example shown in contains two filters, Counterparty = ABN AMRO and
Currency = GBP:
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Figure 10-7 Two filters with an AND clause
By default, the second filter is added as an AND clause.
The results pane shows all tickets whose counterparty is ABN AMRO and
currency is GBP.
2 To change the AND to OR, click the AND. The clause changes to OR and the
contents of the results pane are dynamically updated.
Figure 10-8 Two filters with an OR clause
Using the OR clause, the results pane lists all tickets with a counterparty
equal to ABN AMRO and all tickets with GBP as currency.
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Grouping Entries
To group entries in the Automatic Tickets list:
1 Click the Group By button. The list of ticket groupings is displayed.
2 Select the parameter you wish to use to group the tickets, such as
Counterparty. The list of Automatic Tickets in the results panel is grouped
according to counterparty.
Counterparties
If there is no counterparty, the ticket is handled separately. When an automatic
ticket is generated as a package component, it is generated for the package with the
component ID in the refMvtBack field of the HISTOMVTS table. This is also true for
packages of packages, up to the 10th level of nesting.
Merge Positions
The choices available for merge positions depend on the preferences of the user, as
specified in the General Preference field Deal Creation in Same Position.
Pre-generation Checks
Before tickets are generated, the following checks take place:
Automatic tickets that are not transmitted to the portfolio, or those that are
neither swaps, cap and floor, package, bond, or any of those that modify the
number of instruments, are deleted.
All packages are checked to see if they contain Swaps.
Automatic tickets of the day are checked to see if they have already been
validated. If they are valid, no further automatic tickets are generated on
the same security.
Global Preferences
This global preference is set to 0 by default. When it is set to 1, instruments with
type D are not processed, (for example, Options, Convertible Bonds) when you
launch a forecast.
Setting the global preference NO_FORECASTED_FOR_OPTION, in the RISKPREF
table, to 1 (one) stops the processing of instruments of type D, such as Options,
when you launch the forecast. This setting allows you to avoid the following:
Expiration of options and packages
Generating an instrument of position change of packages
Generating coupons in a package.
For tickets that are not linked to Corporate Actions, the value of the AJUSTEMENT
field in the MVT_AUTO table is set to -1 (minus one).
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Shares
Automatic Tickets are generated for Dividends with the Business Event of Coupon. To
receive a dividend, the share must be purchased before the ex-div date specified in
the instrument.
Bonds
Automatic tickets are generated for each type of bond for their redemption table. For
more information, see Bonds on page 326.
Caps
Each exercise of caplet is generated for Caps. Without the Back Office module, the
Business Event is Coupon. With the Back Office module, it is Cap & Floor payment.
Generated at the end date, each caplet is paid at the payment date. Fixings are
proposed on the floating rate by using the fixing date of the GetDate method rate. In
the case of an interpolated rate, such as LIBOR, it is possible to fix two rates.
Caps are generated in exactly the same way as swaps. The same is true for fixings.
Note: Deals on the coupon day are not taken into account.
Expiry Tickets for Packages
Packages expire at their specified expiry date, with a Business Event Purchase/Sale
without the Back Office Module and Stockloan Expiry with the Back Office. The
closing price is equal to the weighted sum of the nominals of the bonds and the
continuous packages in the package with current day expiry.
Futures on Shares
The spot used for underlyings is the last. Only cash delivery and cash & application
delivery are considered. Forwards on shares are processed in the same way as
options on shares.
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Inflation Instruments
Automatic tickets for inflation instruments are generated by instrument type. For
more information, see Deals on Inflation Instruments on page 431.
Stock Derivatives
This section describes Automatic Tickets generated for Options, and includes a
description of Automatic Ticket generation for each delivery type of Stock Derivative.
If the Option delivery is cash payment, the delivery price is estimated. For an exotic
option (CSROption::ExoticPaiement method), the rate is estimated by calculating a
theoretical value with market data at null volatility and null rate curve. For a
non-exotic option, the security value is estimated. The price of the spot used
corresponds to the option maturity with the security fixing: open, last.
If the price is positive and the Back Office module is not present, an exercise ticket is
generated. If the Back Office module is present, the generated ticket has the
Business Event specified in the Cash payment field of the Options section of the
Corporate Actions Parameters menu. If the option is in a package, the Business
Event is Coupon, and the option is deleted from the package by a ticket, if the option
expiry is set to before the package expiry.
If the price is negative, a cancellation ticket is generated with the amount set to 0
(zero). If the Back Office module is present, the Business Event is Cancelled, if the
Back Office module is not present the Business Event is Exercise. The cancellation
ticket is not generated by an option in a package.
If the delivery is physical, the new share is dealt with as an old share.
If the delivery is in Old Share, the option position is cancelled at 0 (zero) and a
position in share is opened at the strike. In case of physical in bonds delivery, the
payment date of the option is used rather than the deal payment date.
In the case of cash & apply, the bond is purchased at the quoted price, the difference
between the spot and the strike appears in cash form on the option expiry ticket.
Note: Deals of the coupon day are always taken into account.
Automatic Tickets for Stock Derivatives
Automatic tickets for Stock Derivatives and their business events depend on the
delivery type, specified in the payment section.
The following delivery types are offered in the standard definition screen:
Share
New shares
Market delivery
Cash
Cash & Application
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Currency
Future
The following sections illustrate ticket generation for each delivery type. Each is
based on the purchase of a Put. At the expiration date, automatic tickets are
generated if the option finishes either In The Money or Out The Money.
Note: Stock derivatives generate tickets for their Expiration Date only.
Share
In the Money
A ticket is generated to close out the position where:
Instrument The option
Quantity = minus the number of securities in the position
Price = 0
Amount = 0
Business event = as defined in the 'Physical exercise (option)' field in the CA
screen (corporate action, BO/Parameters menu).
A ticket to receive the pay off is also generated:
Instrument = the underlying of the option
Quantity = minus the number of securities in the position
Price = strike
Business event = as defined in the 'Physical exercise (action)' field in the CA
screen (corporate action, BO/Parameters menu).
Out the Money
A unique ticket to close out the position is generated:
Instrument = the option
Quantity = minus the number of securities
Price = 0
Business event = as defined in the 'Cancelled' field in the CA screen
(corporate action, BO/Parameters menu)
New Shares
In the Money
No automatic tickets are generated. Instead, the user is alerted that he must
manage the expiration of this product. An alert is generated in the 'Portfolio / Alert
book ' window. The Portfolio/Alert displays where this product is booked.
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Out the Money
No automatic tickets are generated. Instead, the user is alerted that he has to
manage the expiration of this product. An alert is generated in the ' Portfolio / Alert
book ' screen. The Portfolio/Alert displays where this product is booked.
Market Delivery
In the Money
A ticket is generated to close out the position
Instrument = the option
Quantity = minus the number of securities in the position
Price = 0
Amount = 0
Business event = as defined in the 'Physical exercise (option)' field in the CA
window (corporate action, BO/Parameters menu).
A ticket to sell, a put option, the underlying at the predefined price is also generated.
Instrument = the underlying of the option
Quantity = -1
Price = strike
Business event = as defined in the 'Market application' field in the CA
window (corporate action, BO/Parameters menu).
Out the Money
A unique ticket is generated to close out the position
Instrument = the option
Quantity = minus the number of securities.
Price = 0
Business event = as defined in the 'Cancelled' field in the CA window
(corporate action, BO/Parameters menu).
Cash
In the Money
A unique ticket to close out the position and to receive the payoff (paid in cash) is
generated.
Instrument = the option
Quantity = minus the number of securities.
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Price = Strike Minus Spot (K-S) = pay off
Business event = as defined in the first 'Cash Payment' field in the CA
window (corporate action, BO/Parameters menu)
Out the Money
A unique ticket is generated to close out the position.
Instrument = the option
Quantity = minus the number of securities.
Price = 0
Business event = as defined in the 'Cancelled' field in the CA window
(corporate action, BO/Parameters menu)
Cash and Apply
In the Money
A unique ticket is generated to close out the position and receive the pay-off:
Instrument = the option
Quantity = minus the number of securities in the position
Price = (K-S) = payoff
Business event = as defined in the second 'Cash Payment' field in the CA
screen (corporate action, BO/Parameters menu)
A ticket is also generated to sell the underlying at the Market price:
Instrument = the underlying of the option
Quantity = minus the number of securities
Price = current spot
Business event = as defined in the 'Market application' field in the CA screen
(corporate action, BO/Parameters menu)
Out the Money
A unique ticket is generated to close out the position:
Instrument = the option
Quantity = minus the number of securities.
Price = 0
Business event = as defined in the 'Cancelled' field in the CA screen
(corporate action, BO/Parameters menu)
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Cash
Out the Money
A unique ticket is generated to close out the position:
Instrument = the option
Quantity = minus the number of securities.
Price = 0
Business event = as defined in the 'Cancelled' field in the CA window
(corporate action, BO/Parameters menu).
In the Money
A unique ticket is generated to close out the position and to receive the payoff (paid
in cash):
Instrument = the option
Quantity = minus the number of securities.
Price = (K-S) = pay off
Business event = as defined in the first 'Cash Payment' field in the CA
window (corporate action, BO/Parameters menu).
Currency
Out the Money
A unique ticket is generated to close out the position:
Instrument = the option
Quantity = minus the number of securities.
Price = 0
Business event = as defined in the 'Cancelled' field in the CA window
(corporate action, BO/Parameters menu).
In the Money
A ticket is generated to close out the position and receive the pay-off:
Instrument = the option
Quantity = minus the number of securities in the position
Price = (K-S) = payoff
Business event = as defined in the first 'Cash Payment' field in the CA
window (corporate action, BO/Parameters menu).
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We generate also a ticket to sell (it is a put option) the underlying at the Market
price.
Instrument = the underlying of the option
Quantity = minus the number of securities
Price = current spot of the exchange rate USD/EUR
Business event = Nothing is displayed into this deal ticket but the business
event exists as defined in the 'Physical exercise (action)' field in the CA
window (corporate action, BO/Parameters menu).
Note: If you choose a business event in the Corporate Action window, that is not
permitted for this instrument in the Back office Allotment window, nothing is
generated in the deal ticket. The user must then define the appropriate business
event.
Note: This delivery type is only applicable on exchange rate options. For example, if
you buy a put option on USD / EUR - USD/EUR means you buy USD, pay in EUR.
Future
In the Money
Firstly, a ticket is generated to close out the position:
Instrument = the option
Quantity = minus the number of securities in the position
Price = 0
Amount = 0
Business event = as defined in the 'Physical exercise (option)' field in the CA
window (corporate action, BO/Parameters menu).
Secondly, a ticket is generated to receive the pay off:
Instrument = the underlying of the option
Quantity = minus the number of securities
Price = strike
Business event = as defined in the 'Physical exercise (action)' field in the CA
window (corporate action, BO/Parameters menu).
Out the Money
A unique ticket is generated to close out the position:
Instrument = the option
Quantity = minus the number of securities.
Price = 0
Business event = as defined in the 'Cancelled' field in the CA window
(corporate action, BO/Parameters menu).
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Swaps
A coupon is generated for each cash & flow in each leg. For a fixed leg, the coupon is
generated if the swap is not in a package, and with the Back Office module, the day
after cash flow departure. Without Back Office, it will be the end day of the cash flow.
If it is in a package with the Back Office module, it depends on the package market.
Floating Rate
An automatic ticket is generated in advance after the start date of the debt
instrument, and according to the Coupon Generation Shift specified in the instrument
market, if the swap is in a package.
Fixing tickets for the floating leg are generated on the fixing date, using the fixing
date of the GetDate method rate. This is the Start Date of the swap cash flow, minus
the settlement lag of the interest rate, using the calendar of the interest rate. The
default value is 0.
Floating leg fixing tickets are not generated in the following circumstances:
If the interest rate has a Last price for this date
If the fixing rate is defined in the cash flow
If the interest rate used is EONIA.
When validated, the fixing ticket updates the interest rate history, if the cash flow
has not been modified. Otherwise, it populates the fixing rate in the cash flow.
Note: When the Interpolated Rate or London Interpolated Rate model is used, two
fixings appear, if it is a broken date.
These fixings are saved either in the floating leg itself, if its schedule has been
modified, or in the historical record of the rate.
Commodity Leg
For commodity legs, the generated amount depends on the leg type. It is generated
in advance only with the Back Office payment, and only if the leg is of type cash.
The negotiation date of coupons is 1 day after the end date in order to avoid
including it twice in the unrealised.
If the Back Office module is present, income at the end date of the cash flow for
Asset Swap coupons is not generated in advance.
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Equity Leg
The payment of the performance, and the dividends of the period in ex-div, are
generated, if those dividends are paid at the end of the period. If those are
generated immediately, they are generated by the Corporate Action dividend. The
dividend ratio percentage applies to the gross dividend. The gross dividend is defined
in the dividend table, without any tax rebate.
Furthermore, for equity legs, the amount can be overloaded with the
CSRSwap::GetTicketCoupon method. A fixing is generated at the beginning date of
each leg and is stored in the basis field of the cash flow. In the case of a swap
compo, the fixing is the product of the fixing of the equity and the exchange rate
between the leg currency and the swap currency.
Payment Tickets
Payment tickets are grouped by position, counterpart and depositary.
If the ticket is in the first leg, the sign of the quantity in the ticket is the
same as the position sign
If the ticket is in the second leg, the sign of the quantity in the ticket is the
opposite of the position sign
The spot type is always Amount.
The spot is calculated as follows: Quantity * Spot * Quotity = Amount.
The payments for swaps are displayed in the Alert Book (available from the
Portfolios menu) along with the fixing date for the floating index.
Fixings For Swaps
Fixings are produced using automatic tickets.
1 An automatic ticket is generated for each fixing.
2 In the Parameters menu, select Prices Date. This enables visualization of
the future fixings of your equity swap.
3 From the displayed window, set the Prices date field to the day the
coupons are swapped (options in the Prices date window are used for past
dates only).
4 In the Portfolios menu, select Launch the Forecasts.
This generates your automatic tickets.
To manually update the fixing values:
1 In the Portfolio menu, select Automatic Tickets. The Automatic Trades
window is displayed.
2 Open the Equity swaps folder and double-click on the automatic ticket.
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The Automatic Ticket Definition window is displayed.
3 Edit the values as required.
For every operation that generates a ticket, deals are grouped according to the
following criteria:
per counterparty
per depositary
per entity
per position with a security quantity which is not null, if the sum of positions
is not null
Note: Tickets for the current date are ignored.
Forward Forex
Two types of delivery exist for Forward Forex:
Cash payment paid in the currency of the Forward.
Physical payment Forward is closed at 0 and an exchange position is
created where the exchange rate is the strike.
In all other cases of Future or Forward, only a cash delivery is available. For Floating
Rate, cash is paid d+2, that is, the amount discounted by the fixing.
Debt Instruments
This section describes how Automatic Tickets are generated for Debt instruments of
the following types:
Unpackaged
Packaged
Unpackaged Debt Instrument
If a debt instrument is not part of a package, an expiry ticket is generated, in
Amount. The ticket takes the expiry positions of the day into account, along with the
Business Event of the StockLoanExpiry, if the Back Office module is available. If the
Back Office module is not available, it is processed with a Business Event of
Purchase/Sale.
The StockLoanExpiry Business Event can be set in the Parameters section of the
Back Office menu. See the Expiry drop-down list of the Repo/Margin section in the
Corporate Actions tab.
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Packaged Debt Instrument
If the debt instrument is part of a package, and the debt instrument expiration date
is set to a date before the package expiration date, an expiry ticket is generated for
the package component, on which the Business Event is always Coupon. The debt
instrument is then deleted from the package.
Note: Day deals on the package are only taken into account if the Not In Package
option is selected.
For both Packaged and Unpackaged debt instruments, if using the Back Office
module, a ticket is generated in advance according to the Coupon Generation Shift
specified for the debt instrument, or for the package market, and after the start date
of the debt instrument. The ticket is also generated in advance if the amount is
known using the CSRInterestRate::AmountAlreadyKnown method.
The possible values for coupon generation shift are as follows:
-1 Generate as soon as possible.
0 Generate according to specified expiry date.
A number of days The Expiry date minus the number of days specified
here.
Stock Loans
This section describes the Automatic tickets for Stock Loans.
Stock Loan without Margin Calls
Lending and Borrowing
For L&B, the commissions, expiration and interest on the collateral are generated.
The dividends rebate is generated by the Corporate Action.
Commissions and interest on the collateral, can be generated:
at expiration
at the end of the month
at a fixed date
These options can be specified in the definition of the L&B. The global preference
MARKETSHIFTSTOCKLOAN is used to check if the commission between the last of
the period and the open commission is included or not.
To get the interest on the collateral, the method
CSRStockloan::GetCollateralInterestAtExpiry is called, and is generated for L&B
only.
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When using Repos, interest is added to the expiry tickets. The Business Event is
Collateral Rebate. The commission is calculated using the
CSRStockloan::GetCommissionAtExpiry method, with the currency set by the
CSRStockloan::GetCommissionCurrency method. By default, the commission is
expressed in the currency of the collateral, if it is fixed. If the collateral is not fixed,
the commission is expressed in the currency of the principal. The closing price of
Repo bonds includes the commission and is expressed with the accrued coupon if the
bond is quoted cleanly.
Stock Loan with Margin Calls
Stock loans with margin calls behave differently from those without margin calls. The
position is not enough to calculate the commission, the entire transaction is required.
Only Purchase/Sale tickets are taken in account. The following automatic tickets are
generated:
Commission
Interest on the collateral
Margin call
At the end date, an expiry ticket is also generated. The dividend rebate is generated
by the corporate action.
The ticket of commission is generated using the Business Event Commission when
Back Office is not available, and the Business Event specified in the Commission field
of the Repo Margin section in the Corporate Actions tab of the Back Office
Parameters with Back Office. For interest on the collateral, the ticket type is Coupon
without Back Office and as specified in the Collateral Rebate field of the Repo Margin
section in the Corporate Actions tab of the Back Office Parameters with Back Office.
The margin call ticket is calculated by taking the last price of the principal multiplied
by the collateral percentage minus all margin calls and all deprecated collateral.
When tickets are to be validated, the P&L of the book is incorrect. Commissions and
interest are doubled and a reporting is necessary.
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Chapter 11 Portfolio Valuation
This section describes the following:
Creating the Accounting Period on page 237
Loading Market Prices for Specific Dates on page 238
Analysing the Result and its Breakdown on page 241
Evaluating the Portfolio on page 242
Evaluating through Arbitrage on page 242
Dealing with Funding Costs and Financing Calculation on page 243
Calculating the Cash Balance and Physical Stock on page 244
Calculating Risk Indicators on page 251
Recalculating the Position on page 253
Performing Calculations on Individual Positions on page 254
Creating the Accounting Period
When you have selected Reporting Start Date from the Manager menu and run
the reporting, the positions are recalculated by reversing the complete history of the
deals. Following this, the average price, the funding cost until today, the realized and
the income are recalculated.
Therefore, to get an accurate P&L, you must run a report on a portfolio when the
history of the deal has been modified.
Note: You can run the reporting on an active Portfolio, if you do not wish to report on
the whole Portfolio.
1 In the Portfolios menu, select Reporting. The Reporting window is
displayed.
This window allows you to select the calculation mode for the position
recalculations.
Table 11-1 lists the reporting types.
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Loading Market Prices for Specific Dates
You can load the market pricing parameters from a certain date, without changing
the position, using the Prices Date window, where values from a particular date can
be loaded in your portfolio, in place of the current days values.
You can set different dates different values, for example, values for instruments can
be shown from 10/02/03 alongside values of volatilities and correlations from
10/03/03.
To load market prices other than the current date:
1 From the Parameters menu, select Prices Date.
The Prices Date dialog is displayed, as shown in figure 11-2.
Table 11-1 Reporting Dialog
Field Description
FIFO First In, First Out
LIFO Last In, First Out
WAP Weighted Average Price - results are calculated using the
securities average weighted price.
FIFO Futures First In, First Out for Futures only. Everything else uses WAP.
Grouping The menu allows you to group the movements at the server
level in order to optimise calculation time. The average prices
may then be different to those expected, but the results are
always correct.
Detailed - All movements
Two trades per day - All the buy and sell movements
Two trades per payment day
One trade per day
One trade per payment day
Unrealised Reset
Date
All unrealised generated by deals before or equal to this date
is moved to realized.
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Figure 11-1 Prices Date Dialog
Table 11-2 Prices Date Dialog (Sheet 1 of 2)
Field Description
Enter a date for
Checked Parameters:
The date to set to when one or more tick boxes are
selected.
Evaluation Date for
Derivatives
When selected, derivatives are evaluated at the set date.
Other Spots The values of all spots other then FX spots at the set date
are loaded and displayed.
FX Spots All FX spots values at the set date are loaded and
displayed.
Positions All positions values at the set date will be loaded and
shown.
Use Audit Trail The audited versions of the values of trades are loaded
from the specified date. This can be used for greater
accuracy.
Instruments All instruments values at the set date to be loaded and
shown.
Mark P&L Rule Set Includes the P&L Rule set which was used on the set date.
Use PnL Date Sets the PnL Date as the date for reporting. This is used if
you manually change trade dates, but want to calculate the
P&L using the PnL Date.
A global preference, DEFAULT_USE_ENTRY_DATE, can be
used to specify that the Use PnL Date check box is
enabled or disabled by default. See to the Administration
Guide for more information.
Volatilities All volatilities values at the set date are loaded and shown.
Dividends All dividends values at the set date are loaded and shown.
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Prices Date - Example
To use the values set on 10/03/1990 for instruments:
1 Enter 10/03/1990 in the Enter a Date for Checked Parameters field.
2 Select the Instruments tick box.
3 Click OK.
Important: You can calculate the price from old information, but the volatility
remains the same as the volatility of the current date.
If the date is prior to today, all the information is retrieved from the TITRES_HISTO
table instead of the TITRES table. The historic information can be retrieved for:
Instruments
Baskets
Redemptions
Derivatives
Caps & Floors
Dividends
Calendars
Correlations All correlations values at the set date are loaded and
shown.
Credit Risk All credit risk values at the set date are loaded and shown.
Repo Curves All Repo Curves values at the set date are loaded and
shown.
Rate Curves All Repo Curves values at the set date are loaded and
shown.
Theoreticals The system loads theoretical values saved in historical data
(from the HISTORIQUE table). Otherwise, the theoretical
values are recalculated with market prices parameters.
Option Pricer
Categories
Please refer to the Administration Guide for more
information.
Market Categories Please refer to the Administration Guide for more
information.
Table 11-2 Prices Date Dialog (Sheet 2 of 2)
Field Description
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Selecting Currency and Other Position Histories for Pricing
You can select the currency or the other positions or both in the Prices Date dialog,
to recalculate the last price for currencies or other instruments:
Analysing the Result and its Breakdown
The following is a breakdown of a portfolio or sub-portfolio result.
Result = realized + income + unrealised + treasury + financing
Where:
Realized is the amount of capital gains or losses previously realized on
closed positions
Unrealised is the potential capital gain or loss resulting from the difference
between the acquisition cost and the actual valuation of the opened position,
the latter being theoretical, marked-to-market, or through an arbitrage
Income is the amount of commissions and all cash flows and margin calls
on listed futures resulting from the ownership rights associated to securities
Treasury is the cost of funding of the positions until the calculation date. It
is calculated using funding rate defined in each currency set up window.
Financing is the forecast funding cost. It is calculated using the yield
curves of the currencies, by taking into account the settlement rules for
each market
You can choose whether or not to calculate the following values in the Profit and Loss
tab of the Preferences dialog:
The income
The treasury
The financing.
Table 11-3 Spots
Other
Spots
FX Spots Description
No Yes Only the price of the currencies positions are
recalculated using the date displayed in the top edit
box.
Yes No The price of all the positions excluding the currencies
positions will be recalculated using the date displayed
in the top edit box.
Yes Yes The price of all the positions are recalculated using the
date displayed in the top edit box.
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Note: When the loss limit is reached on a portfolio owned by a certain user, the folio
line changes colour to red in both the window of the user and the application
manager.
Evaluating the Portfolio
To deal with the unrealised calculation, you must choose how each type of position
(options, futures, loans) is valued.
To do this, you must select the desired options in the Profit and Loss tab on the
Preferences window. See the Administration Guide for more information on
Preferences.
If you choose theoretical valuation, all the products for which there is a validated
theoretical price are valued using this price, while the products for which there is no
such price are valued using the last listed price taken from the Last column. If there
is no last price, the product price is set to '0'.
However, if you choose to value using market prices, by not putting a tick in the
Result in Theoretical Value field and if the last listed price is not available for a given
value, it is valued according to its theoretical price, if there is one, or at '0'.
Evaluating through Arbitrage
To evaluate through arbitrage, do the following:
1 Select an instrument in the portfolio to arbitrate.
2 Press Ctrl+A or select Arbitrage Rule from the Data menu.
The Arbitrage window is displayed.
3 Enter and select the following information:
Table 11-4 Arbitrage window field descriptions (Sheet 1 of 2)
Field Description
Reference Underlying reference.
Proportion and Parity If X is the proportion and Y the parity, then for X
underlyings, you have Y securities matching the
Reference field.
Cash Distrib. Date Date on which Balance in cash and 2nd Balance in
cash are distributed.
Begin of Loan/End of Loan Beginning and end of the period during which the
underlying instrument has to be borrowed.
Cost of Loan Enables you to take into account the loan cost of a
specific security between two dates.
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4 Click OK.
Dealing with Funding Costs and Financing Calculation
FINANCING The financing amount for deferred payment is calculated in
the Financing column of the portfolio. If you sell a security that has a value
date in the future, the discounted amount of the deal is calculated. The
financing amount is the difference between the discounted amount and the
value of the deal at its payment date.
TREASURY The Treasury columns of the portfolio display the funding cost
of all positions until the reporting date. The treasury is calculated by using a
treasury rate on each currency.
Balance in Cash For long positions, amount added.
Secondary Balance in Cash For short position.
Theoretical Value Only Enables you to take into account the arbitrage rule
only for the theoretical value.
Use future Enables you to evaluate an index according to the
futures.
No arbitrage Enables you to use this rule without specifying, with
the arbitrage button, that the line should be valued
in arbitrage.
Underlying Price To evaluate a derivative, this option enables you to
calculate a derivative using the price of the
underlying.
Underlying Type Takes the volatility of the arbitraged underlying into
account.
Add securities If ticked, in the view by underlying, 'Number of
securities' will include cash positions on the
arbitraged instrument.
Position Unwinding If ticked, a position on the arbitraged instrument will
be converted into a position in the underlying
instrument through 'Automatic tickets'.
Und. Price Price of the underlying.
Hedge Price Output: arbitrage price.
Table 11-4 Arbitrage window field descriptions (Sheet 2 of 2)
Field Description
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Calculating the Cash Balance and Physical Stock
You can calculate the cash balance from the Portfolio window. To calculate the
balance on a deal or a portfolio:
1 In the Portfolio window, select a deal or a portfolio. You can display the
whole portfolio balance, if you do not select any specific items in the
portfolio.
2 Choose one of the following from the Balance toolbar menu:
- Cash the cashflows by currency, quoted in thousands of the monetary
unit. See Cash Balance Report on page 244.
- Physical stock (detail) Actual physical stock and future physical
stock for each day in the future where this figure changes
- Physical stock (dates) Actual physical stock and physical stocks for
three dates, entered by the user.
- Detailed Cash the cashflows for each position, by currency. See
Detailed Cash Balance Report on page 246.
Cash Balance Report
The Cash Balance report shows the cashflows and balance by currency, for the
selected portfolios or positions. The Cash Balance report is shown in figure 11-2.
Figure 11-2 The Cash Balance report
Table 11-5 describes the toolbar buttons of the Cash Balance report that allow you
to change the display of the report.
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Configuring the Cash Balance report
To configure the Cash Balance report, click the Options toolbar button. The
Options dialog is displayed, allowing you to define the date range, colour scheme,
and type of data displayed in the report. This is shown in figure 11-3.
Figure 11-3 The Options Dialog
Table 11-6 describes the fields in the Options dialog.
Table 11-5 Toolbar Buttons of the Cash Balance Report
Button Name Description
Expand Expands all levels of the report.
Collapse Collapses all levels of the report.
Options Opens the Options dialog to configure the display of the
report. For more information, see Configuring the Cash
Balance report on page 245.
Refresh Refreshes the values in report. You must refresh the report
if you change any of the report parameters.
Table 11-6 Options dialog (Sheet 1 of 2)
Name Description
Dates Defines the period for which the report is displayed. You
can determine this by entering a relative date. The report
is displayed from current date to the relative date.
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Detailed Cash Balance Report
The Detailed Cash Balance report shows the cashflows, by position, for the
selected portfolio or positions. The Detailed Cash Balance report can be displayed
in the following three ways:
with a position selected the report is displayed for the positions portfolio.
with a portfolio selected the report is displayed for the selected portfolio.
without a position or portfolio selected the report is displayed for the root
portfolio of the Portfolio window.
The Detailed Cash Balance report is shown in figure 11-4.
Colour Scheme Determines the colour in which the cash flows are
displayed. This is defined as:
Currency cash flows are displayed by their
currency colour.
Negative cash flows are displayed in black if
positive and red if negative.
Certainty cash flows are displayed in red if
uncertain and green if certain.
Data displayed Determines the type of data displayed in the report. This is
defined as:
Balance balances are displayed for each day in
the report.
Cash Flow (certain) certain cash flows are
displayed for each day in the report.
Cash Flow (uncertain) uncertain cash flows are
displayed for each day in the report.
Treasury treasury amounts are displayed for
each day in the report.
Table 11-6 Options dialog (Sheet 2 of 2)
Name Description
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Figure 11-4 The Detailed Cash Balance report
Table 11-7 describes the toolbar buttons of the Detailed Cash Balance report that
allow you to change the display of the report.
Table 11-7 Toolbar Buttons of the Detailed Cash Balance Report
Button Name Description
Expand Expands all levels of the report.
Collapse Collapses all levels of the report.
Options Opens the Options dialog to configure the display of the
report. For more information, see Configuring the Detailed
Cash Balance report on page 248.
Refresh Refreshes the values in report. You must refresh the report
if you change any of the report parameters.
Data
Displayed
Toggles between displaying the cash flow and balance.
Position
Displayed
Displays positions as follows:
Display All Positions all of the selected portfolios
or positions are displayed.
Display Positions With Cash Flow only the
selected portfolios or positions that contain a
cashflow within the report time period are displayed.
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Within the Detailed Cash Balance report, you can display the components of each
cash flow in the report by double-clicking the cash flow amount. See Displaying the
Cash Flow Components on page 249.
You can also display the instrument dialog of each position in the report by selecting
the position and pressing Ctrl+f.
Note: Funds are displayed in the report by fund and then currency.
Configuring the Detailed Cash Balance report
To configure the Detailed Cash Balance report, click the Options toolbar button or
press Ctrl when you launch the report. The Options dialog allows you to define the
date range, colour scheme, and type of data displayed in the report. This is shown in
figure 11-5.
Figure 11-5 The Options Dialog
Table 11-8 describes the fields in the Options dialog.
Currency Displays the currency of positions as follows:
Display in Position Currency positions are
displayed in the currency of the position.
Display in Main Currency positions are displayed
in the currency of the portfolio.
Table 11-8 Options dialog (Sheet 1 of 2)
Name Description
Start Date/End Date The report date range.
Table 11-7 Toolbar Buttons of the Detailed Cash Balance Report
Button Name Description
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Displaying the Cash Flow Components
You can display the components of each cash flow in the report by double-clicking a
cash flow amount. The Detailed Cash Balance - Cash Flow Details dialog is
displayed, as shown in figure 11-6.
Figure 11-6 The Detailed Cash Balance - Cash Flow Details dialog
Cash Balance Per Currency
You can view all cash balances as separate cash positions in each portfolio and in
extraction portfolios. Each cash position is displayed per currency and the Balance
and Unsettled Balance for each cash position is the total for all of positions of the
same currency within the portfolio. The cash positions are displayed alphabetically in
each portfolio.
To enable cash per currency positions in the Portfolio, select the Show the cash
per currency for each portfolio checkbox in the Value tab of the Preferences
dialog.
The Portfolio contains the following columns to display these cash balance positions:
Balance per ccy Displays the settled balance for cash positions.
Unsettled Balance per ccy Displays the unsettled balance for cash
positions.
Colour Scheme Determines the colour in which the cash flows are
displayed. This is defined as:
Currency cash flows are displayed by their
currency colour.
Negative cash flows are displayed in black if
positive and red if negative.
Data displayed Determines the type of data displayed in the report. This is
defined as:
Balance balances are displayed for each day in
the report.
Cash Flow cash flows are displayed for each day
in the report.
You can toggle between Balance and Cash Flow by
clicking the Data displayed toolbar button in the report.
Table 11-8 Options dialog (Sheet 2 of 2)
Name Description
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To display a Cash Balance report for a portfolio, double-click a cash position within
a portfolio.
Figure 11-7 shows a portfolio with cash positions displayed.
Figure 11-7 Portfolio with cash positions
Figure 11-8 shows the same portfolio without cash positions displayed.
Figure 11-8 Portfolio without cash positions
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Margin Calls
Cash flows generated by margin calls with overnight funds are taken into account in
the same way as any cash flow, unless you select the No Margin Call tick box on
the Profit and Loss tab in the Preferences window. See the Administration Guide
for more information on Preferences. The calculation of cash flows uses the futures
history.
Calculating Risk Indicators
For every position in the portfolio, it is possible to calculate and display many risk
indicators.

Table 11-9 Calculating Risk Indicators (Sheet 1 of 2)
Risk indicator Indicators
Delta Delta
Delta%
Delta Cash
Delta curr.global
Delta folio underlying
Global Delta
Gamma Gamma
Gamma%
Gamma Cash
Gamma curr.global
Gamma folio underlying
Global Gamma
Vega Vega
Vega curr. folio
Vega curr. global
Global Vega
Theta Theta
Theta curr. folio
Theta curr. global
Global Theta
Rho Rho
Rho curr. folio
Rho curr. global
Global Rho
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The risk indicators are calculated for a portfolio or sub-portfolio in relation to their
benchmark security. So, if this benchmark security happens to be different from the
underlying of a line, the delta of the line is first multiplied by the beta of the
underlying, then divided by the proportion of the benchmark security to obtain the
delta of the portfolio. It is then multiplied by the ratio of the benchmark security spot
to the security line spot (variations are considered to be proportional to the price,
once beta is taken into account).
(Delta * Underlying Beta) / benchmark security proportion = Delta of the
Portfolio.
Delta of the Portfolio * ratio of benchmark security spot to security line
spot.
In addition to the aggregate delta of a portfolio, you can also view the details for
long and short positions.
Viewing Greek Values in the Portfolio Window
For a given multiple-currency position, the following values are displayed in the
Portfolio window:
The foreign exchange position is displayed in the Delta column
The rho and the convexity are displayed in their respective columns
The delta cash is displayed in the Index column.
For the benchmark currency, which is the currency of the portfolio underlying, the
exchanged position is not displayed.
The FX Greek values in this sub-window of the Portfolio window are shown in the
colour of currency.
To display the amount in cash as a percentage:
Select the FX Delta in % checkbox, on the Display tab in the Preferences
window.
Finally, this figure displays the variation of the result for N percent variation of the
interest rate for the corresponding currency (N defined in the 'Rho' tab of the
Preferences sub-menu, File menu).
Epsilon Epsilon
Epsilon curr. folio
Epsilon curr.global
Global Epsilon
Equity crossed gamma Equity crossed Gamma
Global equity crossed Gamma
Table 11-9 Calculating Risk Indicators (Sheet 2 of 2)
Risk indicator Indicators
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Recalculating the Position
You can recalculate your position after a transaction has been modified. You perform
this calculation locally. Alternatively, you can use the Calculation Server to perform
these calculations. The Calculation Server is a service provided by Sophis. It
conducts calculations on portfolios while allowing you to continue to use the
application during calculation processing. You define the use of the Calculation
Server in the Optimisations tab of the Preferences.
For more information on the Calculation Server, refer to the Calculation Server User
Guide and the Calculation Server Installation & Configuration Guide.
To Recalculate your Position:
From the Portfolios menu, select Calculate Now, or press the shortcut F9.
The position is recalculated.
Note: If you have configured the allocation of processing tasks to the
Calculation Server, the Calculation Server recalculates the position. For more
information, see the Calculation Server User Guide.
F9 recomputes the theoretical values, all the greeks and the accrued coupon
for today. It also aggregates the P&L and greeks at the level of the
underlyings and portfolios. It calculates the unrealised and the financing due
to the valuation of assets. This can affect performance, depending on the
complexity of the open positions.
Calculations on New Deals
When a new deal is booked, the minimum calculations are performed to avoid
affecting performance. This is due to the fact that RISQUE can accept up to 100
deals per second. Reperforming the calculations for each and every new deal would
have an unacceptable impact on performance. The price used for these new deals is
the last theoretical price used, if the instrument already existed in the portfolio, or
the transaction quotation, if not.
If the deal has a Value Date in the past, the Treasury is not updated, because this
would require reloading the overnight history, which would again have an impact on
the performance of the application. Also, recalculating the average price using FIFO
would require reloading the all deals in position. Therefore, the WAP method is
advised.
If the deals are modified rather than created, the original deal is reversed and the
modified deal added. Subsequently, the realised is modified and it is guaranteed that
the realised and unrealised are correct.
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Performing Calculations on Individual Positions
It is also possible to perform calculations on individual positions. To do this, select
the position(s) you want to calculate, right-click on them and select Calculate. The
selected positions are calculated.
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Chapter 12 Fast P&L
This chapter describes fast P&L calculation, which can be performed by pressing F10
or selecting Fast calculation from the Portfolio menu. Fast P&L calculation
recalculates only the theoretical and delta values of instruments based on mappings
defined in fast P&L categories.
It contains the following sections:
Enabling Fast P&L on page 255
Configuring Fast P&L Categories on page 257
Performing Fast P&L on page 267
Important: Fast P&L calculation requires the Fast P&L module.
Enabling Fast P&L
To enable fast P&L calculation, do the following:
1 Select Preferences from the File menu.
2 Select the Optimisations tab.
The Optimisations tab is displayed, as shown in figure 12-1.
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Figure 12-1 Optimisations tab of the Preferences dialog
3 Set the Use Fast P&L Region preference on the Optimisations tab of the
Preferences dialog to one of the following:
- local w/o EOD fast P&L calculation is performed using only the
calculations from an F9 calculation.
- local fast P&L calculation is performed using the calculations from the
latest EOD and an F9 calculation.
The theoretical loaded from the EOD is the theoretical value of the
previous day plus the theta value. To disable the inclusion of the theta
value, set the FASTPNL_EOD_DISABLE_THETA global preference to 1. For
more information about global preferences, see the RISQUE
Administration Guide.
Note: If the Fast PnL module is not enabled, the Use Fast P&L Region preference is
set to Not Used and cannot be modified.
Important: To apply changes to the Use Fast P&L Region preference, you must
restart RISQUE.
If fast P&L calculation is enabled, a green F indicator is displayed in the RISQUE
status bar, as shown in figure 12-2.
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Figure 12-2 Fast P&L Indicator on RISQUE status bar
Double-clicking the fast P&L indicator displays the Fast P&L Status Window, as
shown in figure 12-3.
Figure 12-3 Fast P&L Status Window
Configuring Fast P&L Categories
Fast P&L categories enable you to specify different types of instruments and triggers
for which a selected fast P&L mode is applied. Fast P&L categories are defined in the
Fast P&L Categories window, as shown in figure 12-4.
Figure 12-4 Fast P&L Categories window
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The Fast P&L Categories window is described in the following sections:
Fast P&L Categories Buttons on page 258
Fast P&L Categories Columns on page 258
Defining Fast P&L Categories on page 265
Viewing Deleted Fast P&L Categories on page 266
Applying a Fast P&L Category on page 266
Fast P&L Categories Buttons
Table 12-1 describes the buttons of the Fast P&L Categories window.
Fast P&L Categories Columns
Table 12-2 describes the columns of the Fast P&L Categories window.
Note: You can configure the columns displayed in the Fast P&L Categories window
using the Configuration button on the top left of the RISQUE window.
Table 12-1 Fast P&L Categories Window Buttons
Button Description
Expand Opens the selected category.
Collapse Closes the selected category.
New Creates a new category or adds a new instrument
type row to the group.
Delete Deletes the selected category or instrument type
row.
Priority Up Increases the priority of the instrument type row.
Priority Down Decreases the priority of the instrument type row.
Deleted Elements Opens the Previously deleted Fast P&L
Categories window. For more information, see
Viewing Deleted Fast P&L Categories on
page 266.
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Table 12-2 Fast P&L Categories Window Columns (Sheet 1 of 2)
Column Description
Instrument Type The type of instrument for which the trigger
applies. For more information, see Instrument
Types on page 260.
Instrument Feature 1 A subset of the instruments selected by
Instrument Type. For more information, see
Instrument Features on page 263.
Instrument Feature 2 A subset of the instruments selected by
Instrument Type and Instrument Feature 1.
For more information, see Instrument Features
on page 263.
Fast P&L Mode The type of calculation applied to the specified
instruments. You can select one of the following:
Auto if the Fast P&L Trigger is
reached, full calculation is performed on
the instrument. If the Fast P&L Trigger is
set to XXX, fast calculation is performed.
Manual if the Fast P&L Trigger is
reached, fast calculation is performed but
a Recompute needed message is
displayed in the Fast P&L Calculation
column of the Portfolio window.
Always Full Calculation full
calculation is performed on the instrument
no matter what is set in the Fast P&L
Trigger column.
Restrictive conf.? You can select one of the following:
Yes mappings with a lower priority
within the same category are not taken
into account.
No mappings with a lower priority
within the same category are taken into
account.
Market The market for which the trigger applies.
Currency The currency for which the trigger applies.
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Instrument Types
Table 12-3 describes the instrument types that you can select from the Instrument
Type drop-down list.
Important: Fast P&L calculation is not supported for shares, index baskets, issuers,
FX spots, FX forwards, FX NDFs, packages, and all commodity
instruments except futures. N/A is displayed in the Fast P&L
Calculation column of the Portfolio window for these instruments.
Note: You can modify Instrument Types using the RISQUE Toolkit.
Fast P&L Trigger Defines the condition that must be met by the
specified instrument to apply the specified fast
P&L mode. You can select one of the following:
XXX the specified fast P&L mode is
always applied to the specified instrument.
Any market data changed market
data has changed since the full last
calculation.
Dividend changed the dividend has
changed since the last full calculation.
FullCalc>1H more than one hour has
elapsed since full calculation was
performed.
Instrument changed the instrument
has changed since the last full calculation.
Repo changed the repo has changed
since the last full calculation.
Volatility changed the volatility has
changed since the last full calculation.
delta(Spot) > 1% spot variation is
greater than 1% since the full calculation.
delta(Spot) > 2.5% spot variation is
greater than 2.5% since the last full
calculation.
delta(Spot) > 5% spot variation is
greater than 5% since the last full
calculation.
Table 12-2 Fast P&L Categories Window Columns (Sheet 2 of 2)
Column Description
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Table 12-3 Instrument Types (Sheet 1 of 3)
Instrument Type Description
Any Type All instruments.
COM-Futures All commodity future instruments.
COM-Options-American All American commodity option instruments.
COM-Options-Asian All Asian commodity option instruments.
COM-Options-Futures-LME All commodity option instruments with an LME
future as the underlying.
COM-Options-Futures-Power All commodity option instruments with a power
future as the underlying.
COM-Options-Futures-
Standard
All commodity option instruments with a power
future as the underlying.
COM-Options-Index All commodity option instruments with an index
as the underlying.
COM-Options-Listed All listed commodity option instruments.
COM-Power-GRD-Options All GRD option instruments.
COM-Power-VPP-Options All VPP option instruments.
COM-Swaps-All All commodity swap instruments.
COM-Swaps-Basket MNP/Cash
Swap
All commodity basket and cash swap instruments.
COM-Swaps-Floating/Bullet
Swap
All floating/bullet commodity swap instruments.
COM-Swaps-Floating/Cash Swap All floating/cash commodity swap instruments.
COM-Swaps-Floating/Floating
Swap
All floating/floating commodity swap instruments.
Credit-All All credit swap instruments.
Credit-CDS-Basket All credit default swap basket instruments.
Credit-CDS-CDO All CDO credit default swap instruments.
Credit-CDS-Nth to default All Nth to default credit default swap instruments.
Credit-CDS-Single name All single name credit default swap instruments.
Credit-TRS All total return swap instruments with the Stop if
Default check box selected.
EQU-Contracts for Difference All CFD instruments.
EQU-Futures All equity future instruments.
EQU-Options All option instruments with an equity or index as
the underlying.
EQU-Options-Listed All listed option instruments.
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EQU-Shares All share instruments.
EQU-Stock Loans All stock loan instruments.
EQU-Swaps-All All equity swap instruments.
EQU-Swaps-Equity Swap Fixed
Index
All fixed index equity swap instruments.
EQU-Swaps-Equity Swap
Variable Index
All variable index equity swap instruments.
FI-Bond Option All bond option instruments.
FI-Bonds-All All bond instruments.
FI-Bonds-FRN All floating rate notes bond instruments.
FI-Bonds-Fixed All fixed bond instruments.
FI-Repo All repo instruments.
FX-Futures All forex future instruments.
FX-Options All forex option instruments.
FX-Spot FX All forex spot instruments.
Forex-All All forex instruments.
INF-Bonds-All All inflation bond instruments.
INF-Bonds-Caps & Floors All inflation bond cap or floor instruments.
INF-Bonds-Caps & Floors Digital All digital inflation bond cap or floor instruments.
INF-Swaps-All All inflation swap instruments.
INF-Swaps-Linked All linked inflation swap instruments.
INF-Swaps-Standard All standard inflation swap instruments.
IR-Caps & Floors All interest rate cap or floor instruments.
IR-Caps & Floors Digital All digital interest rate cap or floor instruments.
IR-Futures-All All interest rate futures.
IR-Futures-Bond All interest rate bond futures.
IR-Futures-Monetary All interest rate monetary futures.
IR-Swaps-All All interest rate swap instruments.
IR-Swaps-Asset Swap All asset interest rate swap instruments with the
Stop if Default check box not selected.
IR-Swaps-CIRS Fixed-Floating All CIRS fixed/floating interest rate swap
instruments.
IR-Swaps-CS Fixed-Fixed All CS fixed/fixed interest rate swap instruments.
IR-Swaps-Domestic Basis Swap All domestic basis interest rate swap instruments.
IR-Swaps-IRS All interest rate swap instruments.
Table 12-3 Instrument Types (Sheet 2 of 3)
Instrument Type Description
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Instrument Features
Table 12-4 describes the instrument features that you can select from the
Instrument Feature drop-down list. Instrument Feature defines a sub-set of the
instruments selected by Instrument Type. For more information about instrument
types, see Instrument Types on page 260.
IR-Swaps-Single legged All single leg interest rate swap instruments.
IR-Swaps-X CCY Basis Swap All cross currency basis interest rate swap
instruments.
IR-Swaptions All interest rate swaption instruments.
Package All package instruments.
TREAS-Debt Instrument All debt instruments.
TREAS-Debt Instrument-Fixed
Rate
All fixed rate debt instruments.
TREAS-Debt Instrument-Floating
Rate
All floating rate debt instruments.
TREAS-FRA All forward rate agreement instruments.
Table 12-4 Instrument Features (Sheet 1 of 2)
Instrument Feature Description
Amortizing-No All instruments of the specified type without
amortization.
Amortizing-Yes All instruments of the specified type with
amortization.
Any Feature All instruments of the specified type.
Average-Average index All instruments of the specified type with an index
average defined.
Average-Average strike All instruments of the specified type with a strike
average defined.
Average-No average All instruments of the specified type with no
average defined.
Barrier-Double All double barrier option instruments of the
specified type.
Barrier-None All instruments of the specified type with no
defined barriers.
Barrier-Single All single barrier option instruments of the
specified type.
Table 12-3 Instrument Types (Sheet 3 of 3)
Instrument Type Description
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Bond Callable All instruments of the specified type with the
model set to Callable Bond.
Cancelable Swap All instruments of the specified type with the
Cancelable check box selected.
Convexity-CMS All instruments of the specified type with CMS
convexity.
Convexity-In Arrears All instruments of the specified type with in
arrears convexity.
Convexity-None All instruments of the specified type with no
convexity defined.
Convexity-Quanto All instruments of the specified type with quanto
convexity.
Correlation Swap All instruments of the specified type with the
model set to Correlation Swap.
Option Style-American All instruments of the specified type defined with
the American exercise style.
Option Style-Bermudan All instruments of the specified type defined with
the Bermudan exercise style.
Option Style-European All instruments of the specified type defined with
the European exercise style.
Underlying-Basket All instruments of the specified type with a basket
as the underlying.
Underlying-Index All instruments of the specified type with an index
as the underlying.
Underlying-One All instruments of the specified type with one
underlying.
Underlying-Two All instruments of the specified type with two
underlyings.
Vanila All instruments of the specified type with no
convexity, no barrier, no path dependency, and no
average.
Variance Swap All instruments of the specified type defined with
the variance swap model.
Volatility Swap All instruments of the specified type defined with
the volatility swap model.
Table 12-4 Instrument Features (Sheet 2 of 2)
Instrument Feature Description
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Defining Fast P&L Categories
To define a fast P&L category, do the following:
1 Select Fast P&L Categories from the Parameters menu.
The Fast P&L Categories window is displayed, as shown in figure 12-5.
Figure 12-5 Fast P&L Categories window
Note: To modify the Fast P&L Categories window, the user right IMC
FastPnL Category must be set to Write. For more information about user
rights, see the RISQUE Administration Guide.
For more information about the buttons and columns of the Fast P&L
Categories window, see Fast P&L Categories Buttons on page 258 and
Fast P&L Categories Columns on page 258.
2 Click the New button.
The Category window is displayed, as shown in figure 12-6.
Figure 12-6 Category window
3 Enter a category Name and Comments and click OK.
The new category is displayed in the Market Categories window.
4 Expand the category and select the Version Currently Used line.
5 Click the New button to add a new mapping between specific instrument
types and fast calculation triggers.
6 Select one of the instrument types from the Instrument Type drop-down
list. For more information, see Instrument Types on page 260.
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7 Select a trigger from the Fast P&L Trigger drop-down list. For more
information about triggers, see table 12-2.
You can continue to add new mappings and new categories.
8 Use the Priority Up and Priority Down buttons to change the priority of
the mappings.
Fast P&L categories are saved in a hierarchical list. The #1 mapping is used
before the #2 mapping, followed by the #3 mapping, and so on. The
individual identifier number of each setting is used as the identifier in the
database. For example, 9002 in the example in figure 12-5.
9 Close the window and click Save in the dialog window to save your settings.
Apply a fast P&L category to the instruments in RISQUE by selecting it in the
Preferences dialog. For more information, see Applying a Fast P&L
Category on page 266.
Note: By default, if a position does not match any of the mappings in the selected
fast P&L category or no Fast P&L category is selected on the Model tab of the
Preferences dialog, fast calculation is performed.
Viewing Deleted Fast P&L Categories
To view previously deleted categories, do the following:
Click the Deleted Elements button.
The Previously deleted Fast P&L Categories window is displayed,
showing the market categories and their dates of deletion, as shown in
figure 12-7.
Figure 12-7 Previously deleted Fast P&L Categories window
Applying a Fast P&L Category
To apply a fast P&L category defined in the Fast P&L Categories window to the
specified instruments, do the following:
1 Select Preferences from the File menu.
2 Select the Model tab.
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The Model window is displayed, as shown in figure 12-8.
Figure 12-8 Model preferences window
3 Select the fast P&L category in the Fast P&L Category drop-down list to
apply fast calculation to the instrument types and triggers defined for the
category.
Performing Fast P&L
To perform fast calculation, do the following:
1 Perform a full calculation on a portfolio by selecting Calculate Now from
the Portfolio menu or pressing F9.
This calculation computes and stores the deltas, gammas, and spot used by
fast calculation. Full P&L[hh:mm:ss] is displayed in the Fast P&L
Calculation column of the Portfolio window. This indicates that there is
data available for fast P&L calculation, which can be displayed in the Fast
P&L Buffer Window by right-clicking the position and selecting Fast P&L
data. Figure 12-9 shows the Fast P&L Buffer Window.
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Figure 12-9 Fast P&L Buffer Window
2 Select Fast calculation from the Portfolio menu or press F10.
If a fast P&L trigger is met and the fast P&L mode is set to Auto, this
calculation recomputes the theoretical and delta values using the Taylor
expansion. Fast P&L[hh:mm:ss] is displayed in the Fast P&L
Calculation column of the Portfolio window.
If a fast P&L trigger is met and the fast P&L mode is set to Manual,
Recompute needed[hh:mm:ss] is displayed in the Fast P&L
Calculation column of the Portfolio window to indicate that a new F9
calculation is required.
Fast P&L Example
This section describes the fast P&L calculation of an example option. Figure 12-10
shows the Fast P&L Example category, which is selected on the Model tab of the
Preferences dialog.
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Figure 12-10 Fast P&L Example category
The Fast P&L Example category contains a mapping that triggers fast calculation in
Auto mode if the spot of an option changes by more than 1%.
Figure 12-11 shows the Fast P&L Example portfolio, containing a deal on a call
option on a share.
Figure 12-11 Fast P&L Calculation portfolio
No data is displayed in the Fast P&L Calculation portfolio to indicate that no data
is available to perform fast P&L calculation from an EOD or full calculation.
Figure 12-12 shows the Fast P&L Example portfolio after F9 is pressed.
Figure 12-12 Fast P&L Calculation portfolio
Full P&L[09:50:23] is displayed in the Fast P&L Calculation column. This
indicates that there is data available from the full calculation at 9:50:23 to perform a
fast P&L calculation. This data can be displayed in the Fast P&L Buffer Window, as
shown in figure 12-13, by right-clicking the option and selecting Fast P&L data.
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Figure 12-13 Fast P&L Buffer Window
Figure 12-14 shows the Fast P&L Example portfolio after the spot of the option has
changed by less than 1% and F10 is pressed.
Figure 12-14 Fast P&L Calculation portfolio
Fast calculation recomputes the theoretical and delta values of the option. Fast
P&L[09:50:23] is displayed in the Fast P&L Calculation column of the Portfolio
window to indicate that the values are from a fast calculation based on a full
calculation at 9:50:23.
Note: If the spot of the option changed by more than 1% and F10 was pressed, full
calculation is performed.
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Chapter 13 Simulation Mode
This chapter describes Simulation Mode. Simulation Mode enables you to perform
simulated transactions to evaluate the effect on values such as profit and loss and
risk indicators. This chapter includes the following sections:
Activating Simulation Mode on page 271
Creating a Deal in Simulation Mode on page 271
Deactivating Simulation Mode on page 272
Viewing a Simulated Modification on page 272
Approving a Simulated Deal on page 272
Activating Simulation Mode
This section describes how to activate Simulation Mode.
To activate Simulation Mode, do the following:
Select Activate the Simulation from the File menu.
The colour of the menu bar changes to red.
Creating a Deal in Simulation Mode
This section describes how to create a deal in Simulation Mode. The procedure for
creating a deal in Simulation Mode is the same procedure for creating a deal in
normal mode.
Deals that have been created in Simulation Mode are displayed with a playing card
icon. You can modify the parameters of underlying instruments and derivative
instruments in Simulation Mode. Deals entered in Simulation Mode do not have any
effect on the real P&L and the risk indicators.
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Deactivating Simulation Mode
This section describes how to deactivate Simulation Mode. Deactivate Simulation
Mode once you have completed simulated transactions.
To deactivate Simulation Mode, do the following:
Choose De-activate the Simulation from the File menu.
The colour of the menu bar changes from red to blue.
The Modifications while simulating window is displayed if you made
modifications to any of the following while in Simulation Mode:
- Dividends
- Repo Curves
- Volatilities
- Tax Credits
For more information about saving or modifying these changes, see
Viewing a Simulated Modification on page 272.
The saving of all other modifications is determined by the SimulationMode
global preference. For more information, see Modification Behaviour in
Simulation Mode on page 273.
Note: Trades created in Simulation Mode are stored in the database, but are not
visible when Simulation Mode is deactivated.
Viewing a Simulated Modification
This section describes how to view a simulated modification. For more information
about displaying the Modifications while simulating window, see Deactivating
Simulation Mode on page 272.
To view a simulated modification, do the following:
Double-click an entry in the Modifications while simulating window.
The modification is displayed. When closing this dialog, you are prompted to
save or cancel the modification. If you cancel the modification, it is marked
with a red strike-through in the modifications list.
Approving a Simulated Deal
This section describes how to approve a simulated deal for execution in normal
mode. You can automatically execute actions in normal mode that you simulated in
Simulation Mode.
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To execute a simulated deal in normal mode, do the following:
Caution: You cannot undo this action.
1 In the Portfolio window, select a simulated position.
2 Click the Arbitrage button on the Portfolio window toolbar to execute the
simulated deal in normal mode.
Modification Behaviour in Simulation Mode
The global preference, SimulationMode, determines how modifications, other than
those listed in Deactivating Simulation Mode on page 272, are saved when ending
Simulation Mode. Set this preference as follows:
0 all modifications are saved when ending Simulation Mode.
1 modifications are not saved when ending Simulation Mode but are kept
until the application is closed.
2 a message is displayed advising that no modifications are saved to the
database.
3 you are prompted to either save the changes or continue editing and
the modifications are kept for the current session of RISQUE.
The default value for SimulationMode is 3.
Important: It is not possible to delete instruments from the instrument lists while in
Simulation Mode. If you attempt to do this, you receive an error
message.
It is also not possible to delete, modify, or move real positions while in
Simulation Mode.
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Chapter 14 Derivative and Option Lists
This chapter describes procedures for working with Derivative and Option lists.
Derivative List
This menu allows you to define sub-lists of derivatives. Selecting a list allows you to
visualize Greeks, the theoretical price, the volatility and the underlying price.
Adding a Derivative List
This section describes how to add a list of derivatives. You can define several lists of
derivatives at the same time for future reuse.
To Add a Derivatives List:
1 From the Quotation menu, select Add a Derivatives List...
The Add a screen dialog is displayed.
Figure 14-1 Add a Screen dialog.
This window lets you create a Derivative Quotation windows.
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2 Select one or more securities from the General list. The following
sub-categories make up the items in the General list:
- Stock derivatives
- Convertibles & indexed
- Packages
- Interest rate derivatives
3 Click the right arrow button to add the selected securities to the
Configuration list. The selected securities are in the Configuration list.
Note: To remove an item from the Configuration list, select the item, then
click the left arrow button. The item reappears in the General list.
4 Click Save. The following dialog box opens:
Figure 14-2 Save as dialog.
5 Enter the name of the derivatives list.
6 Click OK. This saves the Derivative List and closes the dialog box.
Note: When you save a list, the list of products associated with the
Derivatives List as well as the P and S margins are also saved.
Displaying Derivatives Lists
This section describes how to display a Derivatives List.
To Display a Derivatives List:
1 From the Quotations menu, select the Derivative List to display.
A window similar to the following opens:
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Figure 14-3 Derivative List.
Caution: The Bid/Ask volatilities that can be defined for an underlying are not used
here.
Note: You can add Derivatives to the list by copying the derivative from the Stock
Derivatives list window and pasting it into the derivative list.
Table 14-1 Derivative list columns.
Column Description
Price Und. Underlying price is displayed as it would in an
option-pricing screen. The default value is the current
price. This field is editable.
Margin P Margin expressed in volatility or in price. This value is
needed to calculate Purchase.
Margin S Margin expressed in volatility or in price. This value is
needed to calculate Sale.
Volat Product P&L volatility of the underlying.
Purchase Price based on Volat Product + Margin P.
Sale Price based on Volat Product + Margin S.
Delta, Gamma, Rho,
Vega
Based on the Volat Product.
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Deleting a Derivatives List
This section describes how to delete a derivatives list.
To Delete a Derivatives List:
1 From the Quotation menu, select Delete a derivatives list.
The Record to delete window appears:
Figure 14-4 Delete a derivative list.
2 Select a Derivative list to delete, then click Erase. A dialog box that asks
you to confirm your choice appears.
3 Click OK to confirm. This deletes the Derivative List.
Deleting a Derivative from the Derivative List
This section describes how to delete a derivative from the Derivative List.
To Delete a Derivative from the Derivative List:
1 Display the Derivative List from which you want to delete a derivative.
2 From the Derivatives List, select the security to delete.
3 From the Edit menu, select Delete.
A dialog box that asks you to confirm your choice appears.
4 Click Delete to confirm.
Option List
This allows you to define a template for quotations with strikes, maturities and a
derivative. Selecting an underlying and launching the template, calculates the
theoretical prices corresponding to the strikes and maturities.
This menu allows you to define templates used in interest rates and volatility
scenarios. These templates must be selected in the tab 'Rho' of the preferences to
activate them.
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Adding an Option List
This section describes how to create an Option list. An Option List lets you create a
generic framework that simultaneously prices a matrix of equity option for different
strikes and maturities.
To create an Option List:
1 From the Quotation menu, select Add an Option List
This displays the following dialog box:
Figure 14-5 Model dialog.
2 Enter values in the text boxes as described in table 14-2:
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Table 14-2 Add derivative model dialog. (Sheet 1 of 2)
Field Description
Model Name Enter the name of the option list.
Derivative Enter the reference of the option used as a template for all
options of the option list.
The plain vanilla option used as a template should
only be used as a template. Use of this option as an
individual option is not recommended as it can be
bought or sold.
The selected option cannot have over volatility.
Strike Type Select a strike type from the drop-down list. The options are
as follows:
Spot in %
Absolute strike
Strike in delta
Delta cash
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Note: The pricing model associated with the specified template evaluates
every option derived from the option list set-up.
3 Click OK. This creates an option list.
Note: To edit your model, hold down the Shift key while selecting the model
from the Quotation menu.
Displaying an Option List
This section describes how to display an Option List. This section also describes how
to apply an Option List to an underlying.
To view an Option List for an underlying, do the following:
1 From the Instruments menu, select an instrument, such as a share.
2 Select an Option List from the Quotation menu. An Option List window
similar to the following opens:
Figure 14-6 Strategy window.
Transposition Select the Transposition check box to reorder the display of
the option list. Selecting the Transposition check box displays
strikes vertically and maturities horizontally.
Strike (%) Select the Strike (%) check box to display the input strikes
as a percentage of the instrument spot (money spot).
Strikes Select an item from the Strikes pane and triple-click to enter
the strike in the cell.
Maturity Select an item from the Maturity pane and triple-click to
enter the maturity in the cell in relative or absolute date
Table 14-2 Add derivative model dialog. (Sheet 2 of 2)
Field Description
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The Strategy window is used to simulate option purchase/sales in order to
set up a strategy. You must enter in the empty column the number of
options you want to buy or sell in order to check the aggregated greeks
which result from this strategy. These Greeks are displayed in the upper
frame of this window.
Editing Values in the Option List Window
You can edit the values of the following items in the Option List window:
Spot The underlying price appears in the same way that it would appear
in an option pricing screen.
Interest rate to option's maturity
Volatility
Strike
Maturity dates, after transposition of the Option List.
An option's price that leads to the calculation of implied volatility
Table 14-3 Strategy window buttons.
Icon Description
Refresh button. This button refreshes the window.
Open underlying button. This allows you to open the
underlying.
Column Display button. This button allows you to add or
remove columns.
Priority button. This button allows you to specify whether or
not you receive real-time updates for this option.
Amount or Percent button. This button allows you to specify
the prices displayed in percentage or amount.
Transpose button. This button allows you to display strikes
vertically and maturities horizontally.
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Caution: Do not change the date in the Option List window.
Note: Click a parameter (strike or maturity) on the x-axis to display a shortcut menu
that displays all available strikes or maturities.
Content of the Option List Window
For each strike, maturity, call and put, the Option List window displays:
Theoretical price (blue), Delta (green) and Vega (red).
Theta (blue), Rho (for a change of 100 bp) (green) and Gamma (for a
change of one unit)(red).
Underlying forward price is displayed according to the selected maturity
Dividends and tax credits
If the underlying is a single stock, but not for an index or a basket.
If parameters are modified, the Option List is instantly recalculated. A change in the
volatility of a strike, a maturity, a call or put recalculates the option price. A change
in the option price recalculates the implied volatility.
Part 2: Deal Management
This part describes:This part
describes:
Deals
Creating Deals
Deals on each instrument
Multiple deals
Automatic Tickets
Alert Book and Portfolio
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Chapter 15 Deals
This chapter introduces Deals. It contains the following sections:
Creating Deals on page 285
Business Events on page 294
Movements on page 296
Workflow on page 297
Creating Deals
This section describes the various methods of creating a deal. It contains the
following sections:
Creating a New Deal on page 285
Creating a Deal on an Instrument on page 287
Using the Deal Input Dialog on page 288
Changing Currency on page 290
Viewing the Underlying on page 291
Viewing Depository Details on page 291
Setting the Price Type on page 292
Creating a New Deal
To create a new, blank deal, perform one of the following steps:
Select the required deal type from the Tickets menu.
This allows you to create deals, and in certain cases create the instruments
you want to deal on at the same time as you make the deal. An example of
such a deal is the Barrier ticket. For more information on these types of
deal, see the individual deal chapters.
Press Ctrl+n while the Portfolio window is open.
This opens the standard Deal Input dialog, as shown in figure 15-1.
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Select a deal in the portfolio, and create a new deal.
This opens the standard Deal Input dialog, but populates the fields with
information based on the selected trades instrument.
Complete the following steps to create a new deal in the Portfolio window:
1 While ensuring that nothing is selected, press Ctrl+n in the Portfolio
window. The Deal Input dialog is displayed.
Figure 15-1 shows the standard Deal Input dialog.
Figure 15-1 Standard deal input dialog
Important: Fields are added and removed depending on the type of deal performed.
For example, a deal on a Cap and Floor includes a Nominal field beneath
the Quantity field, while Bonds include Accrued Interest fields and
populate the Paying leg pane.
2 Click the Browse button to specify the instrument you want to trade on.
This opens the Reference Browser.
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Figure 15-2 Deal Input Reference Browser
The Reference Browser allows you to search for the instrument you want to
trade on by allowing you to apply two filters, Instrument Type and Currency.
This allows you to create a subset of instruments, in which you can more
easily find the instrument you want.
You can also use the Name, Code, Reference, Type and Currency column
heading buttons to sort the results.
3 Select the instrument you want to trade on and click OK.
The Deal Input dialog is populated with the information defined on the
instrument and the current date.
Creating a Deal on an Instrument
To create a deal based on an instrument, drag and drop the instrument from the
instrument list to the Portfolio window. Assuming the criteria are correct, the
standard Deal Input dialog opens, with the chosen instrument as the basis.
If you want to create a deal based on an existing deal, select the deal in the portfolio
and press Ctrl+n, or File and New. This creates a new deal based on the chosen
deals instrument. Any deals made in this manner are not saved as separate deals in
the same folder as the selected trade, but are saved as movements in the movement
history of the selected trade.
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Using the Deal Input Dialog
The following table describes the Deal Input dialog:
Table 15-1 Deal Input dialog (Sheet 1 of 3)
Field Description
Accrued Interest Accrued interest calculated from the coupon date until today
plus the number of days defining the settlement rule of the
quotation market.
Accrued Interest
Date
The calculation date of the accrued interest.
BO Remarks This is a free input cell for comments that are made by either
the Middle or Back Office.
Broker Shows the name of the broker. The option shown in the
drop-down list is made from all third parties that have been
defined as brokers and who can operate on the defined
market.
Broker Fees Shows the broker fees that are relative to the Broker. They
are calculated automatically from information set in the
broker fees window for third parties. The broker fees can be
modified if you have the relevant access right.
Browse Opens the Reference Browser. This dialog allows you to
search for the instrument you want to trade on.
Business Event Specifies the business event, for example, Purchase/Sale
that is taking place. See the Back Office User Guide for the
list of available business events.
Cancel Closes the window without accepting modifications.
Change Rate The Exchange rate. This value depends on the direction of
the exchange. The exchange direction is defined in the
drop-down list directly below this field. The maximum value
of this field is 10,000,000.
Counterparty Shows the name of the counterparty. The list shown in the
drop down list box is made from all third parties that have
been defined as counterparties and who can operate on the
market.
Counterparty fees Specify the counterparty fee here. This field is populated
automatically based on the Counterparty definition. See the
Administration Guide for more information.
Currency The name of the currency in which the payment is to be
made in. From the drop-down menu, you can choose a
currency different than the instrument one, in order to
define a cross-currency trade.
If you select a currency other than the base currency, the
Exchange Rate and Direction fields will appear below.
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Depositary Shows the name of the depositary. The list shown in the drop
down list box is made up of the third parties that are defined
as depositaries and can operate on the specified market.
The Depositary button beside this field displays additional
information for each depositary in the loaded portfolios. For
more information, see Viewing Depository Details on
page 291.
Direction Select the direction of the currency exchange from the
drop-down list, for example, EUR->USD or USD->EUR.
Entity Select the name of the entity for which the trade is being
made.
PnL Date The date when the trade was entered into the system. This
cannot be modified by the Front Office but can be by the
Back Office where the original information is then saved into
the audit.
Exchange Rate Displays the exchange rate for the currency exchange.
ex coupon Select this check box to enforce the ex-coupon date.
FO Remarks This is a free input cell for comments by the Front Office.
Folio The name of the folio to which you want to save the trade.
Income pane In this pane, the system displays information about the
in/out income of the trade (receiving and paying leg for
swaps, dividends for shares, coupons for bonds).
Gross Amount Shows the gross amount (without fees) for the trade.
Market Fees Shows the market fees are relative to the counterparty and
depositary. They are calculated automatically from
information set in the broker fees window for those third
parties. The market fees can be modified if you have the
right to do so.
Mode The following modes are available:
Real The trade is real and all information is applied
to the P&L.
Simulation The trade is simulated. No changes are
applied to the P&L.
Brokerage The trade is real but only the fees are
applied to the P&L.
Name The name of the instrument, shown once the reference has
been entered.
New Deal Accept Accepts the deal where it will then enter the Pending deals
blotter for validation.
New Deal Pending Creates the new deal and adds it to the Pending list in the
workflow.
Table 15-1 Deal Input dialog (Sheet 2 of 3)
Field Description
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Changing Currency
Changing the currency of the Amount pane, dynamically adds the following fields to
the dialog:
Price in which you can set to one of the following:
- Price in underlying currency Displays the price in the currency of the
underlying
- Price in payment currency Displays the price as specified in the
currency drop-down list.
- Price in pence Displays the price in pence.
Net Amount Shows the net amount (fees included) for the trade.
Nominal A field containing the nominal is displayed for instruments
that have one. Such as Caps and Floors, Bonds and so on.
Operator This field is automatically set to the user who is creating the
deal.
Price The transaction unit price for the instrument being bought or
sold.
Price Type Select how the price should be set:
In amount
In rate
In percentage
Without accrued
In percentage with accrued
In XXX
Uncertain
Quantity The number of securities bought (positive) or sold
(negative).
Reference Reference of the instrument that is being traded. This field
can hold a maximum of 80 characters.
Settlement Date Payment date of the trade amount, automatically calculated
using the settlement rules of the instrument market. This
Value date can be modified.
Status Shows the status of the deal in relation to the Back Office.
Further information on the status of a deal can be found in
the Back Office User Guide.
Time Time (at the workstation) when the negotiation is made.
Trade Date Shows the date at which the trade was negotiated. It is
possible to enter past or future trades. By default it shows
the current date.
Table 15-1 Deal Input dialog (Sheet 3 of 3)
Field Description
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Change rate Exchange rate.
Currency direction, that is HKD/EUR, or EUR/HKD, for example. Changing
this alters the Change rate.
If you change the payment currency of a deal, and additional deal is created along
with the original. The additional deal is called a Virtual Forex and allows the system
to handle the change in currency. If the underlyings currency is HKD and you change
the payment currency to EUR, the Virtual Forex ticket is named HKD vs. EUR and is
identical to the original ticket.
Viewing the Underlying
To view the underlying of the deal, hold down the Alt button and click on the deal in
the Portfolio window. The instrument definition dialog is displayed.
Viewing Depository Details
The global preference TICKET_DEPOSITARIES_QUANTITIES determines the values
for the selected depository in the Depository pop-up. The pop-up is displayed by
clicking the Depository button in the Deal Input dialog.
There are six values that you can choose to display or hide in the Depositary
pop-up:
Position
Lent
Borrowed
CFD
Total
Excess borrows
The value of TICKET_DEPOSITARIES_QUANTITIES is an integer which represents a
binary set of flags specifying which columns are displayed.
To set the global preference:
1 Determine which columns to display. The table uses a binary switch, that is,
a value of 1 displays the column, a value of 0 hides the column. The bulleted
list above reflects the order of the switches. For example, if you want to
show only Position and CFD, the binary would be 100100.
Note: The values will display only if there is data available for the columns.
2 Convert the binary to an integer. You can use the Windows calculator to
convert binaries to integers. In the example from step 1, 100100 is
converted to 36.
3 Set TICKET_DEPOSITARIES_QUANTITIES to the appropriate value. In the
example, this would be 36.
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The default value is 39, which RISQUE interprets as the binary 100111. This displays
Position, Lent, Borrowed and Excess Borrows. To see all columns, the preference
should equal binary 111111 = decimal 63.
Table 15-2 describes the columns that can be displayed in the Depositary pop-up.
For more information about global preferences, see the RISQUE Installation Guide.
Setting the Price Type
The Price Type drop-down list of the Deal Input dialog determines how several
fields are expressed. The price type can be set to one of the following:
In amount
In rate
In percentage
Without accrued
Table 15-2 Columns of the Depositary pop-up
Column Value
Lent Sum of quantities on stock loan and repo deals that have
a negative quantity, and the underlying is the deals
instrument
Borrowed Sum of quantities on stock loan and repo deals that have
a positive quantity, and the underlying is the deals
instrument.
CFD Sum of quantities on CFD deals where the underlying is
the deals instrument.
Position Sum of quantities of deals on the current deal instrument
in all loaded portfolios, excluding the quantity of the deal
being edited.
Excess Borrows Position column + Borrowed column
Total Sum of all values displayed.
Total data is considered to be found if there are at least 2
columns of data found. If only Position and Borrowed
quantities are present, Total is useful only if Excess
Borrows does not have to be displayed. In that case Total
= Excess Borrows.
Excess Borrows quantity is excluded in this total since it
is already a sub-total. Lent quantity is counted negatively
(when you select the Lent quantity in the menu, it is set
as a negative quantity in the deal).
Even if it is not displayed, the Position value is always
taken into account in the Total.
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In percentage with accrued
In XXX
Uncertain
Depending on the instrument, the Price Type drop-down list affects the values
displayed in the following fields of the Deal Input dialog:
Price
Accrued Amount
Gross Amount
Net Amount
In Amount
Setting the Price Type to In Amount determines the following behaviour for swaps
and bonds:
The Price field displays the dirty price.
The Accrued Amount field is set to 0.
The Gross Amount field is calculated as the quantity multiplied by the
price.
The Net Amount field is calculated as the gross amount plus the sum of
any fees.
In Rate
Setting the Price Type to In Rate determines the following behaviour:
If the deal is on a credit default swap (CDS) or swap, the price is defined as
a spread on the fixed leg of the swap.
If the deal is on a bond or an asset backed security (ABS), the price is
quoted as the YTM value.
In Percentage
Setting the Price Type to In Percentage determines the following behaviour for
swaps and bonds:
The Price field displays the clean price as a percentage of the nominal.
The Accrued Amount field is calculated as follows:
- If the ex coupon check box is selected, the accrued amount is calculated
backwards from the last date of the current period to the trade date.
- If the ex coupon check box is not selected, the accrued amount is
calculated from the start date of the current period to the trade date.
The Gross Amount field is calculated as the quantity multiplied by the price
plus the accrued amount.
The Net Amount field is calculated as the gross amount plus the sum of
any fees.
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Without Accrued
Setting the Price Type to Without Accrued determines the following behaviour for
swaps and bonds:
The Price field displays the clean price.
The Accrued Amount field is calculated as follows:
- If the ex coupon check box is selected, the accrued amount is calculated
backwards from the last date of the current period to the trade date.
- If the ex coupon check box is not selected, the accrued amount is
calculated from the start date of the current period to the trade date.
The Gross Amount field is calculated as the quantity multiplied by the price
plus the accrued amount.
The Net Amount field is calculated as the gross amount plus the sum of
any fees.
In Percentage With Accrued
Setting the Price Type to In Percentagte With Accrued determines the following
behaviour for swaps and bonds:
The Price field displays the dirty price as a percentage of the nominal.
The Accrued Amount field is set to 0.
The Gross Amount field is calculated as the nominal multiplied by the
price.
The Net Amount field is calculated as the gross amount plus the sum of
any fees.
In XXX
The In XXX price type only applies to deals on forex pairs. The Net Amount field is
calculated using the quantity, price, and forex rate.
Uncertain
The Uncertain price type only applies to deals on forex pairs. This price type inverts
the market way of the forex pair. As a result, the Net Amount field is calculated as
the quantity mulitplied by the price and the inverted forex rate.
Business Events
This section describes the default business events. For information on defining new
business events, see the Back Office User Guide.
Business Events are either:
Driven manually, such as by a purchase.
Time driven, such as the expiration of an option.
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Table 15-3 Business Event descriptions. (Sheet 1 of 2)
Business Event Description
Purchase/Sale Default event used when purchasing an underlying.
Coupon Default event used when a dividend is due on a share.
Split Default event used when creating a split on shares.
Free Default event used when a free attribution is applied to
a share.
Tax Credit Default event used when tax credit is applied to a
share.
Currency Exchange done, for example for USD against EUR.
Commission Default event used for a cash movement
Balance Default event generated during the EOY procedure.
Takes its quantity from the balance of all the
movements realised for a position.
Exercise Default event used for the automatic ticket generated at
the expiry or exercise of options and swaps.
Netting Obsolete.
Instr. Modif. Default event used to automatically create a ticket
when the OTC underlying of a trade is modified.
Quantity is always zero.
Margin Call Default event used for Stock Loans with margin calls.
The amount applied to the ticket is the difference of the
price introduced in the Price field of the Deal Input
window and the last price of the underlying
Nominal Increase Default event created to represent the increase of
nominal. Of particular relevance to Equity Swaps with
model set to Increase Nominal and one leg of type
Floating Index.
Commission Reversal Default event generated when running the EOY
procedure. Can also be used to manually adjust a
commission in the P&L.
Realised Reversal Default event generated when running the EOY
procedure. Can also be used to adjust the value of the
realised amount in the P&L.
Interest Reversal Default event generated when running the EOY
procedure. Also used with Stock Loans.
Coupon Reversal Default event generated when running the EOY
procedure.
Financing Reversal Default event generated when running the EOY
procedure. Can also be used to adjust the value of the
financing amount in the P&L.
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The type of Business Event shown in the Deal Input dialog depends on the
instrument on which the deal is made.
For example, the following types of business event are available in a deal on a
future:
Purchase/Sale
Free
Currency
Commission
Commission Reversal
Movements
Double-clicking on an underlying in the portfolio opens the movement window for
that underlying. The movement window contains all the trades made on that
underlying.
The example in figure 15-3 shows one movement on a Convertible Bond called
ConBond1Test. If more deals are made on this instrument, this window is populated
with those deals.
You can view the details of each deal by double-clicking on the movement. This
opens a read-only version of the Deal Input dialog.
Tax Credit Reversal Default event generated when running the EOY
procedure. Can also be used to adjust the value of the
Income amount in the P&L.
P&L Sold Default event generated when running the EOY
procedure.
Nominal Decrease Default event created to represent the decrease of
nominal. Of particular relevance to Equity Swaps with
model set to Increase Nominal and one leg of type
Floating Index.
Realised
Loan/Repo Commission
Loan/Repo Collateral
Loan/Repo Margin
Table 15-3 Business Event descriptions. (Sheet 2 of 2)
Business Event Description
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Figure 15-3 Movement window
Note: You can disable real-time updates of the movement history window by setting
the RISKPREF preference, DisableRealTimeDealBlotter to 1.
Workflow
A default workflow system is shipped with this installation. If you do not have the
Back Office, it is not possible to create your own customised workflow. The default
workflow allows you to force your trades to move through a predefined cycle of
editing before approval.
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Chapter 16 Corporate Actions
This chapter describes Corporate Actions. Adjustments or corporate actions enable
you to take into account and to keep in your portfolio the different corporate actions
on one share.
Corporate Actions are a type of adjustment you can perform on most instruments.
The Corporate Actions menu is accessible from the Data menu.
The following are the adjustment types:
Dividend and Tax Credit
Split of a Share
Free Attribution
Listed Split - Split of a Security
Listed Closing
Demerger
Merger
Right Demerger
Euro transition (Obsolete)
Renaming
Redemption
Old Tax Credit (Same as Tax Credit)
Cash
Merger Average Price
Creating a Corporate Action
The Corporate Action menu is accessible when one of the Instrument List windows,
such as the General List is open. To see a full list of Adjustments for that Instrument
list, do not select any instrument in the List, and select Corporate Actions from the
Data menu. To see the adjustments for a particular instrument, highlight the
instrument and select Corporate Action from the Data menu.
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To create a Corporate Action, do the following:
1 Open the Corporate Action window for the instrument you want to adjust.
The example below uses an instrument named Share1.
Figure 16-1 New adjustment window for Share1.
2 Create the corporate action by selecting File>New, or pressing Ctrl+n.
Figure 16-2 New Adjustment window.
3 You can enter the Corporate Action information directly in the Adjustment
window, by clicking in each column you want to edit. Or you can open the
Adjustment dialog, by double-clicking the date. The Adjustment dialog is
displayed:
Figure 16-3 Adjustment dialog for Share1.
Each type of adjustment and their dialogs are described in the following
sections.
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Important: As of version 5.2.2, the Market and Counterparty Fees are unavailable for
all Corporate Actions, except Listed Closing. They have no bearing on the
other types.
Corporate Action Types
It is possible to define Corporate Action Types in RISQUE. To do this, open the
Corporate Action Types window from the Data menu.
Figure 16-4 Corporate Action Types window.
To create your own Corporate Action type, do the following:
1 Open the Corporate Action Types window.
2 Press Ctrl+n to create a new line.
3 Enter the following:
- Name of the Corporate Action
- Adjustment type
- Business Event 1 and 2. If you enter an asterisk (*) in one of these fields,
it is up to the user to apply a second Business Event, if required, when
using the Corporate Action.
Note: The Type ID is generated automatically when the Corporate Action
Type is saved.
Generating Corporate Actions
RISQUE generates corporate actions when forecasts are launched. You can also
generate corporate actions without launching forecasts, as follows:
1 Select Generate Corporate Actions from the Portfolios menu.
The Generate Corporate Actions dialog, as shown in figure 16-5, is
displayed.
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Figure 16-5 Generate Corporate Actions dialog
2 Click Since the last one to generate all corporate actions since the last
generation of corporate actions or click Today only to generate only the
corporate actions for the current day.
Automatic Tickets linked to Corporate Actions
Corporate actions are stored in the ADJUSTMENT table. Tickets are generated by
adjustments that are marked off by the HISTOMVTS table. Corporate action tickets
for dividends, or tax credit, are created on the record date according to the value
specified in the global preference AutoDivid:
0 nothing is generated.
1 tickets are generated only for stocks and bonds, but not for indexes.
3 generation for all bonds. Otherwise it is generated only for bonds that
are in the portfolio.
Corporate actions of the current date are executed again during the forecasts. Bond
coupons and closings of listed bonds are also created.
Balance tickets are taken into account only if the global preference
AdjustWithBalanceTicket has a value of 1. In this case, only balance tickets, and
tickets with a negotiation date beyond the start of year, are taken into account. For
each Corporate Action, the tickets are generated in the table MVT_AUTO and then
compared with the exponent. If the generated tickets can not be matched with an
exponent, the tickets are created, while existing tickets are set for deletion. The
fields proposed for deletion are:
sicovam
typsico
OPCVM
Cours
Quantit
Montant
Dateleg
Mvtident
Dateval
Deviseapy
Tauxchange
Datejouissance
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If there are references when compared to the previous Corporate Action or if the
Corporate Action is new, potential modifications on derivative shares (for ex-division
of the L&Bs nominal further to a split of a bond) are instigated. If the option key is
selected while generating the Corporate Action, all former tickets are set for deletion
and replaced by the new entries. The modification of securities are also proposed.
Dividend and Tax Credit
In Corporate Actions for dividends or tax credit, the dividend is assigned for the
packages holding the share or the bond that detaches the Corporate Action. Only
one level is generated: settings of settings enclosing the share are not generated.
The dividend to be entered is equal to the net dividend amount for an action. For a
bond, the tax on the coupon defined in the bond market is taken into account.
The L&Bs are considered as short positions, and so, receive dividends and tax
credits. Dividends are redistributed to the counterparty according to the Business
Event Commission, if the Back Office module is not present, and according to the
Business Event Dividend Rebate if it is present. The Dividends are made at the
value date with positions at value date only.
For Equity Swaps with immediate payment, dividends are generated per Corporate
Action at the detachment date, using the ratio that is defined by the Cash Flow
framing the Ex-Div Date. Until this date, the value of the dividend is included in the
theoretical worth (between the Ex-DivDate and the Record Date). More generally, it
is possible to overload the method GetDividendRatio with the Toolkit to define the
redistributed amount.
Note: If the Corporate Actions window is open, a ticket creation icon is available on
the top of the main window, allowing you to create automatic tickets directly, without
launching the forecasts.
Dividend
You receive, or pay, the dividend amount specified in the Dividend field. The trade
date of the dividend is specified in the Date field and the value date in the Payment
field. The security position is calculated on the trade date or value date depending on
the ownership parameter. The position is only taken into account if it falls before the
date specified in the corporate action. The security positions are aggregated by
position, by depositary and by entity, counterparty and broker are not taken into
account. The depositary and the entity are filled in the automatic tickets. The
depositary is referenced as the counterparty. The associated business event is
Coupon so that dividends appear as income P&L. The same results are generated as
when you define dividends in the Share window and launch the forecasts, except
that dividends are included in the pricing of share derivatives.
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Tax Credit
The Tax Credit and Dividend Adjustment dialogs are identical, except the
Dividend field is changed dynamically to Tax Credit, when you select the Tax Credit
adjustment type.
You receive, or pay, the tax credit amount specified in the Tax Credit field. The
trade date of the tax credit is specified in the Date field and the value date in the
Payment field. The security position is calculated on the trade date or value date
depending on the ownership parameter. The position is only taken into account if it
falls before the date specified in the corporate action. The security positions are
aggregated by position, by depositary and by entity. Counterparty and broker are
not taken into account. The depositary and the entity are filled in the automatic
tickets. The depositary is referenced as the counterparty. The associated business
event is Coupon, which means tax credits appear as income P&L. You have the same
result as when you define tax credits in the Share window and launch the forecasts,
except tax credits are not included in the pricing of share derivatives.
Figure 16-6 Dividends adjustment.
Table 16-1 Dividend Adjustment field descriptions.
Field Description
Date Date of creation of the corporate action
Dividend The amount of the dividend.
Currency Payment currency of the corporate action ticket
Business Event 1 & 2 The business event associated with this adjustment.
Payment Date Value date of the adjustment
Market Fees Market Fees for this adjustment.
Counterparty fees Counterparty Fees for this adjustment.
Currency Rate The rate of the specified currency.
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Split of a Share
For each equity position, you receive, or give, a quantity with a zero price so that
your original quantity is multiplied by the Coefficient field and your P&L remains
unchanged. The system also splits all characteristics of the share, such as dividend,
volatility. Values in amount are divided by the Coefficient field of the split.
This applies to the share also. For options, the conversion ratio is multiplied but not
the strike or quota. For baskets and packages, the share quantity is multiplied in the
basket/package. Arbitrage, the proportion of share is multiplied in the arbitrage rule.
The share position is calculated on the trade date. The position is only taken into
account if it falls before the date specified in the corporate action. The depositary
and the entity are filled in the automatic tickets. The depositary is referenced as the
counterparty.
No modification takes place for listed options, see Listed Split - Split of a Security
on page 308. If the coefficient of the split is less than 1, the principle is the same,
the repartition between realized and unrealized P&L is changed. The associated
business event is Split, therefore Splits appear as Purchase/Sale, with a zero price.
This corporate action also generates tickets for dividends, tax credits, volatility,
baskets, packages and arbitrage.
In the case of dividends/tax credits, the new value replaces the existing
value in the DIVIDENDE table.
In the case of volatility, the new value replaces the existing value in the
VOLAT_INFOS table.
In the case of baskets/packages, the new composition replaces the existing
value in the PANIER table.
In the case of arbitrage, the new value replaces the existing value in the
ARBITRAGE table.
Figure 16-7 Split adjustment.
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Note: The number of securities that you give or receive for the Spilt and Free
Attribution corporate actions are handled by the field Conversion Ratio. In the event
the number of securities is uneven the rounding rule is used as defined in the
corporate action.
Free Attribution
You receive/give the number specified in the Coefficient field of free securities, by
owned security: that is, the total number of received/given securities is equal to the
position x the value specified in the coefficient field.
The Trade date of the attribution is specified in the Date field and the value date in
the Payment field. The security position is calculated on the trade date or value date
depending on the ownership parameter. The position is only taken into account if it
falls before the date specified in the corporate action. The security positions are
aggregated by position, by depositary and by entity - counterparty and broker are
not taken into account. The depositary and the entity are filled in the automatic
tickets. The depositary is referenced as the counterparty. The associated business
event is Free, so free attributions appear as purchase/sale (with a zero price).
Table 16-2 Split Adjustment field descriptions.
Field Description
Date Date of creation of the corporate action
Coefficient
Conversion Ratio The ratio of the split. For example 2:1.
Business Event 1 & 2 The business event associated with this adjustment.
Market Fees Market Fees for this adjustment.
Counterparty Fees Counterparty Fees for this adjustment.
Currency Rate The rate of the specified currency.
Rounding Method of rounding. Available methods are:
Truncated
Upper
Rounded
Round. 4 digits.
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Figure 16-8 Free attribution adjustment.
Note: If a cash amount is specified you can choose to round down the amount. You
then receive a cash rebate. If you round upwards then a cash amount must be paid
for the value of the additional share(s) or part of share(s).
Note: The Free Attribution corporate action can be used to modify the derivative
instruments that contain the security upon which the free attribution was performed.
Such as the quantity in the composition of a basket or the conversion ratio in a stock
derivative.
Note: It is possible to pay the remainder, any cash payment dependent on rounding,
of a corporate action demerger in cash.
Table 16-3 Free Attribution Adjustment field descriptions.
Field Description
Date Date of creation of the corporate action
Coefficient
Currency Payment currency of the corporate action ticket
Conversion Ratio The conversion ratio.
Cash Cash payment for roundings remainders.
Business Event 1 & 2 The business event associated with this adjustment.
Market Fees Market Fees for this adjustment.
Counterparty Fees Counterparty Fees for this adjustment.
Currency Rate The rate of the specified currency.
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Listed Split - Split of a Security
The system only deals with listed options, which refer to the share. You receive/give
a certain quantity of listed options with a zero price so that your original quantity is
multiplied by the 'coefficient' field. To keep your listed option P&L unchanged, you
need to change either the strike or the quota. You must do this in the listed market
menu of the share and once you have selected it, you can make the adjustment -
available contracts section, middle icon.
The option position is calculated on the trade date. The position will only be taken
into account if it falls before the date specified in the corporate action. The security
positions are aggregated by position, by depositary and by entity - counterparty and
broker are not taken into account. The depositary and the entity are filled in the
automatic tickets. The depositary is referenced as the counterparty. When you adjust
the listed option, it is reflected at the Adjustment date but the corporate action
works on a position owned the day before the Date field. That is, you are not
supposed to input any ticket with a trade date equal to Adjustment Date on the listed
option, before its adjustment. The associated business event is Split, so listed splits
appear as purchase/sale (with a zero price)
Figure 16-9 Listed Split adjustment
Rounding Method of rounding. Available methods are:
Truncated
Upper
Rounded
Round. 4 digits.
Cash Currency Currency cash is paid in.
Table 16-3 Free Attribution Adjustment field descriptions.
Field Description
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Listed Closing
Listed Closing simulates the maturity of listed options based on the security on which
the corporate action is applied. The underlying closing price is specified in the
'coefficient' field. The maturity date is specified in 'date' field and value date in
'payment' field. A ticket is generated to close the option position. Depending on the
payment method, the comparison strike/closing price and the nature of the option,
the pay-off is paid if any. The option position is calculated on the trade date. The
position will only be taken into account if it falls before the date specified in the
corporate action. The security positions are aggregated by position, by depositary
and by entity - counterparty and broker are not taken into account. The depositary
and the entity are filled in the automatic tickets. The depositary is referenced by the
counterparty.
This corporate action is applied when entered: it does not wait for the 'date' field.
The associated business event is Exercise, so listed closings appear as
purchase/sale (with zero price)
Figure 16-10 Listed Closing adjustment.
Table 16-4 Listed Split Adjustment field descriptions.
Field Description
Date Date of creation of the corporate action
Coefficient
Business Event 1 & 2 The business event associated with this adjustment.
Market Fees Market Fees for this adjustment.
Counterparty Fees Counterparty Fees for this adjustment.
Currency Rate The rate of the specified currency.
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Demerger
You receive/give a number of new securities specified in the 'diffused code' field at
the price specified in the 'coefficient' field, equal to the security position on which the
corporate action is applied. Trade date of the demerger is specified in the 'date' field
and value date in 'payment' field. The security position is calculated on the trade
date or value date depending on the ownership parameter. The position will only be
taken into account if it falls before the date specified in the corporate action. The
security positions are aggregated by position, by depositary and by entity -
counterparty and broker are not taken into account. Third party fields are not filled in
the automatic tickets. The associated business event is Exercise, so demergers
appear as purchase/sale (with a zero price).
Figure 16-11 Demerger adjustment
Table 16-5 Listed Closing Adjustment field descriptions.
Field Description
Date Date of creation of the corporate action
Settlement Settlement amount.
Business Event The business event associated with this adjustment.
Payment Date Value date of the adjustment
Market Fees Market Fees for this adjustment.
Counterparty fees Counterparty Fees for this adjustment.
Currency Rate The rate of the specified currency.
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Merger
You receive/give a number of new securities specified in the 'diffused code' field at
the price specified in the 'coefficient' field instead of the security position on which
the corporate action is applied. Trade date of the merger is specified in 'date' field
and value date in 'payment' field. The system also merges the share included in
baskets/packages. The security position is computed on trade date or value date
depending on the ownership parameter. The position will only be taken into account
if it falls before the date specified in the corporate action. The security positions are
aggregated by position, by depositary and by entity - counterparty and broker are
not taken into account. For automatic tickets which close the original position
(security on which the corporate action is applied), The depositary and the entity are
filled in the automatic tickets and the depositary is referenced as the counterparty.
Third party fields are not filled in the automatic tickets of the new security. The
associated business event is Exercise, so mergers appear as Purchase/Sale (with
zero price) In case of baskets/packages, its new composition replaces the old one in
the PANIER table.
Table 16-6 Demerger Adjustment field descriptions.
Field Description
Date Date of creation of the corporate action
Unit Price Price of the unit.
Currency Payment currency of the corporate action ticket
Conversion Ratio The conversion ratio.
Cash Cash payment for roundings remainders.
Business Event 1 & 2 The business event associated with this adjustment.
Payment Date Value date of the adjustment
Market Fees Market Fees for this adjustment.
Counterparty Fees Counterparty Fees for this adjustment.
Currency Rate The rate of the specified currency.
Rounding Method of rounding. Available methods are:
Truncated
Upper
Rounded
Round. 4 digits.
Cash Currency
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Figure 16-12 Merger adjustment.
You have three options for a Merger/Take-Over:
Quantity Share A -> Quantity Share B
Quantity Share A -> Cash
Quantity Share A -> Quantity Share B + Cash
Table 16-7 describes the fields of the Merger Adjustment dialog.
Table 16-7 Merger Adjustment field descriptions.
Field Description
Date Date of creation of the corporate action
Spot Defines the price of tickets.
Currency Payment currency of the corporate action ticket
Conversion Ratio Allows you to define the quantities.
Cash Cash payment for roundings remainders.
Business Event 1 & 2 The business event associated with this adjustment.
Takeover Specify the institution taken over.
Payment Date Value date of the adjustment
Market Fees Market Fees for this adjustment.
Counterparty Fees Counterparty Fees for this adjustment.
Currency Rate The rate of the specified currency.
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Right Demerger
You receive/give a number of new securities specified in the 'diffused code' field at
the price specified in the 'coefficient' field equal to the security position on which the
corporate action is applied. Trade date of the demerger is specified in 'date' field and
value date in 'payment' field. The security position is computed on trade date or
value date depending on the ownership parameter. The position will only be taken
into account if it falls before the date specified in the corporate action. The security
positions are aggregated by position, by depositary and by entity - counterparty and
broker are not taken into account. Third party fields are not filled in the automatic
tickets. The associated business event is Exercise so right demergers appear as
purchase/sale (with zero price).
Figure 16-13 Right Demerger adjustment.
Rounding Method of rounding. Available methods are:
Truncated
Upper
Rounded
Round. 4 digits.
Cash Currency Specify the cash of the corporate action in a particular
currency.
Table 16-7 Merger Adjustment field descriptions.
Field Description
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Renaming
This allows you to modify the nominal in the name of the bond - that is, in its
definition - to the 'coefficient' field. In addition to this, for each bond position, you
receive/give a certain quantity with a zero price to keep unchanged your total bond
nominal amount and your P&L. The bond position is computed on trade date. The
position will only be taken into account if it falls before the date specified in the
corporate action. The bond position is done by depositary and by entity -
counterparty and broker are not taken into account. The depositary and the entity
are filled in the automatic tickets. The depositary becomes also the counterparty.
The associated business event is split so renamings appear as purchase/sale (with
zero price).
Table 16-8 Right Demerger Adjustment field descriptions.
Field Description
Date Date of creation of the corporate action
Unit Price Price per unit.
Currency Payment currency of the corporate action ticket
Conversion Ratio The conversion ratio.
Cash Cash payment for roundings remainders.
Business Event 1 & 2 The business event associated with this adjustment.
Diffused Code
Payment Date Value date of the adjustment
Market Fees Market Fees for this adjustment.
Counterparty Fees Counterparty Fees for this adjustment.
Currency Rate The rate of the specified currency.
Rounding Method of rounding. Available methods are:
Truncated
Upper
Rounded
Round. 4 digits.
Cash Currency Currency of the cash payment.
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Figure 16-14 Renaming adjustment.
Table 16-9 Renaming Adjustment field descriptions.
Field Description
Date Date of creation of the corporate action
New Nominal The new nominal.
Business Event 1 & 2 The business event associated with this adjustment.
Market Fees Market Fees for this adjustment.
Counterparty Fees Counterparty Fees for this adjustment.
Currency Rate The rate of the specified currency.
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Redemption
This corporate action allows you to redeem a bond.
Figure 16-15 Redemption adjustment.
Table 16-10 Redemption Adjustment field descriptions.
Field Description
Date Date of creation of the corporate action
Redemption The amount of the redemption.
Business Event Business Event of the Corporate Action
Payment Date Value date of the adjustment
Market Fees Market Fees for this adjustment.
Counterparty Fees Counterparty Fees for this adjustment.
Currency Rate The rate of the specified currency.
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Cash
Figure 16-16 Cash adjustment.
Table 16-11 Cash Adjustment field descriptions.
Field Description
Date Date of creation of the corporate action
Dividend
Currency Payment currency of the corporate action ticket
Business Event The business event associated with this adjustment.
Payment Date Value date of the adjustment
Market Fees Market Fees for this adjustment.
Counterparty Fees Counterparty Fees for this adjustment.
Currency Rate The rate of the specified currency.
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Merger Average Price
When the forecasts are launched, this corporate action creates the following three
electronic tickets:
one that closes the position at the average price
one that opens the position at the average price, fixed by the conversion
ratio
one for the cash of the deal
Residue is closed at the average price and the difference between the take over price
and the average price is added to the cash ticket. The business event specified in the
Business Event 1 drop down list is used for the first two tickets. The business event
specified in the Business Event 2 drop down list is used for the last ticket.
Technical Considerations
This section describes the database modifications and other technical considerations
of Corporate Actions.
Dividend Technical considerations
The corporate action is stored in the AJUSTEMENTS table. Its ID is stored in the
REFCON field and comes from the SEQAJUST sequence.
When the generated main automatic tickets linked to that corporate action are
transmitted, they are inserted in the HISTOMVTS table with an audit trail in the table
AUDIT_MVT. In the CREATION field of the table HISTOMVTS, 1 means Automatic.
The AJUSTEMENT field of HISTOMVTS table is filled in with the ID of the corporate
action.
Split Technical Considerations
The corporate action is stored in the AJUSTEMENTS table. Its ID is stored in the
REFCON field and comes from the SEQAJUST sequence.
Once the generated main automatic tickets linked to that corporate action are
transmitted, they are inserted in the HISTOMVTS table with an audit trail in the
AUDIT_MVT table. In the CREATION field of the table HISTOMVTS, 1 means
Automatic.
The AJUSTEMENT field of the HISTOMVTS table is filled in with the ID of the
corporate action.
In the case of dividends/tax credits, its new value replaces the existing one in the
DIVIDENDE table. However, all date is recorded in the audit of the share:
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Table INFOS_HISTO
As market tables can be chosen by the user, the default DIVIDENDE table is actually
defined by the TYPE_TABLE field = 2 for Dividend and the NOM_TABLE field (contains
the chosen user value) - displayed in the audit of the instrument.
In the case of volatility, its new value replaces the old one in the VOLAT_INFOS
table. But everything is kept in the audit of the share:
Table INFOS_HISTO
As market tables can be chosen by the user, the default VOLAT_INFOS table is
actually defined by the TYPE_TABLE field = 1 for Volatility and the NOM_TABLE field
(contains the chosen user value) - displayed in the audit of the instrument.
In case of baskets/packages, its new composition replaces the old one in the PANIER
table. But everything is kept in the audit of the basket/package:
Table INFOS_HISTO
Table 16-12
Field Description
SICOVAM Filled with the ID of the share
MODIF Filled with the type of modification (4 signifies a Split)
NEW_SICOVAM Filled with a virtual id of the share, which references its
previous version so that its old dividend/tax credit table is
stored in DIVIDENDE table with that SICOVAM.
Table 16-13
Field Description
SICOVAM Filled with the ID of the share
MODIF Filled with the type of modification (4 signifies a Split)
NEW_SICOVAM Filled with a virtual id of the share, which references its
previous version so that its old volatility is stored in the
VOLAT_INFOS table with that SICOVAM,
Table 16-14
Field Description
SICOVAM Filled with the ID of the basket/package
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Table TITRES_HISTO
The previous version of the basket/package is stored under the virtual id. In the case
of arbitrage, its new value replaces the existing one in the ARBITRAGE table.
Free Attribution Technical Considerations
The corporate action is stored in the AJUSTEMENTS table. Its ID is stored in the
REFCON field and comes from the SEQAJUST sequence.
Once the generated main automatic tickets linked to that corporate action are
transmitted, they are inserted in the HISTOMVTS table with an audit trail in the
AUDIT_MVT table. In the CREATION field of the table HISTOMVTS, 1 means
Automatic.
The AJUSTEMENT field of the HISTOMVTS table is filled in with the ID of the
corporate action.
Tax Credit Technical Considerations
The corporate action is stored in the AJUSTEMENTS table. Its ID is stored in the
REFCON field and comes from the SEQAJUST sequence.
Once the generated main automatic tickets linked to that corporate action are
transmitted, they are inserted in the HISTOMVTS table with an audit trail in the
AUDIT_MVT table. In the CREATION field of the table HISTOMVTS, 1 means
Automatic.
The AJUSTEMENT field of the HISTOMVTS table is filled in with the ID of the
corporate action.
Demerger Technical Considerations
The corporate action is stored in the AJUSTEMENTS table. Its ID is stored in the
REFCON field and comes from the SEQAJUST sequence.
Once the generated main automatic tickets linked to that corporate action are
transmitted, they are inserted in the HISTOMVTS table with an audit trail in the
AUDIT_MVT table. In the CREATION field of the table HISTOMVTS, 1 means
Automatic.
MODIF Filled with the type of modification (4 signifies a Split)
NEW_SICOVAM Filled with a virtual id of the basket/package, which references
its previous version so that its old composition is stored in the
PANIER table with that SICOVAM.
Table 16-14
Field Description
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The AJUSTEMENT field of the HISTOMVTS table is filled in with the ID of the
corporate action.
The REFERENCE field of the HISTOMVTS table is filled in with the REFCON field equal
to - 1.
Merger Technical Considerations
The corporate action is stored in the AJUSTEMENTS table. Its ID is stored in the
REFCON field and comes from the SEQAJUST sequence.
Once the generated main automatic tickets linked to that corporate action are
transmitted, they are inserted in the HISTOMVTS table with an audit trail in the
AUDIT_MVT table, In the CREATION field of the table HISTOMVTS, 1 means
Automatic.
The AJUSTEMENT field of the HISTOMVTS table is filled in with the ID of the
corporate action.
The REFERENCE field of the HISTOMVTS table is filled in with the reference id (the
REFCON field) of the linked ticket (reference of the position ticket in new/old security
for the position ticket in old/new security).
In case of baskets/packages, its new composition replaces the old one in the PANIER
table. But everything is kept in the audit of the basket/package:
Table INFOS_HISTO
The PANIER table is not a market table. So, TYPE_TABLE field = 7 for Clause and
NOM_TABLE field = titres - displayed in the audit of the instrument.
Table TITRES_HISTO
The previous version of the basket/package is stored under the virtual id.
Table 16-15
Field Description
SICOVAM Filled with the ID of the basket/package
MODIF Filled with the type of modification (4 stands for Split)
NEW_SICOVAM Filled with a virtual id of the basket/package, which
references its previous version so that its old composition is
stored in the PANIER table with that SICOVAM
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Right Demerger Technical Considerations
The Corporate Action is stored in the AJUSTEMENTS table. The Corporate Actions ID
is generated by the SEQAJUST sequence and is stored in the REFCON field.
Once the generated main automatic tickets linked to that corporate action are
transmitted, they are inserted in the HISTOMVTS table with an audit trail in the
AUDIT_MVT table. In the CREATION field of the table HISTOMVTS, 1 means
Automatic.
The AJUSTEMENT field of the HISTOMVTS table is filled in with the ID of the
corporate action.
The REFERENCE field of the HISTOMVTS table is filled in with the REFCON field - 1.
Renaming Technical Considerations
The corporate action is stored the AJUSTEMENTS table. The Corporate Actions ID is
generated by the SEQAJUST sequence and is stored in the REFCON field.
Once the generated main automatic tickets linked to that corporate action are
transmitted, they are inserted in the HISTOMVTS table with an audit trail in the
AUDIT_MVT table. In the CREATION field of the table HISTOMVTS, 1 means
Automatic.
The ID of the corporate action is entered in the AJUSTEMENT field of the
HISTOMVTS table and the value of the nominal is updated in the NOMINAL field of
the TITRES table.
Listed Split Technical Considerations
The corporate action is stored in the AJUSTEMENTS table. The Corporate Actions
ID is generated by the SEQAJUST sequence and is stored in the REFCON field. After
the generated automatic tickets linked to that corporate action are transmitted, they
are inserted in the HISTOMVTS table with an audit trail in the AUDIT_MVT table.
In the CREATION field of the table HISTOMVTS, 1 means Automatic.
The ID of the corporate action is entered in the AJUSTEMENT field of the
HISTOMVTS table.
Listed Closing Technical Considerations
The corporate action is stored in the AJUSTEMENTS table and the ID of the
Corporate Action is stored in the REFCON field. The ID comes from the SEQAJUST
sequence.
After the generated main automatic tickets linked to that corporate action are
transmitted, they are inserted in the HISTOMVTS table with an audit trail in the
AUDIT_MVT table. In the CREATION field of the table HISTOMVTS, 1 means
Automatic.
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The ID of the corporate action is entered in the AJUSTEMENT field of the
HISTOMVTS table.
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Chapter 17 Deals on Cash Instruments
This chapter describes the processes involved in making deals on cash instruments
in the portfolio. This is described in the following sections:
Shares on page 325
Bonds on page 326
Baskets on page 332
Commissions on page 334
Blocking a Security on page 335
Crossings on page 336
Shares
This section describes deals on shares.
Booking a deal on share is done using the standard Deal Input window, see
Creating Deals on page 285 for more information on this window.
You can open this window in one of the following ways:
By dragging and dropping the share you want to trade into the portfolio.
Using the Security option of the Tickets menu in the Portfolio window.
Complete the following steps to create a deal on a security:
1 Click the Tickets button and select Security.
The Deal Input window is displayed, as shown in figure 17-1.
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Figure 17-1 Deal Input window
If you want to create a new deal based on an existing deal, select the deal
then select Security from the Tickets menu. Only the reference and
specified currency from the existing deal is used in the new deal.
2 Complete the fields as described in Using the Deal Input Dialog on
page 288.
Automatic Tickets
Automatic tickets are generated for dividends with the Business Event of Coupon. To
receive a dividend, the share must be purchased before the ex-div date specified in
the instrument.
Bonds
To create a deal on a bond, do one of the following:
Drag and drop a bond from the Bonds list window into the relevant portfolio
in the Portfolio window.
Choose Security from the Ticket toolbar menu and enter the bond
reference in the Reference field.
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The Deal Input dialog for a bond is shown in figure 17-2.
Figure 17-2 New Deal on Bond
The Deal Input window displays the same fields as deals on other cash instruments.
The following fields, however, displays data that is specific to deals on bond
instruments:
Next Coupon the value of the next coupon in the redemption schedule.
This is displayed for the receiving leg of the bond.
Coupon Rate the interest rate used to calculate the next coupon. This is
displayed for the receiving leg of the bond.
Interest in Days the number of days for which the accrued interest is
calculated from the start of the current coupon. This is displayed for the
receiving leg of the bond.
Accrued Amount the accrued interest amount from the last coupon to
the current date. This is calculated as the accrued amount percentage
multiplied by the notional. This is displayed for the receiving leg of the bond.
Accrued Interest the accrued interest, as a percentage, from the last
coupon to the current date.
Accrued Interest Date the date on which the accrued interest was
calculated. This is set to the payment date of the deal by default.
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Automatic Tickets
Automatic tickets are generated for each type of bond for their redemption table.
These are described in the following sections:
Fixed Bonds on page 328
Fixed Bonds with Amortising on page 328
Floating Bonds on page 329
Partial Redemption Bonds on page 329
Fixed to Float Bonds on page 329
Important: Tickets for deals on bond instruments are generated according to the
corporate action defined for bonds. To transmit tickets for all bond
tickets, you must transmit tickets for the corporate action. This transmits
all bond tickets.
To generate individual bond tickets, you must validate the corporate
action and then send the bond ticket individually.
Fixed Bonds
Tickets are generated for fixed bonds as follows:
A coupon ticket is generated for each cash flow in the redemption table on
the cash flows payment date. The amount of the ticket is the amount in the
Coupon column on the Redemption tab of the Bond dialog.
An expiry ticket is generated at the maturity date of the bond. This ticket
closes the position and its amount is the notional of the bond.
Fixed Bonds with Amortising
Tickets for fixed bonds with amortising, also known as sinkable bonds, are generated
in the same way as fixed bond tickets. However, because these bonds also include
the partial redemption of the notional, the following ticket is also generated:
A partial redemption ticket is generated on the payment date of cash flows
that have a partial redemption of the notional. The amount of the ticket is
equal to the partial redemption amount.
The partial redemption amount is calculated according to the Number of
Redemptions fields on the Amortizing tab of the Bond dialog. The
amount of coupon tickets after partial redemptions is calculated based on
the remaining notional amount.
Note: The expiry ticket that is generated for a partial redemption bond
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includes the remaining notional amount of the bond.
Partial Redemption Bonds
Tickets for fixed bonds with partial redemptions, are generated in the same way as
fixed bond tickets. The following ticket is also generated:
A partial redemption ticket is generated on the payment date of cash flows
that have a partial redemption of the notional. The amount of the ticket is
equal to the partial redemption amount.
The partial redemption ticket amount is the amount of the Redemption
column on the Redemptions tab of the Bond dialog.
Note: The expiry ticket that is generated for a partial redemption bond
includes the remaining notional amount of the bond.
Floating Bonds
Tickets are generated for floating bonds as follows:
A fixing ticket is generated at the either the start date of the cash flow or the
fixing date if it has been changed from the cash flow start date. The fixing
rate of this ticket is blank and you must define the fixing rate to be used to
calculate the coupon ticket.
A coupon ticket is generated for each cash flow in the redemption table on
the cash flows payment date. The amount of the ticket is the notional
amount of the bond multiplied by the fixing rate defined in the fixing ticket.
An expiry ticket is generated at the maturity date of the bond. This ticket
closes the position and its amount is the notional of the bond.
Fixed to Float Bonds
Tickets are generated for fixed to floating bonds as follows:
A coupon ticket is generated for each fixed rate cash flow according to the
redemption schedule.
A fixing ticket is generated on the start date of the first floating rate cash
flow. The fixing rate of this ticket is blank and you must define the fixing rate
to be used to calculate the coupon ticket. A fixing ticket is generated at the
start of each subsequent floating rate cash flow.
A coupon ticket is generated for each floating rate cash flow according to the
redemption table. The amount of the ticket is the notional amount of the
bond multiplied by the fixing rate defined in the fixing ticket.
An expiry ticket is generated at the maturity date of the bond. This ticket
closes the position and its amount is the notional of the bond.
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ABS Bonds
Booking a deal on an ABS bond is the same as booking other bond deals, with the
exception that the pool factor is included in the nominal amount of the deal.
To create a deal on an ABS bond, do the following steps:
1 Start the deal in one of the following ways:
- Drag and drop a bond from the ABS Bonds list window into the relevant
portfolio in the Portfolio window.
- Select the portfolio for the deal and press Ctrl + n.
- Select the portfolio for the deal and click New from the File menu.
- Choose Security from the Ticket toolbar menu and enter the ABS bond
reference in the Reference field.
The Deal Input dialog is displayed, as shown in figure 17-3
Figure 17-3 ABS Deal Input Window
2 Enter the number of bonds in the Quantity field. For an explanation of the
field relevant to ABS bonds, see Deal Input Dialog for ABS Bonds on
page 331.
3 Book the deal. The deal is booked with the pool factor taken into account.
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Deal Input Dialog for ABS Bonds
For ABS bonds, the Nominal and Floating Nominal fields are populated based on
the quantity entered. The Nominal field is populated by the quantity x notional of
the ABS bond. The Floating Nominal field is the quantity x notional x pool factor at
the trade date.
The text fields to the right of the Nominal and Floating Nominal fields reflect the
pool factor and pool factor date of the ABS that are applicable on the trade date. The
pool factor date is the date that the pool factor displayed is applicable from.
The Gross Amount field is calculated as follows:
(quantity x price x floating notional) + accrued
The Net Amount field is calculated as follows:
gross amount + fees
As with a deal on any bond, the accrued coupon information relative to the trade
date is listed in the bottom left-hand corner of the Deal Input window. For a full
explanation of these fields, see Bonds on page 326.
Automatic Tickets for ABS Bonds
At each end date of an ABS flow, an automatic ticket for the coupon is generated.
This corresponds to the amount in the Coupon column in the underlyings
Explanation tab.
An additional automatic ticket is created when an adjustment is made to the pool
factor. The amount paid in the ticket corresponds to the ABS Flow column of the
Redemption tab.
For example, an ABS with a notional of 1,000,000, a net coupon of 49, 863. 39
and a pool factor of 0.95 creates two tickets, one with a Coupon business event and
one with an ABS Repayment business event, as shown in figure 17-4:
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Figure 17-4 Automatic Ticket Window
The Coupon ticket reflects the coupon and the ABS Repayment ticket reflects the
5% reduction in the notional.
Baskets
Manually Creating a Deal
To manually create a deal on an existing basket, drag and drop the required basket
from the Indexes and Baskets menu to the required portfolio.
The Deal Input window for baskets differs from the standard Deal Input window,
as shown in figure 17-5.
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Figure 17-5 New basket deal input window
The basket shown in figure 17-5 contains two shares. It is possible to add deals to
the basket using the icons shown in table 17-1.
Movements
There are two kinds of movement window associated with baskets. The standard
one, available from the portfolio and another, internal to the Add Basket window.
To view movements on the various deals in the basket, double-click on an entry in
the basket. This opens the Movement window:
Table 17-1 Add deal icons
Icon Description
Add another deal to the basket. This opens the Deal Input
window, allowing you to add another deal to the basket.
Create crossing deal. This creates a deal in the basket, but also
creates a deal for the negative amount of that specified in the
basket.
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Figure 17-6 Movement window
This window allows you to create new deals on the components of the basket. The
quantity shown in the main basket window is the sum of the quantities of the deals
made in this window.
New deals added to the basket as the deal is created are marked in red. It is also
possible to remove deals from the basket. If you specify a zero quantity for a
particular component of the basket, it is marked with a red strike-through.
Basket Ticket Method
This section describes how to create a deal on a basket using the Ticket menu.
Complete the following steps to capture a movement on a basket transaction:
1 Click the Tickets button and select Basket from the menu.
The Add Basket window is displayed.
2 Enter the reference of the basket.
3 To create a new deal on a stock, select a stock in the Add basket window,
then click the Create deal button.
The Deal Input window is displayed.
4 To create a cross on a stock, select a stock in the Add basket window, then
click the Create crossing deal button.
The Deal Input window is displayed.
See Crossings on page 336 for further detail.
Commissions
This section describes how to book a commission.
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Note: Commissions only appear in closed positions.
1 Select Cash Movement from the pop-up menu. The following window is
displayed:
Figure 17-7 New Commission
2 Enter the following:
- The reference for the commission
- The negotiation date
- The value date
- The amount (which will be taken into account in the income value in a
result calculation)
- The counterparty
- Any remarks
3 Click OK to confirm.
Blocking a Security
This section describes how to block a security.
You block a security to indicate in the portfolio that part or all of the securities should
not be sold. A blocking is used as an indicator, it is not enforced. It is possible to sell
blocked securities.
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Complete the following steps to block a security:
1 Select a security. Select Blocking from the Tickets menu. This displays the
Securities Lock-in window:
Figure 17-8 Securities Lock-in window
2 Enter appropriate values in the text boxes.
3 Click OK.
This blocks the number of securities specified in the Number of Securities
field.
This also means that the amount of information available in the movement window
decreases and can no longer be configured. That is, you cannot add, or remove
columns from Movement windows of folders containing a Security Blocking.
Crossings
This section describes how to create a crossing on two sub-portfolios.
1 In the Portfolio toolbar, select Crossing from the Tickets menu.
2 Enter the ticket as a standard security ticket.
3 In the ticket deal, specify the target folder in the Folder pop-up menu.
The mirror ticket is generated in this folder (same characteristics except for
the transaction direction). The drop-down list shows all folios in the portfolio
in a hierarchical method with the specific folder on the left instead of on the
right.
The same process can be applied to a basket transaction using the Basket
Crossing sub-menu.
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Chapter 18 Deals on Swaps
This chapter describes deals on swaps. the following topics are described:
Asset Swaps on page 337
Total Return Swaps on page 338
Basket Swaps on page 341
Automatic Tickets for Swaps on page 346
Payment Definitions on page 348
Asset Swaps
Bond Maturity
If a bond matures before the maturity of the swap:
Its last coupon is calculated by applying this floating rate (+ the spread) to
the notional of the bond, capitalized between the maturity of this bond and
the maturity of the swap.
If a bond matures after the maturity of the swap:
The last coupon is the accrued coupon of this bond calculated at its maturity
date.
If Stop if Default is ticked, the Asset Leg is credit risky. Its value depends
on the credit risk data of each bond.
If one of the bonds has no credit risk parameters defined, or if it is not
priced with the CDS Pricing model, it is considered credit insensitive.
The difference between a Total Return Swap and an Asset Swap is that, in
Total Return Swaps, the asset leg is credit risky. In Asset Swaps, it is credit
insensitive. An asset swap is composed of an asset leg and an interest rate
leg (fixed rate or floating rate leg).
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Total Return Swaps
In RISQUE, a total return swap (TRS) is created by setting the Paying leg payoff
(interest leg) to either Fixed or Floating and by setting the Receiving leg payoff
(asset leg) to either Floating Asset (Notional Reset) or Fixed Asset (No
Notional reset).
Creating a Deal on a Total Return Swap
1 In the Root window, select the relevant, loaded portfolio.
2 Press Ctrl + n. The Deal Input dialog is displayed as shown in figure 18-1.
In the Reference field, enter the reference code of the total return swap on
which you want to book a deal.
Note: You can also create a deal by dragging and dropping a total return swap from
the instruments list into a loaded portfolio.
Table 18-1 Total return swaps leg payoff options.
Receiving leg payoff (Asset leg) Paying leg payoff (Interest leg)
Fixed Asset (No Notional Reset) Floating
Fixed Asset (No Notional Reset) Fixed
Floating Asset (Notional Reset) Floating
Floating Asset (Notional Reset) Fixed
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Figure 18-1 Deal Input dialog
3 Complete required the fields on the Deal Input dialog. The Reference and
Price Type fields are predefined by underlying.
4 Click the New deal pending button. The Deal Input dialog closes.
Booking a Deal on TRS
1 In the portfolio, double-click the relevant total return swap. The
Movements dialog displays as shown in figure 18-2.
Figure 18-2 Movements dialog
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2 Double-click on a movement in the Movements dialog, the Deal Input
dialog displays. The buttons for accepting or refusing a deal are described in
Table 18-2.
Payment Tickets
Payment tickets are grouped by position, counterpart and depositary.
If the ticket is in the first leg, the sign of the quantity in the ticket is the
same as the position sign.
If the ticket is in the second leg, the sign of the quantity in the ticket is the
opposite of the position sign.
The spot type is always Amount. The spot is calculated as follows:
Quantity * Spot * Quotity = AMOUNT.
Note: The payments for swaps are displayed in the Alert Book (available
from the Portfolios menu) along with the fixing date for the floating index.
Dividends on Total Return Swaps
It is possible for an equity swap to pay dividends within a predefined number of
days. This can be done by opening the Advanced tab in TRS dialog, and selecting
the Immediate option button. This allows you to specify a number of days, after
which the dividend is paid. If you leave the date blank, the dividend is paid
immediately.
Table 18-2 Deal Input dialog buttons
Button Explanation/Status
FO Modify Deal not yet accepted by front office. Status changes
to FO Pending
FO Accept Deal accepted by the front office. Status changes to
Checked FO
Note: The deal is not accepted until the BO accept
the deal.
BO refuse in pending deal Deal not accepted by back office. Changes the status
to Checked FO/Refused BO
FO Cancel Changes made by BO not accepted by FO. Status
changes to Checked BO/Cancelled FO
BO Accept Deal accepted by back office. Status changes to
Checked FO/Checked BO
New deal accept The deal has been accepted.
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Basket Swaps
A basket swap is a total return swap whose underlying is a multi-currency share
basket. To create a basket swap, both the asset leg and interest rate leg must be set
as floating. Table 18-3 describes the basket-swap, leg-payoff options.
The underlying assets of a basket swap can be made up of a combination of
multi-currency shares. You can add other instruments to the basket but these
instruments will not be included in the calculations of the basket.
For further information on how to create a basket swap, see the RISQUE Instrument
Reference Guide.
Booking a Deal on a Basket Swap
You can book a deal, on the basket, from the Deals tab of the Swaps dialog. To
book a deal on a basket swap do the following:
1 Click Book in the Deals tab.
The Basket Swap Booking dialog is displayed, as shown in figure 18-3.
Table 18-3 Total Return Swaps Leg Payoff Options.
Receiving leg payoff (Asset leg) Paying leg payoff (Interest leg)
Floating Asset (Notional Reset) Floating
Floating Floating Asset (Notional Reset)
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Figure 18-3 Basket Swap Booking dialog.
2 Complete the fields as required. The fields of the Basket Swap Booking
dialog are described in table 18-4.
3 Click the relevant workflow button.
The Basket Swap Booking dialog closes and a new deal is displayed in the
Deal tab.
Table 18-4 Elements of the Basket Swap Booking Dialog (Sheet 1 of 2)
Name Description
Reference The reference of the total return swap. This field is
filled automatically by RISQUE.
Name The name of the total return swap. This field is filled
automatically by RISQUE.
Nominal The nominal value of the total return swap. This field
is filled automatically by RISQUE.
Sign The sign of the deal. Changing the sign switches the
legs in the deal.
The possible values are as follows:
Buy
Sell
Spread The spread of the swap plus the floating rate.
Trade Date The date you want the deal to take place.
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Payment Date The payment date of the deal with payment gap
included.
Maturity Date The maturity date of the total return swap. This field
is automatically filled.
Portfolio The name and code of the portfolio where the deal is
being booked.
FO Remarks Additional information and remarks from the front
office.
BO Remarks Additional information and remarks from the front
office.
Entity The name of the entity for which the trade is being
made.
Counterparty The name of the counterparty. The list shown in the
drop-down list is made from all third parties that have
been defined as counterparties and who can operate
on the market.
Upfront Fees The upfront fees of the swap in the predefined total
return swap currency.
Depositary The name of the depositary. The list shown in the
drop-down list box is made up of the third parties that
are defined as depositaries and can operate on the
specified market.
Ticket ID The ID of the deal ticket . This field is filled
automatically.
Business Event The business event associated with the deal. You can
select the relevant business event from the
drop-down menu, the value is automatically set to
Purchase/Sale. For further information see
Business Events for Basket Adjustment Coupons on
page 344.
Workflow status
and buttons
The back-office workflow buttons and status.
Table 18-4 Elements of the Basket Swap Booking Dialog (Sheet 2 of 2)
Name Description
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Business Events for Basket Adjustment Coupons
Each time a basket or its positions are modified and then validated, a modification
coupon is automatically generated. To configure the basket adjustment business
event, do the following:
1 Select Parameters from the BO Kernel menu. The Back Office
Parameters dialog is displayed as shown in figure 18-4.
Figure 18-4 Back Office Parameters
2 Select a value from the TRS Basket Adjustment drop-down menu. Setting
this parameter ensures that a coupon is automatically generated for each
position each time a basket is adjusted.
3 Select a value from the TRS Spread and Fees drop-down menu. Setting
this parameter ensures that a coupon is automatically generated each time
the spread is modified on a baskets position.
4 Select Purchase/Sale from the Initialisation drop-down menu. Setting
this parameter automatically sets the business event of tickets generated on
basket swaps to Purchase/Sale. You can change this parameter manually
from the Basket Creation dialog.
5 Click OK to save your changes.
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Basket Adjustment Ticket
Each time a basket is adjusted or the spread is modified, a basket adjustment ticket
is generated for each position on the basket swap.
To view the changes made to a specific position, do the following:
1 Double-click on the position in its portfolio folder.
The Movements window is displayed.
2 Double-click the Basket Adjustment movement. The TRS Basket
Adjustment dialog is displayed as shown in figure 18-5.
Table 18-4 describes the elements of the TRS Basket Adjustment dialog.
3 Click the relevant workflow button.
Figure 18-5 TRS Basket Adjustment dialog.
Table 18-5 Elements of the TRS Basket Adjustment Dialog
Name Description
Business Event The business event of the spread modification or
basket adjustment.
Reference The reference of the total return swap. This field is
filled automatically by RISQUE.
Name The name of the total return swap. This field is
filled automatically by RISQUE.
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EQUITY_SWAP_FINAL
This preference allows you two ways to deal with the payment and end dates of
Equity Swaps with an Equity Leg frequency set to Final.
If EQUITY_SWAP_FINAL = 0 The Cash Flow Payment Date the same as
that specified in the Swap End date field. If you specify a Payment offset,
the End date is equal to the Payment Date minus the specified offset.
For example, if the specified End Date is 01/07/2005 and the Payment
Offset is set to 2 days, the Payment date is taken as 01/07/2005 while the
End Date is set to 29/06/2005.
If EQUITY_SWAP_FINAL = 1 The Cash Flow End Date the same as that
specified in the Swap End date field. If you specify a Payment offset, the
Cash Flow Payment date is equal to the Cash flow end Date plus the
specified offset.
Automatic Tickets for Swaps
A coupon is generated for the cash flow of each leg. For a fixed leg, the coupon is
generated if the swap is not in a package, and with the Back Office module, the day
after cash flow departure. Without Back Office, it will be the end day of the cash flow.
If it is in a package with the Back Office module, it depends on the package market.
Adjustment Type The fees adjustment type. This value is set in the
Basket Adjustment dialog.
Spread The new spread of the total return swap. This
value is defined in the Basket Adjustment
dialog.
Upfront Fees The upfront fees defined in the Basket
Adjustment dialog.
Trade date The date of the spread adjustment, typically
today.
Value date Modification date calculated as the trade date plus
any specified payment gap.
Workflow status and
buttons
The back-office workflow buttons and status.
Table 18-5 Elements of the TRS Basket Adjustment Dialog
Name Description
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Floating rate
An automatic ticket is generated in advance after the start date of the debt
instrument, and according to the Coupon Generation Shift specified in the instrument
market, if the swap is in a package.
Fixing tickets for the floating leg are generated on the fixing date, using the fixing
date of the GetDate method rate. This is the Start Date of the swap cash flow, minus
the settlement lag of the interest rate, using the calendar of the interest rate. The
default value is 0.
Floating leg fixing tickets are not generated in the following circumstances:
If the interest rate has a Last price for this date
If the fixing rate is defined in the cash flow
If the interest rate used is EONIA.
When validated, the fixing ticket updates the interest rate history, if the cash flow
has not been modified. Otherwise, it populates the fixing rate in the cash flow.
Note: When the Interpolated Rate or London Interpolated Rate model is used, two
fixings appear, if it is a broken date.
These fixings are saved either in the floating leg itself, if its schedule has been
modified, or in the historical record of the rate.
Equity leg
The payment of the performance, and the dividends of the period in ex-div, are
generated, if those dividends are paid at the end of the period. If those are
generated immediately, they are generated by the Corporate Action dividend. The
dividend ratio percentage applies to the gross dividend. The gross dividend is defined
in the dividend table, without any tax rebate.
Furthermore, for equity legs, the amount can be overloaded with the
CSRSwap::GetTicketCoupon method. A fixing is generated at the beginning date of
each leg and is stored in the basis field of the cash flow. In the case of a swap
compo, the fixing is the product of the fixing of the equity and the exchange rate
between the leg currency and the swap currency.
Payment Tickets
Payment tickets are grouped by position, counterpart and depositary.
If the ticket is in the first leg, the sign of the quantity in the ticket is the
same as the position sign
If the ticket is in the second leg, the sign of the quantity in the ticket is the
opposite of the position sign
The spot type is always Amount.
The spot is calculated as follows: Quantity * Spot * Quotity = AMOUNT.
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The payments for swaps are displayed in the Alert Book (available from the
Portfolios menu) along with the fixing date for the floating index.
Payment Definitions
Table 18-6 Payment definitions. (Sheet 1 of 2)
Payments With Back Office Module Without Back Office Module
Payment for
Floating Leg
For Swaps booked individually:
trading date = final date of the
cash flow
value date = payment date
When the amount is known, for
example, after the fixing date for a
Libor, the generation date is after the
start date.
The business event is that defined in
the Back Office Parameters window.
Generated on the trade date, with:
trading date = final date of the
cash flow
value date = payment date.
The business event is always Coupon.
Payment for
fixed leg
The same conditions apply - the
difference is that the amount is always
known.
The same conditions apply - the
difference is that the amount is always
known.
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Payment for
equity
Generated on the trade date, with:
trading date = final date + 1
(without any calendar) of the
cash flow
value date = payment date.
The business event is that defined in
the Back Office Parameters window.
Generated on the trade date, with:
trading date = final date + 1
(without any calendar) of the
cash flow
value date = payment date.
The business event is always Coupon.
Payment for
dividend
equity rebate
with differed
payment
Generated on trade date, with:
trading date = final date + 1
(without any calendar) of the
cash flow
value date = payment date.
The business event is that defined in
the Back Office Parameters window.
Generated on trade date, with:
trading date = final date + 1
(without any calendar) of the
cash flow
value date = payment date.
The business event is always
Commission.
Payment for
dividend
equity rebate
with no
differed
payments
Generated with the corporate action on
the record date.
Generated with the corporate action on
the record date.
Table 18-6 Payment definitions. (Sheet 2 of 2)
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351
Chapter 19 Deals on Stock Loans
This chapter provides instructions for booking stock loans.
The methods that are available for booking stock loans depend on the setting of a
global preference that enables or disables the Advanced Stock Loan (ASL) module.
These methods are described in this chapter and table 19-1 summarises the
methods and their availability for use.
In the portfolios, stock loans can be assessed as marked-to-market or as a discount,
according to the options in the P&L tab within the Preferences window.
Reporting must be run to calculate the commission fees, interest on collateral and
margin calls amounts. Each month, three automatic tickets are generated for the
entity, counterparty, and depositary, during the forecast:
The commission - entity
The margin call - counterparty
The interest on collateral - depositary
You must run the forecast and margin call at least once a month for the calculations
to be correct. You must also run reporting when a ticket has been validated.
Table 19-1 Availability of specific functionality.
Method Available
with ASL
Available
without ASL
Select stock loan instrument from Deal Input
window.
No Yes
Drag and drop a stock loan instrument to a
portfolio.
No Yes
Select the Security loan and Repo option in the
Tickets menu.
Yes Yes
Select the Lending and Borrowing option in the
Blotters menu (for multiple stock loan deals)
Yes Yes
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Booking a Stock Loan using the Deal Input Window
Before using this procedure, ensure that the stock loan instrument exists in the
Loans on stock window. For more information, see the Instrument Reference Guide.
Note: This method is unavailable when the Advanced Stock Loan module is
enabled.
To book Stock Loan using the Deal Input window, do the following:
1 Select the portfolio what you want to book the stock loan in.
2 Select File, and New, or press ctrl+n.
The Deal Input window is displayed.
3 Select the stock loan instrument you want to trade on.
4 Complete the deal parameters. Click OK.
This method produces a ticket in the portfolio for the new stock loan, virtual
positions for the underlying instruments of the principal and collateral in the
same portfolio, and a new Loan on Stock instrument in the General List.
Booking a Stock Loan using Drag&Drop to Portfolio
Before using this procedure, ensure that the stock loan instrument exists in the
Loans on stock window. For more information, see the Instrument Reference Guide.
Note: This method is unavailable when the Advanced Stock Loan module is
enabled.
To book Stock Loan using the drag-and-drop to the portfolio method, do the
following:
1 From the Instruments menu, select Loans on Stock.
The Loans on stock window is displayed.
2 Select the stock loan instrument that you want to trade on.
3 Drag and drop the selected instrument to the portfolio that you want to book
the stock loan in.
The Deal Input window is displayed with the Reference field showing the
stock loan instrument reference.
4 Complete the deal parameters. Click OK.
This method produces a ticket in the portfolio for the new stock loan, virtual
positions for the underlying instruments of the principal and collateral in the
same portfolio, and a new Loan on Stock instrument in the General List.
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Booking a Stock Loan Using the Tickets Menu
The Security loan/repo option in the Tickets menu allows you to simultaneously
create a loan on stock instrument and book the stock loan.
Note: This method is available when the Advanced Stock Loan module is enabled
or disabled. However, when it is enabled, this method is more restricted
because the user must select a collateral agreement and stock loan
template before booking the loan.
To book a stock loan using the Tickets menu, do the following:
1 Select the portfolio that you want to book the stock loan in.
2 Click the Tickets icon, and select Security loan/repo from the menu.
The Stock loan input window is displayed.
Note: When the Advanced Stock Loan is enabled, a Template Selector
window is displayed before the Book a Security loan/repo window. See
Template Selector Window on page 355.
3 An example is provided in figure 19-1:
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Figure 19-1 Book a Security Loan or Repo window.
The window has the following structure:
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4 For the loan-specific fields, do the following:
- Instrument Typeselect Stock Loan.
- Direction of loanSelect Lending when the Entity is loaning the
shares to a third party. Otherwise, select Borrowing.
- Real or Simulation ModeSelect the appropriate mode.
- Nb of SecuritiesAfter entering the instrument reference, enter the
number of securities that the loan covers.
5 Complete the remaining stock loan instrument and deal parameters.
6 Click the Back Office event button to book the stock loan.
After booking the loan, a position is created in the tickets portfolio for each of the
following:
Loan, that is, the principal.
Underlying instruments of the loan.
Underlying instrument of the collateral.
The position for the loan is a real one, whereas those for the underlyings are virtual.
The position for the virtual positions are marked with the shared icon, , and you
cannot generate new tickets on these positions. The system displays the error
message A borrowed line is not a movement! if you try to create a new ticket on
this underlying position.
Template Selector Window
The Advanced Stock Loan (ASL) module allows users to quickly book a stock loan
using an existing stock loan as a template. It ensures that new stock loans are
subject to conditions defined in a lending and borrowing agreement between the
Table 19-2
Loan-Specific Fields Instrument-Specific
Fields
Deal Ticket Fields
Loan-specific fields are
located in the following
fields in Figure 19-1:
Instrument Type
Direction of loan
Real or Simulation
Mode
Nb of Securities
Loan price
Coll. Price
Instrument-specific fields
are located in the
following frames:
LOAN OR REPO
CHARACTERISTICS
CALLABLE LOAN
COMMISSION
COLLATERAL
See the Instrument
Reference Guide for
more details.
Deal-specific fields are
located underneath
the instrument-specific
fields at the bottom of
the window.
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entity and third parties. Therefore, when the ASL module is enabled, users create a
stock loan using an existing template which is ties the stock loan to an agreement
through the entity, counterparty and convention that are selected in the Template
Selector.
The Stock Loan Template Selector window is displayed when the Advanced Stock
Loans module is enabled, and you have selected the Security loan/repo option
from the Tickets menu.
Figure 19-2 shows the Stock Loan Template Selector window.
Figure 19-2 Stock Loan Template Selector window.
To select a stock loan template, do the following:
1 Select a counterparty, entity and convention for which a Collateral
Agreement has been configured.
For more information about Collateral Agreements, see the Collateral
Management User Guide.
2 Select a template from the list of Default Templates.
3 Click Open.
The Book a Stock Loan or Repo window is displayed. See Figure 19-1.
Important: The available and editable fields in the Book a Stock Loan or
Repo window depend on the setting of Editable Fields
parameter of the template in the collateral agreement.
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Stock loans with Margin Calls
You can redefine and generate new commission and Loan/Repo margins for stock
loans that accept margin calls.
From the portfolio containing Stock Loans with margin calls, the following options are
available from the right-click menu:
Commission Modification on page 357
Collateral/Repo Spread Modification on page 358
The Business Event for the new deals generated is Loan/Repo Commission and the
third parties are the same as those specified in the deal ticket for the stock loan.
Commission Modification
The Commission Modification window allows you to modify the following parameters
of the Stock Loan:
Commission Rate (Commission Type currently defined)
Trade Date
Value Date
Figure 19-3 shows the Commission Modification window.
Figure 19-3 Commission Modification window.
To change or add a loan commission, do the following:
1 Select the stock loan position in the portfolio.
2 Right-click and select Commission Modification.
3 Enter the new commission parameters.
The commission will be paid from the specified Value date, either until the
maturity of the stock loan or until the commission is changed again.
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Collateral/Repo Spread Modification
The Collateral/Repo Spread Modification window allows you to modify the following
parameters:
Spread (Interest Rate currently defined)
Trade Date
Value Date
Figure 19-3 shows the Loan/Repo Margin window.
Figure 19-4 Collateral/Repo Spread Modification window.
To change or add a Collateral/Repo Spread, do the following:
1 Select the stock loan position in the portfolio.
2 Select Collateral/Repo Spread Modification from the context menu.
3 Enter the new parameters.
The margin rate is changed and applies from the specified Value date, either
until the maturity of the stock loan or until another rate is set.
Stock Loan Deal Modification
From the Portfolio window, you can make changes to stock loan deals through the
context menu. The following options are available:
- Maturity Modification on page 359
- Spot Modification on page 360
- Partial Return on page 362
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Maturity Modification
The Maturity Modification dialog allows you to change the maturity date of the
stock loan, repo or CFD.
To perform a Maturity Modification, do the following:
1 Select the stock loan position in the Portfolio
2 Select Maturity Modification from the context menu.
The Maturity Modification dialog is displayed.
Figure 19-5 Maturity Modification.
3 Enter the Maturity Modification parameters.
Table 19-3 contains a description of the Maturity Modification dialog parameter
fields.
Table 19-3 Maturity Modification Parameters.
Field Description
Loan Reference Reference of the stock loan, repo or CFD.
Loan Name Name of the stock loan, repo or CFD instrument.
Principal Ref. Reference of the underlying stock.
Principal Quantity The principal quantity.
Maturity The date that the agreement expires on.
When the end date is reached, no more transactions may be
made for this agreement.
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Spot Modification
The Spot Modification dialog allows you to change the spot of the underlying of the
stock loan, repo or CFD.
Important: A spot modification is only possible for stock loans with the Commission
Type Fixed Price with Reviseable Spot.
To perform a spot modification, do the following:
1 Select the stock loan position in the Portfolio.
2 Select Spot Modification from the context menu.
The Spot Modification dialog is displayed.
Trade Date The date that you want the trade to occur. The trade date
defaults to today.
The trade date must be strictly between the trade date of the
stock loan initiation ticket and the maturity date, if it exists.
Counterparty/Entity The specified counterparty and entity.
BO Workflow The specified Back Office Workflow.
BO Status The current Back Office status.
Table 19-3 Maturity Modification Parameters.
Field Description
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Figure 19-6 Spot Modificatin dialog
3 Enter the Spot Modification parameters.
Table 19-4 contains a description of the Spot Modification dialog parameter fields.
Table 19-4 Spot Modification Dialog Fields.
Field Description
Loan Reference Reference of the stock loan, repo or CFD.
Loan Name Name of the stock loan, repo or CFD instrument.
Principal Ref. Reference of the underlying stock.
Principal Quantity The principal quantity.
Principal Spot The last spot price of the principal underlying. This is
calculated according to credit risk preferences.
Trade Date The date that you want the trade to occur. The trade date
defaults to today.
The trade date should be strictly between the trade date of
the stock loan initiation ticket and the maturity date, if it
exists.
Value Date The value date
Counterparty/Entity The specified counterparty and entity.
BO Workflow The specified Back Office Workflow.
BO Status The current Back Office status.
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Partial Return
The Partial Return dialog allows the user to return a portion of the principal, and
also a portion of the collateral, depending on the collateral type.
Partial Returns can be performed on the following stock loan types:
Cash Vs Securities Per Contract
Securities Vs Cash Per Contract
Cash Vs Securities Pool
Securities Vs Cash Pool
Securities Vs Securities Pool
Securities (No Collateral)
Important: The Partial Return dialog parameter fields vary according to the type of
stock loan. For example, the Partial Return dialog for a Cash Vs
Securities Per Contract stock loan reflects the fact that the current
principal is a currency and therefore contains a Ccy field. This field is not
displayed if the stock loan type is, for example, Securities Vs Securities
Pool.
To perform a Partial Return, do the following:
1 Select the stock loan position in the Portfolio
2 Select Partial Return from the context menu.
The Partial Return dialog is displayed.
3 Enter the Partial Return parameters.
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Figure 19-7 Partial Return dialog
Table 19-5 contains a description of the Partial Return dialog parameter fields.
Table 19-5 Partial Return Fields (Sheet 1 of 4)
Field Description
Counterparty/Entity The specified counterparty and entity.
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Loan Reference Reference of the stock loan, repo or CFD instrument.
Loan Name Name of the stock loan, repo or CFD instrument.
Deals To Take Into
Account
Allows you to specify which deals to take into account for the
Partial Return. The default is All.
Current Principal Frame Fields
Ref. Reference of the principal stock.
Note: Not applicable for Cash Vs Securities Per Contract and Cash Vs
Securities Pool stock loans.
Average Price A weighted sum of Sell/Buy prices of deals.
Note: For Securities Vs Cash Per Contract and Securities Vs Cash Pool
only.
Qty The principal quantity.
Note: Not applicable for Cash Vs Securities Per Contract and Cash Vs
Securities Pool stock loans.
Principal Amount The current amount (Quantity * price) of the principal.
Ccy The currency of the principal.
Note: For Cash Vs Securities Per Contract and Cash Vs Securities Pool
stock loans only.
Spot The current spot. The spot is set to 1 if the principal is cash.
Note: Not applicable for Securities Vs Cash Per Contract and Securities
Vs Cash Pool stock loans.
Current Collateral Frame Fields
Ref. Reference of the collateral.
Note: For Cash Vs Security Per Contract stock loans only.
Spot The spot price of the collateral underlying.
Note: For Cash Vs Security Per Contract only.
Qty The quantity of securities held as collateral.
Note: For Cash Vs Security Per Contract only.
Ccy/Rate The currency and interest rate of the collateral.
Note: For Securities Vs Cash Per Contract and Securities Vs Cash Pool
only.
Collateral Amount The value of the collateral.
Partial Return Frame, Principal Frame Fields
Amount to Return The amount of cash to return.
Note: For Cash Vs Securities Per Contract and Cash Vs Securities Pool
stock loans only.
Table 19-5 Partial Return Fields (Sheet 2 of 4)
Field Description
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Qty to Return The amount of securities to return.
Note: Not applicable for Cash Vs Securities Per Contract and Cash Vs
Securities Pool stock loans.
Principal Spot The last spot price of the principal underlying, according to
credit risk preferences.
Note: Not applicable for Cash Vs Securities Per Contract and Cash Vs
Securities Pool stock loans.
Collateralized Spot Price with Hedging and Haircut applied.
Note: For Securities Vs Cash Per Contract and Securities Vs Cash Pool
stock loans only.
Remaining Principal The amount of principal that remains after the partial return.
Partial Return Frame, Collateral Frame Fields
Amount to Return The amount of cash collateral to return.
Note: For Securities Vs Cash Per Contract and Securities Vs Cash Pool
stock loans only.
Qty to Return The amount of securities collateral to return.
Note: For Cash Vs Securities Per Contract stock loans only.
Qty Remaining The amount of securities remaining after the partial return.
Note: For Cash Vs Securities Per Contract stock loans only.
Remaining
Collateral
The amount of collateral remaining after the partial return.
Main Transaction Frame Fields
BO Workflow The specified Back Office workflow.
Depositary The depositary of the trade.
Depositary of the
Counterparty
The depositary of the counterparty of the trade.
SM/DT The Settlement Method/Delivery Type to apply to the trade.
Payment Method The payment method for the trade.
Collateral Section Frame Fields
Note: Displayed only for Securities Vs Securities Pool stock loans.
BO Workflow The specified Back Office workflow for the collateral.
Depositary The depository for the collateral part of the trade.
SM/DT The Settlement Method/Delivery Type to apply to the collateral
part of the trade.
Payment Method The payment method for the collateral part of the trade.
General Trade Information Area
Ticket ID The ID of the ticket.
Table 19-5 Partial Return Fields (Sheet 3 of 4)
Field Description
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Repricing
Repricing allows you to reprice the underlying of a stock loan. When a reprice occurs,
cash transfers are generated for the rolling commission and rolling interest, and the
delta cash amount is calculated.
The Fees Repricing drop-down list in the Fees and Interest tab of the Collateral
Agreements dialog allows you to enable repricing for stock loans. The possible values
are as follows:
None Repricing is not enabled.
Delta Cash Only Repricing is enabled, but only the Delta Cash amount is
generated.
Total and Delta Cash Repricing is enabled, and both Delta Cash and
commission and interest are returned.
Note: Repricing is only available for stock loans with a billing frequency set to Final
and a Fixed Price with Revisable Spot commission type.
To perform a repricing, do the following:
1 Select the stock loan position in the Portfolio
2 Select Repricing from the context menu.
The Repricing dialog is displayed.
3 Enter the repricing parameters.
The Repricing dialog is shown in Table 19-8:
BO Status The current Back Office status.
Business Event The business event to apply to the trade.
Trade Date The date that you want the trade to occur. Default is today.
The trade date must be strictly between the trade date of the
stock loan initiation ticket and the maturity date, if it exists.
Payment Date The specified payment date for the trade.
Settlement Date The settlement date that applies to the trade.
Comments Comments.
Table 19-5 Partial Return Fields (Sheet 4 of 4)
Field Description
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Figure 19-8 Repricing dialog
Table 19-6 describes the fields in the Repricing frame and in the general area of the
Repricing dialog:
Table 19-6 The Repricing frame and General fields
Name Description
Counterparty/Entity The specified counterparty and entity.
Deals To Take Into
Account
Allows you to specify which deals to take into account
for the repricing. The default is All.
Loan Reference Reference of the stock loan.
Loan Name The name of the loan.
Principal Ref. Reference of the underlying stock.
Principal Quantity The quantity of the principal.
Principal Spot The last spot of the principal.
Trade Date The trade date of the loan.
Value Date The value dat of the loan.
BO Workflow The back office workflow assigned to the loan.
BO Status The curren back office status of the loan.
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Table 19-7 describes the fields in the Delta Cash frame of the Repricing dialog:
Table 19-8 describes the fields in the Rolling Commission frame of the Repricing
dialog:
Table 19-9 describes the fields in the Rolling Commission frame of the Repricing
dialog:
Table 19-7 The Delta Cash frame
Name Description
Hedging The hedging amount, in percent, of the delta cash.
Haircut The haircut amount, in percent, of the delta cash.
Collateralised Spot Price with Hedging and Haircut applied.
Currency The currency of the collateralised spot.
Delta Cash The current position quantity multiplied by the
difference in repricing.
Table 19-8 Rolling Commission frame
Name Description
Yesterdays The total commission paid on yesterdays date.
Paid Today The total commission paid today.
Currency The currency of the commission.
Commission The total commission paid.
From The start date for the commission and interest period.
To The end date for the commission and interest period.
Amount The value of the principal in the contract.
This is calculated as:
Principal Qty * Principal Spot.
Note: For bonds, the equation is calculated as Principal
Qty * Dirty Spot.
Rate The rate used to calculate the fees.
Commission The total fees due since the previous date
Spot The spot price.
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Automatic Tickets
This section describes the Automatic tickets for Stock Loans.
Stock Loan without Margin Calls
For Lending & Borrowing, the commissions, expiration and interest on the collateral
are generated. The dividends rebate is generated by the Corporate Action.
Commissions and interest on the collateral, can be generated:
at expiration
at the end of the month
at a fixed date
These options can be specified in the definition of the L&B. The global preference
MARKETSHIFTSTOCKLOAN is used to check if the commission between the last of
the period and the open commission is included or not.
To get the interest on the collateral, the method
CSRStockloan::GetCollateralInterestAtExpiry is called, and is generated for
L&B only.
When using Repos, interest is added to the expiry tickets. The Business Event is
Collateral Rebate. The commission is calculated using the
CSRStockloan::GetCommissionAtExpiry method, with the currency set by the
CSRStockloan::GetCommissionCurrency method. By default, the commission is
expressed in the currency of the collateral, if it is fixed. If the collateral is not fixed,
Table 19-9 The Rolling Commission frame
Name Description
Yesterdays The total interest paid on yesterdays date.
Paid Today The total interest paid today.
Currency The currency of the interest.
Interest The total interest paid.
From The beginning of the period for interest.
To The end of the period for interest.
Amount The total amount of cash margin calls performed on
the cash pool or cash collateral.
Spread The rate used to calculate the fees.
Interest The total interest paid since the previous date
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the commission is expressed in the currency of the principal. The closing price of
Repo bonds includes the commission and is expressed with the accrued coupon if the
bond is quoted cleanly.
Stock Loan with Margin Calls
Stock loans with margin calls behave differently from those without margin calls. The
position is not enough to calculate the commission, the entire transaction is required.
Only Purchase/Sale tickets are taken in account. The following automatic tickets are
generated:
The commission - entity
The margin call - counterparty
The interest on collateral - depositary
At the end date, an expiry ticket is also generated. The dividend rebate is generated
by the corporate action.
When the Back Office is available, the ticket for commission uses the Business Event
that is specified in the Commission field of the Stock Loan (General) section in
the Stock Loan tab of the Back Office Parameters. When the Back Office is
unavailable, the Commission Business Event is used.
When the Back Office is available, the ticket for interest on collateral uses the
Business Event that is specified in the Collateral Remuneration field of the Stock
Loan (General) section in the Stock Loan tab of the Back Office Parameters with
Back Office. When the Back Office is unavailable, the Coupon Business Event is
used.
The margin call ticket is calculated by taking the last price of the principal multiplied
by the collateral percentage minus all margin calls and all deprecated collateral.
When tickets are to be validated, the P&L of the book is incorrect. Commissions and
interest are doubled and a reporting is necessary.
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Chapter 20 Deals on Stock Derivatives
This chapter describes how to make deals on equity derivatives. The following types
of derivative deals are described:
Standard options
Barrier options
Two-Underlying options
Digital options
Look-Back options
Average options
Convertible Bonds
Standard Options
Standard options are entered in the same manner as deals on stock. It is also
possible to create an option and book it in the portfolio simultaneously. To do this,
use the standard option ticket from the Portfolio windows Ticket menu.
The Standard Option ticket contains all the fields from the Standard Option
window, and from the Deal Input window.
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Figure 20-1 Buy/Sell Standard option window.
For more information on the Standard Option window, see the Instrument
Reference Guide.
Barrier options
This section describes how to create a deal on a barrier option using the ticket menu
of the portfolio window. This allows you to enter a deal on a barrier option and
specify the underlying characteristics at the same time.
1 Select an option.
2 Select Barrier option from the Tickets menu. The following window is
displayed:
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Figure 20-2 New Barrier option.
3 This dialog allows you to both create a new barrier option and create a deal
on that option in one dialog. For more information on the Barrier option
fields, see the RISQUE Instrument Reference Guide.
Automatic Tickets for Stock Derivatives
This section describes Automatic Tickets generated for Options, and includes a
description of Automatic Ticket generation for each delivery type of Stock Derivative.
If the Option delivery is cash payment, RISQUE tries to estimate the delivery price.
For an exotic option (CSROption::ExoticPaiement method), the rate is estimated
by calculating a theoretical value with market data at null volatility and null rate
curve. For a non-exotic option, RISQUE tries to estimate the security value itself. The
price of the spot used corresponds to the option maturity with the security fixing:
open, last.
If the price is positive and the Back Office module is not present, an exercise ticket is
generated. If the Back Office module is present, the generated ticket has the
Business Event specified in the Cash payment field of the Options section of the
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Corporate Actions Parameters menu. If the option is in a package, the Business
Event is Coupon, and the option is deleted from the package by a ticket, if the option
expiry is set to before the package expiry.
If the price is negative, a cancellation ticket is generated with the amount set to 0
(zero). If the Back Office module is present, the Business Event is Cancelled, if the
Back Office module is not present the Business Event is Exercise. The cancellation
ticket is not generated by an option in a package.
If the delivery is physical, the new share is dealt with as an old share.
If the delivery is in Old Share, the option position is cancelled at 0 (zero) and a
position in share is opened at the strike. In case of physical in bonds delivery, the
payment date of the option is used rather than the deal payment date.
In the case of cash & apply, the bond is purchased at the quoted price, the difference
between the spot and the strike appears in cash form on the option expiry ticket.
Note: Deals of the coupon day are always taken into account.
Automatic Tickets for Stock Derivatives
Automatic tickets for Stock Derivatives and their business events depend on the
delivery type, specified in the payment section.
The following delivery types are offered in the standard definition screen:
Share on page 374
New Shares on page 375
Market delivery on page 375
Cash on page 376
Cash and Apply on page 377
Currency on page 377
Future on page 378
The following sections illustrate ticket generation for each delivery type. Each is
based on the purchase of a Put. At the expiration date, automatic tickets are
generated if the option finishes either In The Money or Out The Money.
Note: Stock derivatives generate tickets for their Expiration Date only.
Share
In the Money
A ticket is generated to close out the position where:
Instrument The option
Quantity = minus the number of securities in the position
Price = 0
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Amount = 0
Business event = as defined in the 'Physical exercise (option)' field in the CA
screen (corporate action, BO/Parameters menu).
A ticket to receive the pay off is also generated:
Instrument = the underlying of the option
Quantity = minus the number of securities in the position
Price = strike
Business event = as defined in the Physical exercise (action) field in the
CA screen (corporate action, BO/Parameters menu).
Out the money
A unique ticket to close out the position is generated:
Instrument = the option
Quantity = minus the number of securities
Price = 0
Business event = as defined in the Cancelled field in the CA screen
(corporate action, BO/Parameters menu)
New Shares
In the Money
No automatic tickets are generated. Instead, the user is alerted that he must
manage the expiration of this product. An alert is generated in the ' Portfolio / Alert
book ' window. The Portfolio/Alert displays where this product is booked.
Out the money
No automatic tickets are generated. Instead, the user is alerted that he has to
manage the expiration of this product. An alert is generated in the ' Portfolio / Alert
book ' screen. The Portfolio/Alert displays where this product is booked.
Market delivery
In the Money
A ticket is generated to close out the position
Instrument = the option
Quantity = minus the number of securities in the position
Price = 0
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Amount = 0
Business event = as defined in the 'Physical exercise (option)' field in the CA
window (corporate action, BO/Parameters menu).
A ticket to sell, a put option, the underlying at the predefined price is also generated.
Instrument = the underlying of the option
Quantity = -1
Price = strike
Business event = as defined in the 'Market application' field in the CA
window (corporate action, BO/Parameters menu).
Out the money
A unique ticket is generated to close out the position
Instrument = the option
Quantity = minus the number of securities.
Price = 0
Business event = as defined in the Cancelled field in the CA window
(corporate action, BO/Parameters menu).
Cash
In the Money
A unique ticket to close out the position and to receive the payoff (paid in cash) is
generated.
Instrument = the option
Quantity = minus the number of securities.
Price = Strike Minus Spot (K-S) = pay off
Business event = as defined in the first Cash Payment field in the CA
window (corporate action, BO/Parameters menu)
Out the money
A unique ticket is generated to close out the position.
Instrument = the option
Quantity = minus the number of securities.
Price = 0
Business event = as defined in the 'Cancelled' field in the CA window
(corporate action, BO/Parameters menu)
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Cash and Apply
In the Money
A unique ticket is generated to close out the position and receive the pay-off:
Instrument = the option
Quantity = minus the number of securities in the position
Price = (K-S) = payoff
Business event = as defined in the second 'Cash Payment' field in the CA
screen (corporate action, BO/Parameters menu)
A ticket is also generated to sell the underlying at the Market price:
Instrument = the underlying of the option
Quantity = minus the number of securities
Price = current spot
Business event = as defined in the 'Market application' field in the CA screen
(corporate action, BO/Parameters menu)
Out the Money
A unique ticket is generated to close out the position:
Instrument = the option
Quantity = minus the number of securities.
Price = 0
Business event = as defined in the 'Cancelled' field in the CA screen
(corporate action, BO/Parameters menu)
Note: Currency - this delivery type is only applicable to Exchange rate options. For
example, if you buy a put option on USD / EUR - USD/EUR means you buy USD, pay
in EUR.
Currency
Out the Money
A unique ticket is generated to close out the position:
Instrument = the option
Quantity = minus the number of securities.
Price = 0
Business event = as defined in the Cancelled field in the CA window
(corporate action, BO/Parameters menu).
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In the Money
A ticket is generated to close out the position and receive the pay-off:
Instrument = the option
Quantity = minus the number of securities in the position
Price = (K-S) = payoff
Business event = as defined in the first Cash Payment field in the CA
window (corporate action, BO/Parameters menu).
We generate also a ticket to sell (it is a put option) the underlying at the Market
price.
Instrument = the underlying of the option
Quantity = minus the number of securities
Price = current spot of the exchange rate USD/EUR
Business event = Nothing is displayed into this deal ticket but the business
event exists as defined in the Physical exercise (action) field in the CA
window (corporate action, BO/Parameters menu).
Note: If you choose a business event in the Corporate Action window, that is not
permitted for this instrument in the Back office Allotment window, nothing is
generated in the deal ticket. The user must then define the appropriate business
event.
Future
In the Money
Firstly, a ticket is generated to close out the position:
Instrument = the option
Quantity = minus the number of securities in the position
Price = 0
Amount = 0
Business event = as defined in the Physical exercise (option) field in the
CA window (corporate action, BO/Parameters menu).
Secondly, a ticket is generated to receive the pay off:
Instrument = the underlying of the option
Quantity = minus the number of securities
Price = strike
Business event = as defined in the Physical exercise (action) field in the
CA window (corporate action, BO/Parameters menu).
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Out the Money
A unique ticket is generated to close out the position:
Instrument = the option
Quantity = minus the number of securities.
Price = 0
Business event = as defined in the Cancelled field in the CA window
(corporate action, BO/Parameters menu).
Early Exercise of an Option
You can perform an early exercise on the following types of options in the Exercise
dialog, shown in figure 20-3:
American option
Bermudan option
European option
Convertible bonds
Note: This dialog is used for physical delivery instruments only.
Figure 20-3 Exercise dialog
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Table 20-1 describes the fields of the Exercise dialog.
Table 20-2 describes the fields in the Transaction Tag frame of the Exercise
dialog.
Table 20-1 Exercise dialog fields
Field Description
Underlying reference The reference for the underlying of the derivative.
Quantity Sold The number of options that you want to exercise.
Unit price The value of the option per unit. Before you enter this
value, consider the way you want the portfolio result to
appear.
Deal Size The number of corresponding underlyings bought or sold.
Deal Price The deal price is equal to the strike of the option.
Fees The market fees charged for the exercise.
Negotiation date Negotiation date of the trade.
Negotiation time Negotiation time of the trade.
Value Date Date of the last received quote of the underlying
associated of the exercise.
CB Derived Conversion
Ratio
Select to include the conversion ratio if the exercise is a
convertible.
Table 20-2 Transaction Tag Frame of the Exercise Dialog
Name Description
Counterparty The counterparty of the exercise.
Entity The entity of the exercise.
Broker The broker of the exercise.
Depositary The depositary of the exercise.
Operator The operator of the exercise.
Exercise Select if you want the business event of the deal to be
Exercise.
Comments Text comments.
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Table 20-3 describes the fields in the Mirroring frame of the Exercise dialog.
Booking an Early Exercise
The following steps describe the process of performing an early exercise on an
option:
1 Select an option in your portfolio.
2 Select Operation from the Tickets menu.
The Exercise dialog is displayed, as shown in figure 20-3.
3 Enter the number of options to exercise in the Quantity Sold field.
4 In the Unit Price field, enter a value based on the following behaviours of
the exercise in your portfolio:
- Enter a positive integer value for a call option or a negative integer value
for a put option.
- Enter 0 to generate a realised loss for the option.
- Enter the strike price of the option to generate a positive unrealised for
the underlying share.
5 In the Deal Size field, enter the number of corresponding underlying
securities bought or sold.
6 Click Exercise if this is an exercise event.
Note: If you do not select this check box, the exercise is listed as a
Purchase/Sale event in the Movements window.
7 If the exercise is on a convertible bond, select the CB Derived Conversion
Ratio check box to include the conversion ratio specified for the bond. The
shares booked in your portfolio are multiplied by the amount specified in the
Conversion Ratio field of the convertible.
8 Enter the relevant transaction parties in the Transaction Tags frame.
9 Click on a Back Office Workflow button.
Table 20-3 Mirroring Frame of the Exercise Dialog
Name Description
Mirror Rule The mirror rule to apply to mirrored exercise deals.
Creating a mirrored exercise on a position results in two
deals:
The closing of the position
The actual purchase/sale of the underlying.
If an exercise is mirrored, two families of mirrored deals are
created, one for the exercise and one for the underlying.
For more information on mirrored deals, see Deal Mirroring
on page 525.
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The Deal Input dialog is displayed with the values you specified.
10 Book the deal.
In your portfolio, the following occurs:
- For cash delivery, one deal is displayed.
- For physical delivery options, one deal is generated for the option and
one deal is generated for the shares.
Capturing a Movement on an OTC Option
This section describes how to capture a movement on an OTC option.
You can enter a movement on a standard option regardless of its characteristics.
Complete the following steps to capture a movement on an OTC option:
1 Select an option.
2 Select Standard Option from the tickets menu.
This displays a window with the definition of the underlying and of the option
in addition to the transaction ticket.
Note: An entry corresponding to the defined option is automatically
generated in the Derivatives list.
Digital, Look-Back, Two-Underlying and Average Options
For Digital, Look-Back, Two-Underlying and Average Options, there is no menu
option for creating deals in the Tickets menu of the Portfolio window.
Complete the following steps to create a deal on an Digital, Look-Back,
Two-Underlying or Average options:
1 Drag and drop the option from the list into the relevant portfolio.
The Deal Input window is displayed.
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Figure 20-4 Deal Input window, showing a deal on an Average Option.
2 Enter the quantity, price and fees.
3 Click New deal accept.
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Chapter 21 Deals on Listed Options
This chapter describes the various methods of creating deals on Listed Options. For
more information on creating Listed Options and a full description of Listed options
Markets, see the Administration Guide. This chapter contains the following sections:
Booking a Listed Option on page 385
Booking Deals on Listed Options on page 387
Booking a Listed Option
This section describes how to capture a transaction on a Listed Option Market.
Selecting a folder with an underlying and clicking on the Strategy item in the
Tickets menu, opens the Strategy dialog, as shown in figure 21-1.
You can also hold down the Alt button and click the Positions icon in the Portfolios
window. This opens a context menu containing all the Listed Options on the active
market. Selecting one of the Listed Options opens the strategy window.
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Figure 21-1 Strategy window
If a folder includes an entry for an underlying in a listed market, you can create
tickets for related calls and puts.
Complete the following steps to create a deal on a listed option:
1 In the Portfolio window, select an underlying.
Note: To create option tickets on the portfolios underlying, you must not
select an underlying in the portfolio.
2 In the Portfolios toolbar, click the icon.
3 Select Strategy.
A window similar to the following opens:
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Figure 21-2 Strategy window
4 In the blank cells of the window, enter the price and quantity of the call or
put that you want to buy or sell.
5 Enter the price and the quantities of call/put you want to buy/sell in the
blank cells of the window.
6 Enter the number of underlyings that you want to buy/sell in the Nb
underlying text box.
7 Enter the price in the Price text box.
8 Click Save. This integrates the new deals in your portfolio.
Booking Deals on Listed Options
To book deals on Listed Options:
1 Open the portfolio.
2 Ensure that the relevant market is displayed in the Market menu.
3 Press the Ctrl key and click on the Positions button in the portfolio window.
A menu containing the available contracts is displayed, as shown in
figure 21-3.
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Figure 21-3 Positions drop down list
4 Select the desired contract.
The Position window is displayed, as shown in figure 21-4.
Figure 21-4 The Position window
5 Check the following in the Position window:
- The strike corresponds to the given rules.
- The volatility is valid. This is an average over daily futures, so the
volatility should be smaller than the future volatility.
- The option prices are consistent. For a very small strike, the price is
roughly the spot minus the strike and the delta is roughly equal to 1. The
delta should not be 1 for strikes that are closer to the spot.
- The dates, price, volatility, and greeks as follows:
1. Select one option.
2. Click on the blue price.
3. Press Ctrl+o to open the Option window.
4. Select Standard from the displayed dialog. The underlying should be
a MASP Future.
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To create tickets in the selected portfolio:
1 Select the desired listed option price in the Position window, as shown in
figure 21-4.
2 Type Ctrl+N.
The corresponding ticket with a standardised reference is displayed, as
shown in figure 21-5.
Figure 21-5 Deal Input window
Note: Once you have booked a deal, the Quantity column in the Positions window
is updated for the quantity that has been booked for the maturity.
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Chapter 22 Deals on TAPOs
This chapter describes how to book deals on TAPOs.
Booking Deals on TAPOs
You can book deals on TAPOs as follows:
1 Open the portfolio.
2 Ensure that the relevant market is displayed in the Market menu.
3 Press the Ctrl key and click on the Positions button in the portfolio window.
A menu containing the available contracts is displayed, as shown in
figure 22-1.
Figure 22-1 Positions drop down list.
4 Select the desired contract.
The Position window is displayed, as shown in figure 22-2.
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Figure 22-2 TAPO position window.
5 Select an option and select Ctrl+n to create a new movement.
The movement is displayed in the portfolio.
6 Open the Strategy window from the Market menu, as shown in
figure 22-3.
Figure 22-3 TAPO Strategy window.
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Note: The PUT options are not displayed because their premium is zero.
7 Check the following in the Strategy window:
- The strike corresponds to the given rules.
- The volatility is valid. This is an average over daily futures, so the
volatility should be smaller than the future volatility.
- The option prices are consistent. For a very small strike, the price is
roughly the spot minus the strike and the delta is roughly equal to 1. The
delta should not be 1 for strikes that are closer to the spot.
- The dates, price, volatility, and greeks as follows:
1. Select one option.
2. Click on the blue price.
3. Press Ctrl+o to open the Option window.
4. Select Standard from the displayed dialog. The underlying should be
a MASP Future.
8 Open the Standard Option dialog, as shown in figure 22-4.
Figure 22-4 TAPO Standard Option.
Note: If the underlying is the commodity (or anything else), it means that
the MASP Future has not been found. There was no MASP Future in the
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worksheet with an expiry on the LastBusinessDay of the month.
9 Check that the dates are consistent with the strategy window.
10 Check that the price, the volatility and the greeks are strictly identical to
those in the Strategy window.
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Chapter 23 Deals on Futures and Forwards
This chapter describes deals made on Futures and Forwards.
Futures Spread Transaction
Important: You must have 2 futures listed on the market to capture this transaction.
This section describes how to book a futures spread transaction.
Booking a Futures Spread Transaction:
1 Select Spread from the Tickets menu. The Buy Spread dialog is displayed.
Figure 23-1 Buy Spread dialog.
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2 From the Market drop-down list, select the listed market. Only those
Markets which contain listed futures are accessible.
3 Specify the quantity you want to purchase.
4 Specify the two futures you want to book the spread on.
5 Specify the prices you want to book the spread at.
6 Define the other parameters as necessary.
Note: Market and brokerage fees are distributed equally between the two future
tickets.
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Chapter 24 Forex Deals
This chapter describes deals made on currencies and forex rates.
The following topics are described:
The Foreign Exchange Deals Dialog on page 397
Booking a Spot Deal on page 402
Booking a Forex Forward Outright Deal on page 403
Booking a Forex Non-Deliverable Forward on page 403
Booking a Forex Swap on page 404
Forex Tickets on page 404
The Foreign Exchange Deals Dialog
Foreign exchange deals are created in the FX Deals dialog. This dialog supports the
creation of spot and forward deals on currency pairs.
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To open the FX Deals dialog, do the following:
In the Portfolios toolbar, select FX Deals from the Tickets menu. The FX
Deals dialog is displayed, as shown in figure 24-1.
Figure 24-1 FX Deals Dialog
There are five frames in the FX Deals dialog:
Forex the currency pair and the deal type.
Spot deal the date and exchange values for a spot deal.
Forward deal the date and exchange values for the forward leg of a
forward deal.
Forward Rate Calculation the rates used for forward deals.
Transaction details of the parties involved, fees charged, portfolio
location, and related comments for the deal.
Table 24-1 describes the fields in the Forex frame.
Table 24-1 Forex Frame of the FX Deals Dialog (Sheet 1 of 2)
Name Description
BUY/SELL toggle button Toggles between buy or sell deals. This defines the action
taken of the first currency of the pair. For example, click
SELL to sell euros in a EUR/USD pair.
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The Spot deal frame contains the date and exchange values for spot deals.
Table 24-2 describes the fields in the Spot deal frame:
Note: The radio buttons displayed beside the Paying or Receiving fields indicate
that the associated amount was used to calculate the other values.
The Forward deal frame contains the date and exchange values for forward deals.
Table 24-3 describes the fields in the Forward deal frame:
First currency
drop-down list
The base currency in the swap. If the deal is a buy deal,
this is the currency bought. If the deal is a sell deal, this is
the currency sold.
Second currency
drop-down list
The second currency in the swap, also known as the quote
currency.
FX Forward Outright
check box
If selected, the deal is a forward outright deal. The value
date is set to the future payment date.
Deal Type drop-down
list
The type of delivery of the deal. Select from the following
values:
Forward an obligation to buy or sell the
currency at a specified price, quantity, and date.
Non Deliverable Forward a contract to
exchange the profit or loss of a forex deal at the
Forward Date. Calculated by taking the
difference between the agreed exchange rate and
the spot rate at the time of settlement.
Table 24-2 Spot Deal Frame of the FX Deals Dialog
Name Description
Value Date The value date of the deal.
Rate fields The rate fields display the relevant buy and sell exchange
rates for the specified.
Paying currency The paying amount of the currency deal. When the value of
the Paying or Receiving field is changed, the other Paying
and Receiving fields are re-calculated.
Receiving currency The receiving amount of the currency deal.
Table 24-1 Forex Frame of the FX Deals Dialog (Sheet 2 of 2)
Name Description
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The Forward Rate Calculation frame contains the rates used for forward deals.
Table 24-3 describes the fields in the Forward Rate Calculation frame:
Table 24-3 Forward Deal Frame of the FX Deals Dialog
Name Description
Forward Date The expiry date of the forward deal. Entering a date in this
field activates the forward leg of the deal.
Days The number of days from the Value Date to the Forward
Date.
Rate fields Automatically displays the relevant buy and sell exchange
rates when the currencies are entered.
Paying currency The paying amount of the currency deal. When the value of a
Paying or Receiving field amount is changed, the other
Paying and Receiving fields are calculated.
The radio buttons displayed beside each Paying or
Receiving field indicate that the value was used to calculate
the other Paying or Receiving fields.
Note: The radio buttons displayed beside the Paying or
Receiving fields indicate that the associated amount was
used to calculate the other values.
Receiving currency The receiving amount of the currency deal.
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The Transaction frame contains the rates used for forward deals.
Table 24-3 describes the fields in the Transaction frame:
Table 24-4 Forward Rate Calculation Frame of the FX Deals Dialog
Name Description
Calculation Type The method used for calculating the forward leg of the deal.
The rate types calculate the second ticket quantity and price,
depending on the rate of the first and second currencies.
If the type is relative, the number of days between the Expiry
Date and the Value Date is taken into account when
performing the calculation.
The following types are available:
Absolute Rate the default currency rates in the
Forward Rate Calculation frame are used without
time adjustment to calculate the forward leg.
Relative Forward the rate in the Forward Rate
Calculation frame are used. The rate is percentage of
the spread from the quoted market rate adjusted for
the number of days between the Expiry Date and the
Value Date.
Relative Rate the rate for the forward leg is
calculated relative to the time between the value and
forward dates, taking into account the market way and
basis of the currencies.
Absolute Forward Add Point the rate used for the
forward leg is:
Price of forward = Price of 1st deal + (FxMarketway *
Fwd Point Real/100)
Relative Forward Add Point the rate used for the
forward leg:
Price of 2nd deal = Price of 1st deal + [FxMarketway *
Fwd Point Real/100 * (Maturity Date - Value
Date)/basis]
Premium/Discount The spread of the deal. When specified, this value is added to
the forward deal amount in the currency swap pair.
Rate The rate used if Absolute Rate or Relative Rate is selected
in the Calculation Type drop-down list.
Table 24-5 Transaction Frame of the FX Deals Dialog
Name Description
Negotiation Date Enter the negotiation date of the swap.
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Booking a Spot Deal
To book a currency deal for immediate delivery, use the fields of the Spot deal
frame.
To book a spot deal, do the following:
1 Click the BUY/SELL toggle button to select the type of deal.
2 Select a currency pair from the currency drop-down lists. The Rate field for
the pair is populated from market data.
3 Enter an amount in the Receiving or Paying field of the Spot deal frame.
4 Click outside the field to see the amount of the other leg.
5 Enter your transaction details in the Transaction frame.
6 Accept the deal.
Note: The Forward Date, Calculation Type, and Premium/Discount fields are
not applicable for spot deals.
Time The time of the swap details entry.
Folder The portfolio to which the swap will belong from the
drop-down list.
Mirror Rule The mirror rules. For more information, see Creating Mirror
Deals on page 532.
Broker The broker of the swap from the drop-down list.
Counterparty The counterparty of the swap from the drop-down list.
Depositary The depositary of the swap from the drop-down list.
FO Remarks Text remarks from the front office.
BO Remarks Text remarks from the back or middle office.
Operator The operator making the deal.
Entity The entity for the deal.
Broker Fees The broker fees for the deal.
Counterparty Fees The counterparty fees for the deal.
Market Fees The market fees for the deal.
BO Status The back office status of the deal when entered.
Comments Text comments.
Table 24-5 Transaction Frame of the FX Deals Dialog
Name Description
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Booking a Forex Forward Outright Deal
A forex forward outright deal is created in the same way as a forex spot except that
the forward date is used rather than the value date. A forex outright deal is priced in
a similar way to a spot forex deal, with the addition of a Premium/Discount. For a
forex outright deal, we recommended the Absolute Forward Add Point calculation
type.
A forex forward outright deal must have an outright settlement date defined in the
Forward Date field of at least three working days after the trade date. The term of
the forward deal is the period between the Value date and the outright settlement
date.
To book a forward outright deal, do the following:
1 Click the BUY/SELL toggle button to select the type of deal.
2 Select a currency pair from the currency drop-down lists. The Rate field for
the pair is populated from market data.
3 Select a type from the Calculation Type drop-down list. Typically, the
Absolute Forward Add Point rule is used to price a forward outright deal.
4 Enter a value in the Premium/Discount field.
5 Enter the outright settlement date in the Forward Date field. The Rate
field for the pair is populated, based on the Calculation Type.
6 Select the FX Forward Outright check box.
7 Enter an amount in the Receiving or Paying field.
8 Click outside the field to see the amount of the other leg.
9 Enter transaction details in the Transaction frame.
10 Accept the deal.
Booking a Forex Non-Deliverable Forward
To book a non deliverable forward (NDF), you must specify a value date where the
difference between the contracted NDF price or rate and the prevailing spot price or
rate is calculated.
To book a forex non deliverable forward, do the following:
1 Click the BUY/SELL toggle button to select the type of deal.
2 Select Non Deliverable Forward from the Deal Type drop-down list.
3 Enter the outright settlement date in the Value Date field of the Spot deal
frame. The Rate field for the pair is populated, based on the Calculation
Type.
Note: The forward date of an NDF is entered in the Value Date field, not the
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Forward Date field.
4 Enter an amount in the Receiving or Paying field.
5 Click outside the field to see the amount of the other leg.
6 Enter transaction details in the Transaction frame.
7 Accept the deal.
Booking a Forex Swap
A forex swap consists of a spot deal and forward deal booked simultaneously with
identical amounts of two currencies with two different value dates. The forward is the
reverse of the spot and the spot purchase is offset by the forward selling.
To book a forex swap, do the following:
1 Click the BUY/SELL toggle button to select the type of deal.
2 Select a currency pair from the currency drop-down lists. The Rate field for
the pair is populated from market data.
3 Enter an amount in the Receiving or Paying field of the Spot deal frame.
4 Select Forward from the Deal Type drop-down list.
5 Enter dates in the Value Date and Forward Date field. When you enter a
forward date, both legs are editable.
6 Enter a rate in the Premium/Discount field.
7 Enter an amount in one of the currency fields. The other currency field is
populated automatically.
8 Enter your transaction details in the Transaction frame.
9 Accept the deal.
Forex Tickets
For forex swaps, two tickets are created:
One ticket with a payment date equal to the value date.
One ticket with a payment date equal to the forward date.
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Chapter 25 Deals on Debt Instruments
You can book a new debt instrument in the portfolio using one of three methods:
Deal Input window Define a debt instrument, as explained in the
Instrument Reference Guide, and drag and drop it into the required folio of
the portfolio.
Defining and entering simultaneously Using the Ticket button and
selecting Debt Instrument from the sub-menu to define a new stock loan
and enter it in the Portfolio in one step.
Defining several loans and entering at one time Using the Blotters button
and select Lending and Borrowing from the sub-menu. Enter the details
of as many debt instrument as necessary and close the window to send the
tickets.
The three methods result in a new stock loan in the instrument list and a ticket in the
portfolio on this stock loan. In the portfolios, stock loans can be assessed as
marked-to-market or as a discount, according to the options in the P&L tab within
the Preferences window.
Booking a Loan on Cash
This section describes how to capture a loan on cash.
You can manage all your funding transactions with this type of ticket.
Note: The fields of the ticket come partly from the definition of a debt instrument.
For more information concerning these fields, see Chapter 13 Cash Deposits, Stock
Borrowing and Lending.
1 Click the Tickets button and select Debt Instrument from the drop-down
menu.
The Commercial Paper Deal window is displayed.
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Figure 25-1 Commercial Paper Loan window.
2 Enter the notional amount of the loan in the Notional Amount field.
Note: The Principal field above Remarks contains a value calculated by the
system. The cash amount that is received by the borrower at the beginning of the
loan. This amount depends on the type of lending (deducted beforehand or not).
Automatic Tickets for Debt Instruments
This section describes how Automatic Tickets are generated for Debt instruments of
the following types:
Unpackaged
Packaged
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Unpackaged Debt Instrument
If a debt instrument is not part of a package, an expiry ticket is generated, in
Amount. The ticket takes the expiry positions of the day into account, along with the
Business Event of the StockLoanExpiry, if the Back Office module is available. If the
Back Office module is not available, it is processed with a Business Event of
Purchase/Sale.
The StockLoanExpiry Business Event can be set in the Parameters section of the
Back Office menu. See the Expiry drop-down list of the Repo/Margin section in the
Corporate Actions tab.
Packaged Debt Instrument
If the debt instrument is part of a package, and the debt instrument expiration date
is set to a date before the package expiration date, an expiry ticket is generated for
the package component, on which the Business Event is always Coupon. The debt
instrument is then deleted from the package.
Note: Day deals on the package are only taken into account if the Not In Package
option is selected.
For both Packaged and Unpackaged debt instruments, if using the Back Office
module, a ticket is generated in advance according to the Coupon Generation Shift
specified for the debt instrument, or for the package market, and after the start date
of the debt instrument. The ticket is also generated in advance if the amount is
known using the CSRInterestRate::AmountAlreadyKnown method.
The possible values for coupon generation shift are as follows:
-1 Generate as soon as possible.
0 Generate according to specified expiry date.
A number of days The Expiry date minus the number of days specified
here.
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Chapter 26 Deals on Commodities
This chapter describes deals on different types of commodities. It contains the
following sections:
Standard Commodities on page 409
LME Commodities on page 416
Power and Gas Commodities on page 418
Asian Options on page 430
Standard Commodities
This section describes booking deals on standard commodities and the generation of
automatic tickets for these deals. It contains the following sections:
Deals on Standard Commodities on page 409
Automatic Tickets for Standard Commodities on page 413
Deals on Standard Commodities
This section describes information specific to the booking of standard commodity
instruments. It contains the following sections:
Swap Leg with Standard Fixing Type on page 409
Standard Swaption Physical Delivery on page 412
Note: For more general information about booking deals, see Deals on page 285.
Swap Leg with Standard Fixing Type
The coupon for a swap leg with a standard fixing type is generated on the Trade
Date, which is the End date, as shown in figure 26-1, plus the Payment gap, as
shown in figure 26-2.
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Figure 26-1 End Date of Swap Leg with Standard Fixing Type
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Figure 26-2 Payment Gap of Swap Leg with Standard Fixing Type
To book a deal on a swap with a standard fixing type, set the Trade Date and
Payment fields of the Deal Input dialog according to the End date and Payment
gap of the swap, as shown in figure 26-3.
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Figure 26-3 Trade Date and Payment Date of Deal Input Dialog
Standard Swaption Physical Delivery
To book a standard swaption with physical delivery, ensure that the Strike of the
swaption matches the cash leg amount of the underlying swap.
If the strike of the swaption does not match the cash leg amount of the underlying
swap, a warning is displayed in the Remark field of the Deal Input dialog, as shown
in figure 26-4.
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Figure 26-4 Swaption with Physical Delivery Swap
Automatic Tickets for Standard Commodities
This section describes automatic tickets for deals on standard commodities.
Table 26-1 shows the automatic tickets that are generated by deals on commodities
with the Standard fixing type. The tickets are generated on the date shown in the
Forecast Date column of table 26-1.
Table 26-1 Standard Tickets (Sheet 1 of 2)
Instrument Ticket Type Forecast Date Value
Swap Future Leg Coupon Float leg
settlement date
The float leg average.
Swap Physical Leg Future
Purchase
Float leg
settlement date
The swap price.
Swap Future
Purchase
Payment date of
the cash flow
The average price
between the Start date
and the End date of the
swap.
For more information,
see Swap Leg with
Standard Fixing Type
on page 409.
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Note: One automatic ticket is not always generated for one instrument. For example,
tickets are generated when purchasing an asian option and tickets are generated on
the end date of each cash flow leg within the underlying swap of the option.
Swaption Cash
Settlement
Exercise Exercise date The proposed price is
the Theoretical value
of the swap.
For more information,
see Standard Swaption
Cash Settlement on
page 415.
Swaption Physical
Delivery
Swap purchase Exercise date Purchase the swap. The
purchase price is zero.
For more information,
see Standard Swaption
Physical Delivery on
page 415.
Option on a future
Cash Settlement
Exercise ticket Option expiry
date
For the call, the value is
the future minus the
Strike, if greater than
0.
For the put, the value is
the Strike minus the
future, if greater than 0.
Option on a future
Physical Delivery
Exercise ticket
Purchase of the
Future
Option expiry
date
The exercise price is
zero.
The purchase price is
the strike, if the option
is in-the-money.
Asian Option Cash
Settlement Only
Coupon Float leg
settlement date
The average minus the
strike, if positive.
Note: The P&L is
incorrect on the
settlement date until the
coupon is generated and
transmitted to the
portfolio. This is because
the coupon value is
removed from the swap
prices on the day of
settlement.
Table 26-1 Standard Tickets (Sheet 2 of 2)
Instrument Ticket Type Forecast Date Value
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The following sections show examples of standard commodity automatic tickets:
Standard Swaption Cash Settlement on page 415
Standard Swaption Physical Delivery on page 415
Standard Swaption Cash Settlement
Figure 26-5 shows a standard swaption with cash settlement and the generated
automatic ticket.
Figure 26-5 Swaption with Cash Settlement and Automatic Ticket
An Exercise coupon is generated on the Expiration date, which is December 9th
2005 in the example in figure 26-5. The Net Price of the coupon, which is 73.721 in
the example in figure 26-5, is the theoretical price of the underlying swap.
Standard Swaption Physical Delivery
Figure 26-6 shows a standard swaption with physical delivery.
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Figure 26-6 Swaption with Physical Delivery and Automatic Ticket
Two coupons are generated on the Expiration date, which is December 9th 2005 in
the example in figure 26-6. Figure 26-4 shows the ticket for the swap purchase at
zero price.
LME Commodities
This section describes booking deals on LME commodities and the generation of
automatic tickets for these deals. It contains the following sections:
Deals on an LME Commodities on page 416
Automatic Tickets for LME Commodities on page 417
Deals on an LME Commodities
This section describes information specific to the booking of LME commodity
instruments. It contains the following sections:
LME Swaption Physical Delivery on page 416
Note: For more general information about booking deals, see Deals on page 285.
LME Swaption Physical Delivery
To book an option on an LME swap with physical delivery, ensure that the Strike of
the swaption matches the cash leg amount of the underlying swap.
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Automatic Tickets for LME Commodities
This section describes automatic tickets for LME commodities. Table 26-2 shows the
automatic tickets that are generated by deals on commodities with the LME fixing
type. The tickets are generated on the date shown in the Forecast Date column of
table 26-2.
Table 26-2 LME Tickets (Sheet 1 of 2)
Instrument Fixing
Type
Ticket Type Forecast Date Value
Swap Future Leg LME Coupon Float leg
settlement date
The float leg average.
Swap Physical Leg LME Future
Purchase
Float leg
settlement date
The swap price.
Swap LME Bullet Future
Purchase
Payment date of
the cash flow.
Average price between the
Start date and End date of
the swap.
Swaption Cash
Settlement
LME Exercise Exercise date The proposed price is the
swap theoretical value.
For more information, see
Standard Swaption
Cash Settlement on
page 415.
Swaption Physical
Delivery
LME Swap purchase Exercise date Purchase the swap. The
purchase price is zero.
For more information, see
Standard Swaption
Physical Delivery on
page 415.
Option on a future
Cash Settlement
LME Exercise ticket Option expiry
date
For the call, the value is the
future minus the Strike, if
greater than 0.
For the put, the value is the
Strike minus the future, if
greater than 0.
Option on a future
Physical Delivery
LME Exercise ticket
Purchase of the
Future
Option expiry
date
The exercise price is zero.
The purchase price is the
strike, if option is
in-the-money.
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Power and Gas Commodities
This section describes booking deals on power and gas commodities and the
generation of automatic tickets for these deals. It contains the following sections:
Deals on Power and Gas Commodities on page 418
Automatic Tickets for Power and Gas Commodities on page 418
Deals on Power and Gas Commodities
For general information about booking deals, see Deals on page 285.
Automatic Tickets for Power and Gas Commodities
This section describes the generation of automatic tickets for power and gas
commodities. Automatic tickets for power and gas commodities are both generated
in the same way. These tickets represent the physical and financial delivery contracts
of the commodity.
Table 26-3 shows the automatic tickets that are generated by deals on power and
gas commodities. The tickets are generated on the date shown in the Forecast Date
column of table 26-3.
LME Asian Option
Cash Settlement Only
LME Coupon Float leg
settlement date
The average minus the
strike, if positive.
Note: The P&L is incorrect
on the settlement date
until the coupon is
generated and transmitted
to the portfolio. This is
because the coupon value
is removed from the swap
prices on the day of
settlement.
Table 26-2 LME Tickets (Sheet 2 of 2)
Instrument Fixing
Type
Ticket Type Forecast Date Value
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Table 26-3 Power and Gas Tickets (Sheet 1 of 4)
Instrument Fixing
Type
Ticket Type Forecast
Date
Value
Swap Physical
contract
Power or Gas Coupon for
cash leg only.
Note: The physical leg is
displayed in the
PowerGas Physical
Scheduling portfolio
analysis scenario.
For more information, see
Swap Physical
Contract on page 422.
Swap Financial
contract
Power or Gas Coupon for
cash leg.
Future
purchase
ticket for
future leg.
Float leg
settlement date
Float leg total
For more information, see
Swap Financial
Contract on page 423.
Monthly Strip of
Options Cash
Settlement
Power or Gas Coupon, if the
theoretical
value of the
corresponding
forward is
positive.
Float leg strip
exercise date
The proposed price is the
estimated coupon amount.
Note: Tickets on a strip of
options are generated
when purchasing the
option and for each strip
leg of the underlying
swap.
For more information, see
Strip of Options
Monthly Cash Settlement
on page 424.
Monthly Strip of
Options Physical
Delivery
Power or Gas Swap
purchase
Float leg strip
exercise date
A new swap is generated
according to the option
strike and flow dates.
Note: Tickets on a strip of
options are generated
when purchasing the
option and for each strip
leg of the underlying
swap.
For more information, see
Strip of Options
Monthly Physical Delivery
on page 425.
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Daily Strip of Options
Cash Settlement
Power or Gas Coupon Float leg strip
exercise date
The proposed price is the
estimated coupon amount.
Note: Tickets on a strip of
options are generated
when purchasing the
option and for each strip
leg of the underlying
swap.
Daily Strip of Options
Physical Delivery
Power or Gas Coupon,
according to
the swap.
Float leg
settlement date
The coupon amount for
daily flows not deleted.
Note: Tickets on a strip of
options are generated
when purchasing the
option as well as for each
strip leg of the underlying
swap.
The physical leg is
displayed in the
PowerGas Physical
Scheduling portfolio
analysis scenario.
For more information, see
Strip of Options Daily
Physical Delivery on
page 425.
VPP Options Power VPP Coupon Settlement
date, according
to the receiving
and paying flow
The quantity delivered
during the flow multiplied
by the strike of the option.
Note: The amount
exercised for VPP coupons
is determined during the
Power Physical
Management process. For
more information about
this process, see Power
and Gas Scheduling on
page 660.
Table 26-3 Power and Gas Tickets (Sheet 2 of 4)
Instrument Fixing
Type
Ticket Type Forecast
Date
Value
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GRD Options Power GRD Exercise Settlement
date, according
to the receiving
and paying flow
The price for each hour is
the minimum between the
spot and the cap, given as
the strike of the option. As
a result, the value of the
coupon is similar to a
financial float leg amount,
based on the scheduling
delivery quantities and
hourly prices, where the
prices are replaced by the
minimum of the price and
the cap.
Note: The amount
exercised for GRD
coupons is determined
during the Power Physical
Management process. For
more information about
this process, see Power
and Gas Scheduling on
page 660.
Table 26-3 Power and Gas Tickets (Sheet 3 of 4)
Instrument Fixing
Type
Ticket Type Forecast
Date
Value
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The following sections show examples of power or gas automatic tickets:
Swap Physical Contract on page 422
Swap Financial Contract on page 423
Strip of Options Monthly Cash Settlement on page 424
Strip of Options Monthly Physical Delivery on page 425
Strip of Options Daily Physical Delivery on page 425
Swap Physical Contract
Figure 26-7 shows a swap with a physical receiving leg with a delivery period of Q4
2005 on the 6th of December 2005 and the generated automatic ticket.
Swing Power Swing Coupon Settlement
date, according
to the receiving
and paying flow
The value of the cash leg
coupon is the notional of
the contract multiplied by
the cash leg price and by
the number of hours
during the flow.
The coupon of the float leg
represents the part that
was not a physical
delivery. Thus, the value
corresponds to the float
leg of a financial deal,
where the quantity of each
hour is the difference
between the notional and
the physical quantity.
Note: The amount
exercised for Swing
coupons is determined
during the Power Physical
Management process. For
more information about
this process, see Power
and Gas Scheduling on
page 660.
Table 26-3 Power and Gas Tickets (Sheet 4 of 4)
Instrument Fixing
Type
Ticket Type Forecast
Date
Value
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Figure 26-7 Power or Gas Swap Physical Contract and Automatic Ticket
In the example in figure 26-7, the coupon has a Net Price of 5040, which
corresponds to the amount on the Full explanation tab of the swap. This value is
calculated as follows: 24 hours * 30 days in November * 7 amount in cash leg.
Important: No tickets are generated for the physical leg. You can use the PowerGas
Physical Scheduling portfolio analysis scenario to manage the physical
delivery of power and gas commodities. For more information, see
Power and Gas Scheduling on page 660.
Swap Financial Contract
Figure 26-8 shows a swap with a financial receiving leg with a delivery period of Q4
2005 on the 6th of December 2005.
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Figure 26-8 Power or Gas Swap Financial Contract and Automatic Ticket
As shown in figure 26-8, two coupons are generated for the swap. One for the cash
leg and one for the receiving financial leg. The Net Price of the coupon corresponds
to the amount on the Full explanation tab of the swap.
Strip of Options Monthly Cash Settlement
Figure 26-9 shows a strip of options with cash settlement with a swap for Q1 2006 as
the underlying.
Figure 26-9 Power or Gas Strip of Options Monthly Cash Settlement and Automatic Ticket
As shown in figure 26-9, a coupon is generated at the Strip Maturity date. The
proposed price is equal to the theoretical value of the corresponding flow.
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In the example in figure 26-9, the price of the coupon generated on the 6th of
December 2005 corresponds to the theoretical value of the January 2006 period of
the contract.
Strip of Options Monthly Physical Delivery
Figure 26-10 shows a strip of options with physical delivery with a swap for Q1 2006
as the underlying.
Figure 26-10 Power or Gas Strip of Options Monthly Physical Delivery and Automatic Ticket
As shown in figure 26-10, a coupon is generated at the Strip Maturity date. This
enables the purchase of a contract corresponding to the flow. The purchase price of
the coupon is zero, but the cash leg, which corresponds to the commodity unit price,
is given by the strike of the option. In other words, a new swap instrument is created
that corresponds to the flow. The cash amount of this swap instrument is set to the
strike value of the option.
Strip of Options Daily Physical Delivery
Figure 26-11 shows a strip of options with physical delivery with a swap for January
2006 as the underlying.
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Figure 26-11 Power or Gas Strip of Options Physical Delivery and Automatic Ticket
You can display all strips that mature within a particular period using the PowerGas
Daily strips exercise scenario from the Analysis menu, as shown in figure 26-11.
In the example in figure 26-11, the PowerGas Daily strips exercise scenario was
launched for the period between 07/12/2005 and 05/01/2006. The exercise date for
each daily option corresponds to the Strip Maturity date of the underlying swap
instrument.
The Received leg cash flow tab of the swap instrument shows a list of all of the
strips over the period. If a strip is not to be exercised it can be deleted from the list,
by selecting the line and clicking the X button at the top of the dialog, as shown in
figure 26-12.
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Figure 26-12 Received leg cash flow Tab of the Swap Dialog
On the payment date only those strips that were exercised, that is those strips on
the Received leg cash flow list, are used for calculation. In the example in
figure 26-12, the strip for 1st January 2006, maturing on 7th December 2005, is not
used in the calculation.
Settlement of Daily Options
The settlement of daily options occurs on the daily flow settlement dates. An
automatic ticket is generated, which corresponds to the settlement of all flows that
have not been deleted.
For example, for a daily strip with physical delivery and a swap as underlying for
Nov. 2005, two coupons are generated, as shown in figure 26-13.
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Figure 26-13 Power or Gas Strip of Daily Options Automatic Ticket
The second coupon in figure 26-13 corresponds to payment for the underlying swap,
as show in figure 26-14.
Figure 26-14 Power or Gas Strip of Daily Options Underlying Swap
As shown in figure 26-14, the Trade Date corresponds to the settlement date of the
flow. The Quantity field corresponds to the following:
Number of legs with ticket * Number of daily flows * Number of securities
In the example in figure 26-14, the underlying swap has a physical leg, the number
of securities is 1, and the number of flows is 30, and so Quantity is set to 30.
The Net Amount corresponds to the total of the financial and cash legs for each
flow. Again, the physical legs are ignored as physical delivery is managed by the
PowerGas Scheduling scenario. The Net Amount corresponds to the cash
payment. In the example in figure 26-14, this is 40/MWh * 24h * 30days.
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Closing the Strip Position
On the last day of settlement of the swap, a coupon closing the strip instrument
position is generated. As shown in figure 26-15, this is an Exercise coupon that
closes the position at zero price.
Figure 26-15 Power or Gas Strip of Daily Options Closing Automatic Ticket
Settlement
The second coupon for the payment of the underlying swap has a Net Amount that
is calculated in the same way as the settlement for the daily strip physical delivery,
as described in Settlement of Daily Options on page 427. Figure 26-16 shows a
coupon for the settlement of the payment of the underlying swap.
Figure 26-16 Settlement Automatic Ticket for the Payment of the Underlying Swap
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In the example shown in figure 26-16, the Net Amount of 2700 is calculated as
follows: 2 legs * 30 flows * 45 securities.
Asian Options
Tickets are generated for asian options with barriers, as follows:
If the Cross Date of a prompt barrier clause is null and a fixing used for the
computation of the underlying swap crosses the barrier between the start
date of the barrier and the current day, a cross barrier ticket is generated.
If the Cross Date of an Asian clause is null and the End date of the
underlying swap is between the start date of the barrier and the current day
and the price crosses the barrier, a cross barrier ticket is generated.
If a target redemption is defined for an asian option, a ticket is generated on the
same date as the coupon ticket. The Net Amount of the ticket is the same as the
value of the coupon. When this ticket is transmitted the TGR clause is updated as
follows:
The Net Amount is added to the Minimum value of the TGR clause.
The Pay Date is set to the Payment date of the coupon.
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Chapter 27 Deals on Inflation Instruments
This chapter describes the processes involved in making deals on inflation
instruments in the portfolio. This is described in the following sections:
Inflation Bonds on page 431
Inflation Swaps on page 433
Inflation Caps/Floors on page 435
Inflation Futures on page 437
Deals on inflation instruments are created in the Deal Input dialog. This chapter
describes the fields of that dialog that are specific to deals on inflation instruments.
For a description of all of the fields of the Deal Input dialog, Using the Deal Input
Dialog on page 288.
Inflation Bonds
Deals on inflation bonds are created using the standard Deal Input window. To
create a deal on an inflation bond, do one of the following:
Drag and drop a bond from the Inflation Bonds list window into the
relevant portfolio in the Portfolio window.
Choose Security from the Ticket toolbar menu and enter the bond
reference in the Reference field.
The Deal Input dialog for an inflation bond is shown in figure 27-1.
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Figure 27-1 New Deal on an Inflation Bond
Deals on inflation bonds are defined in the same way as deals on bonds. The
following fields of the Deal Input dialog display data that is specific to deals on
inflation bonds:
Floating nominal the notional amount of the bond multiplied by the
current index value, divided by the index value on the issue date of the
bond.
Next Coupon the value of the next coupon in the redemption schedule.
This is displayed for the receiving leg of the bond.
Coupon Rate the interest rate used to calculate the next coupon. This is
displayed for the receiving leg of the bond.
Interest in Days the number of days for which the accrued interest is
calculated from the start date of the current coupon. This is displayed for
the receiving leg of the bond.
Accrued Amount the accrued interest amount from the last coupon to
the current date. This is calculated as the accrued interest, in percent,
multiplied by the floating nominal. This is displayed for the receiving leg of
the bond.
Accrued Interest the accrued interest, as a percentage, from the last
coupon to the current date.
Accrued Interest Date the date on which the accrued interest was
calculated. This is set to the payment date of the deal by default.
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Note: The Net Amount of deals on inflation bonds is calculated as the Quantity
multiplied by the Nominal and the Accrued Interest.
Automatic Tickets
Tickets are generated for inflation bonds in the same way as fixed bond tickets. A
coupon ticket is generated for each yearly cash flow and an expiry ticket is generated
at the maturity date for the bond notional redemption.
For all inflation bond coupon and expiry tickets, the coupon and redemption amount
is adjusted by the amount in the Index Ratio column on the Explanation tab of the
Bond dialog.
Inflation Swaps
Deals on inflation swaps are created using the standard Deal Input window. To
create a deal on an inflation swap, do one of the following:
Drag and drop a bond from the Inflation Swaps list window into the
relevant portfolio in the Portfolio window.
Choose Security from the Ticket toolbar menu and enter the swap
reference in the Reference field.
The Deal Input dialog for an inflation swap is shown in figure 27-2.
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Figure 27-2 New Deal on an Inflation Swap
Deals on inflation swaps are defined in the same way as deals on swaps. The
following fields of the Deal Input dialog display data that is specific to deals on
inflation swaps:
ex coupon determines if the next coupon is included in the deal. If this
box is checked, the next coupon is not included in the deal.
Note: This check box is automatically checked if the ex-coupon date of the
swap is after the trade date and unchecked if the ex-coupon date is before
the trade date.
Next Coupon the value of the next coupon in the redemption schedule.
This is displayed for both the receiving and paying leg of the swap.
Coupon Rate the interest rate used to calculate the next coupon. This is
displayed for both the receiving and paying leg of the swap.
Interest in Days the number of days for which the accrued interest is
calculated from the start date of the current coupon. This is displayed for
both the receiving and paying leg of the swap.
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Accrued Amount the accrued interest amount from the last coupon to
the current date. This is calculated as the accrued interest, in percent,
multiplied by the notional.
Note: This is only displayed for the fixed rate leg of the swap.
Accrued Interest the accrued interest, as a percentage, from the last
coupon to the current date.
Accrued Interest Date the date on which the accrued interest was
calculated. This is set to the payment date of the deal by default.
Automatic Tickets
Inflation swaps are configured as a swap of a fixed rate and an inflation rate. The
tickets for deals on these instruments are generated as follows:
A coupon ticket for each fixed rate cash flow on the payment date of the
cash flow. The amount is defined as the fixed rate multiplied by the bond
notional.
A coupon ticket for each inflation cash flow on the payment date of the cash
flow. The amount is defined as the inflation rate multiplied by the bond
notional.
Note: The last inflation cash flow ticket also includes the inflation on the
notional amount.
An expiry ticket is generated at the maturity date of the swap with an
amount of 0. This closes the swap position.
Inflation Caps/Floors
Deals on inflation caps and floors are created using the standard Deal Input
window. To create a deal on an inflation cap or floor, do one of the following:
Drag and drop a bond from the Inflation Caps and Floors list window into
the relevant portfolio in the Portfolio window.
Choose Security from the Ticket toolbar menu and enter the cap or floor
reference in the Reference field.
The Deal Input dialog for an inflation cap is shown in figure 27-3.
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Figure 27-3 New Deal on an Inflation Cap
Deals on inflation caps and floors are defined in the same way as deals on caps and
floors. The following fields of the Deal Input dialog display data that is specific to
deals on inflation caps and floors:
Interest in Days the number of days for which the accrued interest is
calculated from the start date of the current coupon. This is displayed for
the receiving leg of the cap or floor.
Accrued Amount the accrued interest amount from the last coupon to
the current date. This is calculated as the accrued interest, in percent,
multiplied by the notional.
Note: This is only displayed for the fixed rate leg of the swap.
Accrued Interest the accrued interest, as a percentage, from the last
coupon to the current date.
Accrued Interest Date the date on which the accrued interest was
calculated. This is set to the payment date of the deal by default.
Automatic Tickets
Tickets for inflation caps and floors are generated as follows:
A coupon ticket is generated as follows:
- Caps a coupon ticket is generated if the inflation rate is below the
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strike. The ticket amount is the strike amount multiplied by the notional.
- Floors a coupon ticket is generated if the inflation rate is above the
strike. The ticket amount is the strike amount multiplied by the notional.
An expiry ticket is generated at the maturity date of the cap/floor with an
amount of 0. This closes the cap/floor position.
Inflation Futures
Deals on inflation futures are created using the standard Deal Input window. To
create a deal on an inflation futures, do one of the following:
Drag and drop a bond from the Inflation Futures list window into the
relevant portfolio in the Portfolio window.
Choose Security from the Ticket toolbar menu and enter the future
reference in the Reference field.
The Deal Input dialog for an inflation future is shown in figure 27-4.
Figure 27-4 New Deal on an Inflation Future
The Deal Input window displays the same fields as deals on futures. The fields
displayed in the Deal Input window for a deal on a future are the same as deals on
shares. For more information, see Shares on page 325.
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Automatic Tickets
Tickets for inflation futures are generated once, on the maturity date, in the same
way as tickets for stock derivatives with future delivery. Tickets for this instrument
are then calculated using the inflation rate defined as the underlying. See Future
on page 231.
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Chapter 28 Deals on Packages
This chapter describes how to create and manage deals on packages. Packages are
containers that enable you to define a collection of instruments that can then be
booked as a single instrument. For more information about defining packages, see
the Instrument Reference Guide. This chapter contains the following sections:
Booking Packages on page 439
Generating Automatic tickets on page 439
Booking Packages
To book a package in a portfolio, use the standard Deal Input dialog. For more
information about this window, see Creating Deals on page 285. The Nominal
value of a deal on a package is the Notional value manually set in the Package
dialog or the weighted sum of each component of the package.
Generating Automatic tickets
Automatic tickets are generated by forecasts during the life of the booked package.
Coupons are generated for each instrument contained in a package, as per the usual
behaviour of the instrument, but with the name of the package.
Package adjustment tickets are generated for amortizing instruments. When the
package adjustment ticket is transmitted, the values of the package are adjusted
based on the notional redeemed.
On the expiry of an instrument contained in a package, or on the expiry of the
package if that occurs first, a package expiry ticket is also generated. The business
event of this ticket is defined in the Package frame of the Corporate Action tab of
the Back Office Parameters dialog. When the package expiry ticket is transmitted,
the quantity of the instrument in the package is set to 0.
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Chapter 29 Creating Deals on External Funds
This section describes the procedures required to create deals on external funds and
the user rights that control access to external funds. These are described in the
following sections:
Creating Deals on External Funds on page 441
Creating Deals on External Funds
Creating deals on external funds is as straightforward as buying any other
instrument. To create a deal on an external fund, do the following:
1 Select a fund in the Funds list window.
2 Drag the fund to the relevant folder in the Portfolio window.
3 In the Deal Input window define the parameters of the deal on the external
fund. The Deal Input window is shown in table 29-1.
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Figure 29-1 The Deal Input Window for a Deal on an External Fund
Table 29-1 describes the fields that are specific to deals on external funds.
Table 29-1 External Fund fields of the Deal input window. (Sheet 1 of 2)
Field Description
Series The external funds series of shares. This drop-down list
appears only when the Use series of shares check-box is
selected in the Series tab of the funds Edition dialog. For
more information on series of shares, see Series of Shares in
the RISQUE Instrument Reference Guide.
Price The last price of the external fund B.
Market Fees The internal fees amount.
Broker Fees The external fees amount.
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Note: By default, a deal on an external fund will follow the deals workflow. However,
the External Fund condition is available in the Workflow Selector to allow you to
define a specific workflow for external funds.
Quantity The quantity of the deal. If you enter an amount in this field,
the SR Type drop down list is automatically set to In quantity.
and the quantity is the number of shares.
If you enter an amount in the Net Amount field, the quantity is
multiplied by the funds quotity and according to the funds
rounding mode and the SR Type drop down list is
automatically set to In amount.
Entity Entity of Fund A.
NAV Date The date on which the price of the external fund deal will be
validated. This field is automatically filled with the next NAV
date of the external fund, depending on the cut-off time. This
date, however, can be changed.
Cut Off Time The defined cut-off time for the external fund. This is calculated
as the external funds cut-off time plus any defined cut off
delay. For more information on cut-off delays, see Editing Funds
in the RISQUE Instrument Reference Guide.
SR Type Determines how the deal ticket is calculated. This can be set to
one of:
In quantity - Subscriptions/Redemptions are validated
with the deal quantity set and the amount recalculated.
In amount - Subscriptions/Redemptions are validated with
the deal amount set and the quantity recalculated.
If you enter an amount in the Net Amount field, the SR Type
field is set to In amount and the Quantity is calculated
according to the price.
If you enter an amount in the Quantity field, the SR Type field
is set to In quantity and the Net Amount is calculated.
Net Amount The net amount of the deal. If you enter an amount in this field,
the Quantity field is automatically calculated using the funds
quotity and according to the funds rounding mode and the
the SR Type drop down list is automatically set to In amount.
Last NAV Date This is displayed beside the Price field and is the last calculated
NAV date for this fund. The price of the deal is an estimate until
the external fund is validated during EOD.
Table 29-1 External Fund fields of the Deal input window. (Sheet 2 of 2)
Field Description
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Lock-up Status in Redemption Deals
The lock-up status of external fund subscriptions is displayed in the Deal Input
window for redemption deals. When a redemption is defined by entering a deal on a
subscription with a negative quantity, the Subscription to redeem drop down list is
displayed below the Quantity field.
The entries in the Subscription to redeem drop down list is dependent on the
lock-up rule for the external fund. The Subscription to redeem drop down list is
based on the deals NAV date and depository. This drop down list is only displayed for
redemption deals with a NAV date after the subscriptions NAV date and with the
same depository as the redemption.
The Subscription to redeem drop down list is displayed in figure 29-2.
Figure 29-2 The Subscription to redeem drop down list.
The following may appear for redemption deals:
If the subscription is fully redeemed No subscription to redeem is
displayed.
If the deals NAV date is within a hard lock-up period No subscription to
redeem is displayed. The drop down list is also populated with a greyed out
entry that displays the subscriptions NAV date, the remaining subscription
amount, the total subscription amount and the day on which the lock-up
period expires.
If the deals NAV date is within a soft lock-up period The drop down list is
populated with an entry that displays the deals lock-up fee, the
subscriptions NAV date, the remaining subscription amount, the total
subscription amount and the day on which the lock-up period expires. This is
shown in figure 29-3.
Figure 29-3 Subscriptions to redeem within a soft lock-up period.
If the deals NAV date is outside the lock-up period The drop down list is
populated with an entry that displays the subscriptions NAV date, the
remaining subscription amount, and the total subscription amount.
Any lock-up fees are applicable to the deal are added to the deals redemption fees
and are displayed in the Broker Fees field.
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Chapter 30 Multiple Deals
This chapter describes the process of creating multiple deals simultaneously. This is
done using either a spreadsheet or the blotters functionality in the Portfolio
window. This chapter contains the following sections:
Capturing a Series of Trades via Spreadsheet on page 445
Entering Multiple Deals with the Trade Blotters on page 448
Capturing a Series of Trades via Spreadsheet
You can add a series of deals to RISQUE whose characteristics are defined in a
spreadsheet, such as an Excel worksheet.
To add a series of deals, do the following:
1 Ensure that all deal characteristics are correctly defined in the spreadsheet.
The following fields are mandatory for each deal:
- Folio Code
- Reference or Code
- Negotiation Date
- Value Date
- Quantity
- Price
- Net Amount
For more information about these fields, see Column Names on page 446.
2 Copy the lines of the deals.
3 Select Insert worksheet from the Edit menu of RISQUE.
4 Paste the lines of the deals into the Insert worksheet window.
5 Right-click on the name of each column to define the column headers.
A drop-down list with all of the available column headers is displayed.
6 Select an area from the spreadsheet.
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7 Select Insert SQL from the Functions menu on the worksheet toolbar.
This updates the HISTOMVTS database table and the deals are displayed in
the portfolio.
Note: If you re-select the same area and choose Insert SQL, you can duplicate the
deals you created.
Table 30-1 describes the worksheet functions.
Column Names
Table 30-2 describes the worksheet columns.
Table 30-1 Worksheet Functions
Functions Arguments Returns
BROKERFEES Sicovam, quantity, price, gross
amount, broker id
Broker Fees
GROSSAMOUNT Sicovam, quantity, price, accrued
(optional)
Gross Amount
MARKETFEES Sicovam, quantity, price Market Fees
INSTRUMENTCODE One of the following: Mnemo,
Reference, External_reference
Code
VALUEDATE Sicovam, date_neg Value Date
NETAMOUNT Sicovam, quantity, price, date_neg,
broker_id
Net Amount
ACCRUEDAMOUNT Sicovam, quantity, date_neg Accrued amount
Table 30-2 Column Names (Sheet 1 of 3)
Name Description
None Deselects the currently selected column.
Accrued Amount The amount of the accrued in the deal.
Accrued Coupon The accrued coupon amount in the deal.
Back Office The back office status of the deal.
Back Office
Information
Comments associated with the deal entered by a back office
user.
Broker Code The reference of the third party that is the broker of the deal.
Broker Name The name of the third party that is the broker of the deal.
Broker Fees The broker fees associated with the deal.
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Currency The currency of the deal.
Code The internal reference of the instrument. This corresponds to
the SICOVAM column in the TITRES table. You can refer to an
instrument using this internal reference or using the Reference
or Code Name fields.
Code Type Specify this field to insert simulated deals and not real deals.
The values in this field correspond to the column TYPESICO in
the HISTOMVTS table.
Counterparty Code The code of the third party that is the counterparty of the deal.
Counterparty Fees The counterparty fees associated with the deal.
Counterparty
Name
The name of the third party that is the counterparty of the
deal.
Code Name The instrument name. This corresponds to the LIBELLE column
in the TITRES table. The instrument name is not a unique
identifier for the instrument and so it is usually more
appropriate to use the Reference or Code fields.
Delivery type ID The settlement method or delivery type of the deal. This
corresponds to the SM/DT field of the Deal Input window.
Depositary Code The reference of the third party that is the depositary of the
deal.
Depositary Name The name of the third party that is the depositary of the deal.
Depositary of
Counterparty Code
The reference of the third party that is the depositary of the
counterparty of the deal.
Depositary of
Counterparty
Name
The name of the third party that is the depositary of the
counterparty of the deal.
Entity Code The reference of the entity of the deal. This corresponds to the
IDENT column in the TIERS table.
Entity Name The name of the entity of the deal. This corresponds to the
NAME column in the TIERS table.
Folio Code The reference of the portfolio containing the deal.
Folio Name The name of the portfolio containing the deal.
FX Exchange rate The forex exchange rate of the deal.
FX Uncertain The uncertain forex rate of the deal.
Information Comments associated with the deal.
Market Fees Market fees associated with the deal.
Movement Type This is the business event of the deal. The default value is
Purchase/Sale. This corresponds to the TYPE column in the
HISTOMVTS table.
Table 30-2 Column Names (Sheet 2 of 3)
Name Description
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Entering Multiple Deals with the Trade Blotters
The portfolio deal blotters enable you to enter multiple deals at one time. The
following types of blotter are available:
Cross-Asset Blotter on page 449
Asian/Swaption Trade Blotter on page 451
Fixed Swap Trade Blotter on page 453
Float Swap Trade Blotter on page 454
LME Daily Future Trade Blotter on page 456
Power and Gas Asian/Swaption Trade Blotter on page 458
Power and Gas Float Swap Trade Blotter on page 459
Power and Gas Trade Blotter on page 459
Credit Default Event Blotter on page 461
Credit Default Swap Blotter on page 462
Forex Swap on page 464
Vanilla FX Option Blotter on page 466
Forex Basis Swap Blotter on page 468
Interest Rate Swap Blotter on page 472
Variance Swap Blotter on page 473
Negotiation Date The negotiation date of the deal.
Negotiation Time The negotiation time of the deal.
Net Amount The net amount of the deal.
Operator Code The internal reference of the operator associated with the deal.
Operator Name The name of the operator associated with the deal.
Price The price of the instrument of the deal.
Quantity The number of units of the instrument in the deal.
Quotation Type The price type of the deal.
Repo n/a
Refcon The internal reference of the instrument associated with the
deal.
Reference The reference of the instrument. This corresponds to the
REFERENCE column in the TITRES table.
Value Date The date of the last received quote of the instrument
associated with the deal.
Workflow ID The workflow of the deal.
Table 30-2 Column Names (Sheet 3 of 3)
Name Description
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Cross-Asset Blotter
If you make many deals on simple instruments, it can be time-consuming to
manually define individual deal tickets for each deal. A blotter facility is provided to
enable you to enter any number of deals at the same time.
1 Click on the Blotter button.
2 Select Cross-Asset Blotter from the drop-down list
The Cross-Asset Blotter window is displayed, as shown in figure 30-1.
Figure 30-1 Cross-Asset Blotter window
Table 30-4 describes the columns of the Cross-Asset Blotter window.
Table 30-3 Deal Blotter Icons
Button Description
Blotter icon
Save Icon
Delete Icon
Generate Icon
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3 In the first line of the Cross-Asset Blotter, enter the details of a deal you
wish to make.
Table 30-4 Cross-Asset Blotter
Field Description
Instrument Code The reference of the instrument.
This value must match one of the instrument
references on the system. To check an instrument
reference, open an instrument window, and view the
References field.
Instrument Name The name of the instrument. This value is automatically
generated when a valid value is entered in the
Instrument Code field.
Quantity Units of the instrument of the deal.
Price Price of the instrument.
Negotiation Date Negotiation date of the trade.
Portfolio Select a portfolio from the drop-down list.
You can select either the portfolio on which the
Multiple Deals icon was clicked, or any of its
sub-portfolios.
Value Date Value date of the trade.
Folio Ticket Template Allows you to select a pre-defined template from the
drop-down list.
Broker Broker of the trade.
Counterparty Counterparty of the trade.
Depositary Depositary of the trade.
Market Fees Market fees for the trade.
Broker Fees Broker fees for the trade.
Counterparty fees The counterparty fee for the deal.
FO Comments Allows you to enter comments on the deal.
Net Amount The net amount of the deal.
Net Amount Currency The currency of the net amount.
Business Event The business event associated with the deal.
Forex Rate The forex rate used to convert the currencies of the
deal.
Forex Pair The Forex rate used to convert the payment currency if
it is different to the underlying currency.
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4 Click on the Generate button in the main window toolbar, to automatically
enter the value date and negotiation date.
5 Enter as many deals as required in the subsequent lines of the blotter.
Asian/Swaption Trade Blotter
Complete the following steps to open an Asian/Swaption Trade Blotter from the
Portfolio window:
1 Click on the Blotter button.
2 Select Asian/Swaption Trade Blotter from the drop down list.
The Asian/Swaption Trade Blotter is displayed, as shown in figure 30-2.
Figure 30-2 Asian Swaption Trade Blotter
Table 30-5 describes the field names in the Asian/Swaption Trade Blotter
window.
Table 30-5 Asian Swaption Trade Blotter list window (Sheet 1 of 2)
Field Description
Underlying Template The name of an existing swap to be used as the
template.
Reference The reference of the swap.
Commodity The name of an existing commodity.
Option Type The type of the option. You can choose one of the
following:
Asian
Swaption
Start The start date for the swap.
End The end date for the swap.
Fixing type Select a fixing type from the drop-down list.
Maturity The maturity date for the swap.
C/P Select Call or Put from the drop down list.
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Opt. currency The currency of the option.
ATM Average
The at-the-money average of the swap.
Strike The strike price of the swap.
Global Th. Price The theoretical price of the swap.
Average Th. Price The average theoretical price of the swap.
Average Price The average transaction unit price of the instrument
being bought or sold.
Quantity Enter the number of units of the instrument of the deal.
Market The market of the deal.
FO Comments Enter free-text comments.
Name The name of the swap, automatically generated when
you click on the Wizard button.
Portfolio Select a portfolio from the drop-down list.
Folio Ticket Template Select a pre-defined template from the drop-down list.
Broker Select the broker of the swap from the drop-down list.
Counterparty Select the counterparty of the swap from the
drop-down list.
Negotiation Date Enter the negotiation date of the swap.
Value Date Enter the value date of the swap.
Freq Select the frequency of the payments, for example,
monthly, quarterly.
Payment Offset Enter the payment offset in days.
Underlying Model Select a model from the drop-down list.
Option Model Select a model from the drop-down list.
Swaption Delivery Select the delivery type of the swap.
Depositary Select the depositary of the swap from the drop-down
list.
Broker Fees The broker fees for the swap.
Market Fees Enter the market fees for the swap.
Table 30-5 Asian Swaption Trade Blotter list window (Sheet 2 of 2)
Field Description
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Fixed Swap Trade Blotter
Complete the following steps to open a Fixed Swap Trade Blotter from the
Portfolio window:
1 Click on the Blotter button.
2 Select Fixed Swap Trade Blotter from the drop down list.
The Fixed Swap Trade Blotter is displayed, as shown in figure 30-3.
Figure 30-3 Fixed Swap Trade Blotter
Table 30-6 describes the field names in the Fixed Swap Trade Blotter window.
Table 30-6 Fixed Swap Trade Blotter (Sheet 1 of 2)
Field Description
Swap Template Enter a defined Commodity Swap Template.
Reference Enter the swap reference.
Swap Currency Select the Swap currency from the drop-down list.
Commodity Enter the commodity reference associated with the
Commodity Swap template.
Start Enter the start date of the swap.
End Enter the end date of the swap.
Fixing Type Select the float fixing type from the drop-down list.
Freq Select the frequency of the payments, for example,
monthly, quarterly.
Model Select a model from the drop-down list.
ATM Value
The at-the-money value of the swap.
Price The price of the deal.
Name Displays the name of the swap, which is generated
when you click on the Generate Data button.
Quantity Enter the number of units of the instrument of the
trade.
Float Currency Select the Float currency from the drop-down list.
Fixed Currency Select the Fixed currency from the drop-down list.
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Float Swap Trade Blotter
Complete the following steps to open a Float Swap Trade Blotter from the
Portfolio window:
1 Click on the Blotter button.
2 Select Float Swap Trade Blotter from the drop down list.
The Float Swap Trade Blotter is displayed.
Figure 30-4 Float Swap Trade Blotter
Th. Cash Enter a theoretical cash amount to nullify the value if
the swap
Cash Enter a cash amount.
Portfolio Select a portfolio from the drop-down list.
Folio Ticket Template Select a pre-defined template from the drop-down list.
Broker Select the broker of the swap from the drop-down list.
Counterparty Select the counterparty of the swap from the
drop-down list.
Negotiation Date Enter the negotiation date of the swap.
Value Date Enter the value date of the swap.
Depositary Select the depositary of the swap from the drop-down
list.
Broker fees Enter the broker fees for the swap.
Market fees Enter the market fees for the swap.
FO Comments Enter free-text comments.
Payment Gap The number of days between the expiry and payment
dates. The Payment Gap Type drop-down list on the
Advanced tab of the Swap window specifies the type
of days. The default value of this drop-down list is
Open Days.
Table 30-6 Fixed Swap Trade Blotter (Sheet 2 of 2)
Field Description
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Table 30-7 describes the field names in the Float Swap Trade Blotter window.
Table 30-7 Float Swap Trade Blotter (Sheet 1 of 2)
Field Description
Swap Template Enter a defined Commodity Swap Template.
Reference Enter the swap reference.
Swap Currency Select the swap currency from the drop-down list.
Commodity 1 Enter the first commodity reference.
Commodity 2 Enter the second commodity reference.
Currency Leg 1 Select the currency of the first leg from the drop-down
list.
Currency Leg 2 Select the currency of the second leg from the
drop-down list.
Start Leg 1 Enter the start date of first leg.
End Leg 1 Enter the end date of first leg.
Start Leg 2 Enter the start date of second leg.
End Leg 2 Enter the end date of second leg.
Leg notional
Indicates where the notional of the legs is inherited
from. You can choose one of the following:
Modify Paying Leg
Template
Fixing Type 1 Select a Fixing Type for the first leg from the drop-down
list.
Fixing Type 2 Select a Fixing Type for the second leg from the
drop-down list.
Freq Select the frequency of the payments, for example,
monthly, quarterly.
Model Select a model from the drop-down list. Select from
Standard, Convertible Asset Swap, Credit Swap,
Dividend Swap, Market To Market, No Increase of
nominal, Nominal Increase, Rediscount.
Th. Cash 1 Theoretical cash on the first Leg that nullifies the first
leg equivalent float/fixed swap
Th. Cash 2 Theoretical cash on the second Leg that nullifies the
second leg equivalent float/fixed swap
Th. Spread Theoretical Spread on the second leg that nullifies the
current float swap
Spread Enter the spread to be applied to the swap.
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LME Daily Future Trade Blotter
This section describes how to enter multiple daily future deals on LME commodities.
1 Click on the Blotter button.
2 Select LME Daily Future Trade Blotter from the drop down list.
The LME Daily Future Trade Blotter is displayed, as shown in figure 30-5.
Figure 30-5 LME Daily Future Trade Blotter
Name The Name of the Swap, generated when you click on
the Generate Data button
Quantity Enter the number of units of the commodity of the deal.
Portfolio Select a portfolio from the drop-down list.
Folio Ticket Template Select a pre-defined template from the drop-down list.
Broker Select a broker from the drop-down list.
Counterparty Select the counterparty of the swap from the
drop-down list.
Negotiation Date Enter the negotiation date of the swap.
Value Date Enter the value date of the swap.
Depositary Select the depositary of the swap from the drop-down
list.
Broker Fees Enter the broker fees for the swap.
Market Fees Enter the market fees for the swap.
FO Comments Enter free-text comments.
Align flow dates Indicates if the flow dates of the legs are aligned.
Payment Gap The number of days between the expiry and payment
dates. The Payment Gap Type drop-down list on the
Advanced tab of the Swap window specifies the type
of days. The default value of this drop-down list is
Open Days.
Table 30-7 Float Swap Trade Blotter (Sheet 2 of 2)
Field Description
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Table 30-8 describes the field names in the LME Daily Future Trade Blotter
window.
Table 30-8 LME Daily Future Trade Blotter list window.
Field Description
Strips Enter the number of strips that are generated for the
deal. These strips are generated as deals on daily
futures.
Commodity Code The commodity reference.
Commodity Name The name of the commodity.
Future Cur. Select the future currency from the drop-down list.
Delivery Date The delivery date of the future. You can also define the
delivery date using the following shortcuts:
3m A deal on a three month future.
t A deal on a future that expires tomorrow.
c A deal on a future that expires on the current
date.
mmm yy A deal on a future that expires on the
third wednesday of the specified month and year.
Theo. Theoretical value of the future.
Price Price of the future.
Quantity Enter the number of units of the future of the deal.
Portfolio Select a portfolio from the drop-down list.
Folio Ticket Template Select a pre-defined template from the drop-down list.
Broker Select a broker from the drop-down list.
Counterparty Select the counterparty of the swap from the
drop-down list.
Negotiation Date Enter the negotiation date of the swap.
Value Date Enter the value date of the swap.
Depositary Select the depositary of the swap from the drop-down
list.
Broker Fees Enter the broker fees for the swap.
Market Fees Enter the market fees for the swap.
FO Comments Enter free-text comments.
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Power and Gas Asian/Swaption Trade Blotter
This section describes how to enter multiple asian option or swaption deals on power
or gas commodities.
1 Click on the Blotter button.
2 Select Power&Gas Asian/Swaption Trade Blotter from the drop down
list.
The Power&Gas Asian/Swaption Trade Blotter is displayed, as shown in
figure 30-6.
Figure 30-6 Power&Gas Swap Trade Blotter
Asian option and swaption deals on power and gas commodities are created in the
the same way as standard asian options and swaptions in the Asian/Swaption
Trade Blotter.
Table 30-9 describes the fields of the Power&Gas Swap Trade Blotter window
that are unique to power and gas asian options and swaptions. All other fields are
described in Asian/Swaption Trade Blotter on page 451.
Table 30-9 Power and gas fields in the Power&Gas Asian/Swaption Trade Blotter
Field Description
Period Standard delivery period of the option.
Load Delivery load of the option.
Th. Price per hour Price of the option per granular unit.
Quantity The number of units to be traded. This quantity is
delivered for each granular unit in the delivery
period.
Total Period Quantity Total number of securities to be traded for the
delivery period of the swap.
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Power and Gas Float Swap Trade Blotter
This section describes how to enter multiple float/float swap deals on power or gas
commodities.
1 Click on the Blotter button.
2 Select Power&Gas Float/Float Trade Blotter from the drop down list.
The Power&Gas Float/Float Swap Trade Blotter is displayed, as shown
in figure 30-7.
Figure 30-7 Power&Gas Float Swap Trade Blotter
Float/float swap deals on power and gas commodities are created in the same way
as standard floating swaps in the Float Swap Trade Blotter.
Table 30-10 describes the fields of the Power&Gas Float Swap Trade Blotter
window that are unique to power and gas floating swaps. All other fields are
described in Float Swap Trade Blotter on page 454.
Power and Gas Trade Blotter
This section describes how to enter multiple deals on power or gas commodities.
1 Click on the Blotter button.
2 Select Power&Gas Swap Trade Blotter from the drop down list.
The Power&Gas Swap Trade Blotter is displayed, as shown in
Table 30-10 Power and gas fields in the Power&Gas Float Swap Trade Blotter
Field Description
Period 1 Delivery period of the receiving leg of the swap.
Load 1 Delivery load defined for the receiving leg of the swap
template.
Period 2 Delivery period of the paying leg of the swap.
Load 2 Delivery load defined for the paying leg of the swap
template.
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figure 30-7.
Figure 30-8 Power&Gas Swap Trade Blotter
Table 30-10 describes the field of the Power&Gas Swap Trade Blotter window.
Table 30-11 Power&Gas Swap Trade Blotter (Sheet 1 of 2)
Field Description
Line Reference number of the line in the blotter.
Swap Template Enter a defined Commodity Swap Template.
Commodity 1 Reference code of the commodity defined for the
receiving leg of the swap template.
Quantity Enter the number of units to trade.
Delivery Period 1 Delivery period of the receiving leg of the swap.
Delivery Load 1 Delivery load defined for the receiving leg of the swap
template.
Commodity 2 Reference code of the commodity defined for the
paying leg of the swap template.
Delivery Period 2 Delivery period of the paying leg of the swap.
Delivery Load 2 Delivery load defined for the paying leg of the swap
template.
Th. Cash or Spread Theoretical value of the cash or spread amount. This is
automatically calculated when you populate the
columns of the row.
Cash or Spread Defines the cash value amount of the cash leg or the
spread amount of futures leg of the swap.
Name Name of the swap. This is automatically created when
you populate the columns of the swaps.
Reference Enter the swap reference.
Model Swap model. By default, this is set to Standard.
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Credit Default Event Blotter
This section describes how to enter multiple Credit Default Swaps.
1 Click on the Blotter button.
2 Select Credit Default Event Blotter from the drop-down list.
The Credit Default Event Blotter is displayed, as shown in figure 30-9.
Figure 30-9 Credit Default Event Blotter
Total Period Quantity Total number of securities to be traded for the delivery
period of the swap.
Notional The notional of the swap.
Broker Broker to be used for the swap. Only defined brokers
appear in this drop down list.
Broker Fees Fees that are charged by the broker for the deal.
Counterparty Counterparty to be used for the swap. Only defined
counterparties appear in this drop down list.
Depositary Depositary to be used for the swap. Only defined
Depositaries appear in this drop down list.
FO Comments Optional comments for the deal. These comments will
appear in the FO Comments field of the deal.
Folio Ticket Template Populates the Counterparty, Broker, and Depositary
columns according to those defined in the folio ticket
template. Only defined folio ticket templates appear in
this drop down list.
Market Fees Fees that are charged for the deal on the market.
Negotiation Date Negotiation date of the deal. By default, this is set to
the current date.
Portfolio Portfolio of the swap. This is automatically set to the
portfolio for which you launched the report.
Value Date Value date of the swap. This is calculated as the
negotiation date plus the payment offset.
Table 30-11 Power&Gas Swap Trade Blotter (Sheet 2 of 2)
Field Description
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3 Complete the following fields:
- CDS Reference the reference of the CDS to close
- Quantity The quantity. If the quantity is 20 in the portfolio then -20
should be set in this field to close the position.
- Delivered Bond Ref. The reference of the bond delivered by the
protection buyer.
- Received Bond Ref. If the protection is another bond, specify the bond
reference used as protection here. If not selected, the protection is
assumed to be cash.
4 Click on the Wizard button, the theoretical value of the Accrued Amount is
displayed. This value can be changed and corresponds to the accrued
amount of the CDS times the quantity.
5 Fill in the portfolio fields of the ticket.
6 Close the blotter window. When closing the window you are prompted to
send the tickets, click Yes to generate the CDS closure.
If no Received Bond Ref. is selected two tickets are generated:
One to close the swap with a price of notional minus the accrued interest
One to generate a ticket of bonds (Delivered Bond Ref.) with price set to 0
and the quantity set according to the notional of the swap.
If a Received Bond Ref. is selected three tickets are generated:
One to close the swap with a price of minus the accrued interest. The
notional is not received because a bond is received as protection.
One to generate a ticket of bonds (Delivered Bond Ref.) with price set to 0
and the quantity set according to the notional of the swap.
One to generate a ticket of bonds (Received Bond Ref.) with price set to 0
and the quantity set according to the notional of the swap.
Credit Default Swap Blotter
You can create multiple single name credit default swaps with the Credit Default
Swap blotter. To book credit default swaps, do the following:
Click Credit Default Swap from the Blotters toolbar menu. This opens the
Credit Default Swap Blotter, as shown in figure 30-10.
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Figure 30-10 Credit Default Swap Blotter
Table 30-12 describes the fields of the Credit Default Swap Blotter window.
Table 30-12 Fields of the Credit Default Swap Blotter (Sheet 1 of 2)
Name
Description
Obligation The underlying of the credit leg.
Reference Entity The issuer of the underlying.
Seniority The seniority of the issuer.
Default Event The default event of the swap.
Notional The notional amount of the swap.
Currency The swap currency.
Start Date The start date of the swap. This is todays date.
End Date The end date of the swap
Name The name of the swap.
Reference The reference code of the swap.
Frequency The frequency of the swap.
Fixed Rate The fixed rate.
Basis The day count basis for the swap.
Mode The mode of the swap.
Buyer/Seller Choose if the deal is booked for a seller or a buyer.
Quantity If the deal is for a buyer, this field is populated with 1.
If the deal is for a seller, this field is populated with -1.
Entity The entity for the swap.
Counterparty The counterparty for the deal.
Portfolio The portfolio that the deal is booked in.
Depositary The depositary for the deal.
Calculation Agent The calculation agent for the deal.
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Forex Swap
Forex Swaps refer to swaps that exchange a notional amount, expressed in a given
currency, at two given dates in another currency. The first date is commonly the
value date of the first forex forward contract available. The second date is the expiry
of the forex swap.
Complete the following steps to enter a number of foreign exchange swaps:
1 Click on the Blotter button.
2 Select Forex Swap from the drop-down list.
The Forex Swap Blotter is displayed, as shown in figure 30-11.
Figure 30-11 Forex Swap Blotter
Broker The broker for the swap.
FO Comments Comments for the front office.
Break Even The break even of the fixed leg.
Theo. Value The theoretical value of the swap in %.
Amount The difference between the present value of the legs of
the swap.
Price The price of the swap.
Table 30-12 Fields of the Credit Default Swap Blotter (Sheet 2 of 2)
Name
Description
Table 30-13 Forex Swap Blotter (Sheet 1 of 2)
Field Description
First currency The first currency involved in the swap.
Second currency The second currency involved in the swap.
Negotiation Date The negotiation date of the deal.
Value Date The value date of the swap.
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3 In the first line of the Forex Swap blotter, enter the details of the swap you
wish to make. You must define the following fields:
- the two currencies involved
- an expiry date
Forex Expiry The forward date of the swap.
Days The number of days of the swap based on the Forex
Expiry. This is a read-only field.
Spot Rate The spot rate of the forex.
Fwd Point Real. This value is used to calculate the price of the second
forex tickets (absolute and relative forward).
Amount First Currency The quantity of the first currency of the forex.
Amount Second Currency The quantity of the second currency of the forex.
First Currency Rate The rate of the first currency of the forex swap.
Second Currency Rate The rate of the second currency of the forex swap.
Type The type of the swap. This can be one of the following:
Absolute Forward
Relative Forward
Absolute Forward Add Point
Relative Forward Add Point
Absolute Rate
Relative Rate
Portfolio Select a portfolio from the drop-down list.
Folio Ticket Template Select a pre-defined template from the drop-down list.
Broker Select the broker of the swap from the drop-down list.
Counterparty Select the counterparty of the swap from the
drop-down list.
Depositary Select the depositary of the swap from the drop-down
list.
Broker Fees The broker fees for the swap.
Market Fees The market fees for the swap.
Forex Spot The spot of the foreign exchange swap.
Forex Theo. The foreign exchange theoretical value.
Fwd Point Theo. This value is calculated when you generate information
using the Wizard toolbar button.
Fwd Point Theo = (ForexTheo/Forex Spot) - 1.
FO Comments Enter free-text comments.
Table 30-13 Forex Swap Blotter (Sheet 2 of 2)
Field Description
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- a forward point computation mode and day count basis (or the
- ticket information via a ticket template (broker, counterparty,
depositary).
4 Click on the Generate button in the main window toolbar to automatically
populate the following fields:
- the negotiation date (today) the value date (taking into account the forex
payment leg)
- the theoretical spot value of the forex at the value date
- the theoretical forward value of the forex at the expiry date
- the theoretical forward point (spread over the spot forex, taking into
account the computation mode and the day count basis)
5 You can choose the real forex at the value date and the real forward point of
the deal (or the real forex forward at the expiry date), the Broker and
Market fees and the Portfolio where the swap is to be booked.
6 Enter as many swaps as required, in the subsequent lines of the blotter.
7 When closing the blotter window, two positions are generated:
- one long position for the forex at value date.
- one short position for the forex at expiry date.
Vanilla FX Option Blotter
Complete the following steps to open a vanilla FX option blotter from the Portfolio
window:
1 Click on the Blotter button.
2 Select Vanilla FX Option Blotter from the drop-down list.
The Vanilla FX Option Blotter window is displayed, as shown in
figure 30-12.
Figure 30-12 Vanilla FX Option Blotter
Table 30-14 describes the fields of the Vanilla FX Option Blotter window.
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Table 30-14 Vanilla FX Option Blotter (Sheet 1 of 2)
Name Description
Forex The forex of the option.
Quotation Curr. The currency of the option.
Maturity The maturity of the option.
Spot The spot of the option. This is a read-only field.
Fwd. Price The forward price of the option. This is a read-only field.
Strike The strike of the option.
Nominal The nominal of the option.
Theo. Value The theoretical value of the option in %. This is a read-only
field.
Delta The delta of the option. This is a read-only field.
Gamma The gamma of the option. This is a read-only field.
Vega The vega of the option. This is a read-only field.
Volatility The volatility of the option. This is a read-only field.
Delivery Date The delivery date of the swap. This field is automatically
filled based on the value entered in Maturity.
Transaction Date The transaction date of the swap. This field is automatically
filled with todays date.
Premium The premium of the price of the deal.
Premium Curr. The currency of the premium of the deal.
Prem. Payment Date The payment date of the premium of the deal.
Call / Put Indicates if the option is a call or put option.
Exercise Type The exercise type of the option. You can choose one of the
following:
European
American
Allotment The allotment of the option. The default value is the
allotment of the forex.
Buy / Sell Indicates if the option is a buy or sell option.
Fixing type The fixing type of the option.
Delivery Type The delivery type of the option.
Name The automatically generated name of the option, in the
following form:
Call/Put FXO Forex @ Strike->Maturity
This is a read-only field.
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Forex Basis Swap Blotter
In order to define basis swaps using the Forex Basis Swap Blotter, you must have
the following defined:
A swap curve family created for the currency of the swap.
A yield curve defined with the Model drop-down list set to Forex Curve.
The interest rate defined in the Long Rate field of the yield curve defined
with the Model drop-down list set to Basis Swap Curve.
This information is used to populate fields in the blotter.
Complete the following steps to open a forex basis swap blotter from the Portfolio
window:
1 Click on the Blotter button.
2 Select Forex Basis Swap Blotter from the drop-down list.
The Forex Basis Swap Blotter window is displayed, as shown in
figure 30-13.
Option Model The model of the option.
Entity The entity of the deal.
Type The hedge type of the option.
Rate The rate of the hedge deal.
Notional in Curr. 1 The notional in the first currency of the hedge deal.
Notional in Curr. 2 The notional in the second currency of the hedge deal.
Broker The broker of the deal.
Broker fees The fees of the broker of the deal.
Counterparty The counterparty of the deal.
Counterparty fees The fees of the counterparty of the deal.
FO Comments Any additional free-text comments.
Market fees The market fees of the deal.
Portfolio The portfolio containing the deal on the option.
Table 30-14 Vanilla FX Option Blotter (Sheet 2 of 2)
Name Description
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Figure 30-13 Forex Basis Swap Blotter
Table 30-15 describes the fields of the Forex Basis Swap Blotter window.
Table 30-15 Forex Basis Swap Blotter (Sheet 1 of 2)
Name Description
Swap Currency The currency of the swap.
Swap Rate Family The curve family of the swap.
Receiving leg Indicates if the receiving leg of the swap is fixed or floating.
Start Date The start date of the swap. This field is automatically filled
with todays date plus the settlement lag of the swap rate.
End Date The end date of the swap.
Notional The notional of the swap.
IR Curve The reference of the index rate of the swap.
Notional Exchange Defines when the notional exchange occurs in the lifecycle
of the swap. Defined as follows:
No exchange There is no exchange of notional.
Final The exchange occurs at the end of the swap.
Initial The exchange occurs at the beginning of
the swap.
Both The exchange occurs at the beginning and
the end of the swap.
Receiving Currency The currency of the receiving leg.
Receiving IR Index The reference of the index rate of the receiving leg.
Receiving Spread The spread of the receiving leg.
Paying Currency The currency of the paying leg.
Paying IR Index The reference of the index rate of the paying leg.
Paying Spread The spread of the paying leg.
Name The automatically generated name of the swap, in the fol-
lowing form:
IRS Floating rate ref @ Fixed rate End date
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Tenor Basis Swap Blotter
In order to define several basis swaps using the Tenor Basis Swap Blotter, you
must have the following defined:
A swap curve family is created for the currency of the swap.
An interest rate is defined in the Long Rate field of the yield curve.
The information for these curves is used to populate fields in the blotter.
Complete the following steps to open the Tenor Basis Swap Blotter from the
Portfolio window:
1 Click on the Blotter button.
2 Select Tenor Basis Swap Blotter from the drop-down list.
The Tenor Basis Swap Blotter window is displayed, as shown in
figure 30-14.
Forex The swap forex pair.
Rate Exchange The amount of the forex exchange of the swap currencies.
Break Even The break even of the fixed leg. This is a read-only field.
Theo. Value The theoretical value of the swap in %. This is a read-only
field.
Amount The swap amount value. This is a read-only field.
Reference The reference of the swap.
Broker The broker of the deal.
Counterparty The counterparty of the swap.
Counterparty fees The counterparty fees for the swap.
Depositary The depositary of the deal.
Entity The entity of the deal.
FO Comments Any additional free-text comments.
Portfolio The portfolio containing the deal on the swap.
Table 30-15 Forex Basis Swap Blotter (Sheet 2 of 2)
Name Description
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Figure 30-14 Tenor Basis Swap Blotter
Table 30-16 describes the fields of the Tenor Basis Swap Blotter window.
Table 30-16 Tenor Basis Swap Blotter
Name Description
Swap Currency The currency of the swap.
Discount Rate Family The curve family of the swap.
Start Date The start date of the swap. This field is automatically
filled with todays date plus the settlement lag of the
swap rate.
End Date The end date of the swap.
Notional The notional of the swap.
Receiving Rate Family The rate family of the swap receiving leg.
Receiving IR Index The reference of the index rate of the receiving leg.
Receiving Spread The spread of the receiving leg.
Paying Rate Family The rate family of the swap paying leg.
Paying IR Index The reference of the index rate of the paying leg.
Paying Spread The spread of the paying leg.
Name The automatically generated name of the swap, in the fol-
lowing form:
TBS Floating rate ref @ Fixed rate End date
Receiving Break Even The break even of the receiving leg. This is a read-only
field.
Paying Break Even The break even of the paying leg. This is a read-only
field.
Theo. Value The theoretical value of the swap in %. This is a
read-only field.
Amount The swap amount value. This is a read-only field.
Reference The reference of the swap.
Broker The broker of the deal.
Counterparty The counterparty of the swap.
Counterparty fees The counterparty fees for the swap.
Depositary The depositary of the deal.
Entity The entity of the deal.
FO Comments Any additional free-text comments.
Portfolio The portfolio containing the deal on the swap.
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Interest Rate Swap Blotter
Complete the following steps to open a interest rate swap blotter from the Portfolio
window:
1 Click on the Blotter button.
2 Select Interest Rate Swap Blotter from the drop-down list.
The Interest Rate Swap Blotter window is displayed, as shown in
figure 30-15.
Figure 30-15 Interest Rate Swap Blotter
Table 30-17 describes the fields of the Interest Rate Swap Blotter window.
Table 30-17 Interest Rate Swap Blotter (Sheet 1 of 2)
Name Description
Currency The currency of the swap.
Notional The notional of the swap.
IR Index The reference of the index rate of the swap.
Rate Family The name of the rate curve family.
Name The automatically generated name of the swap, in the following
form:
IRS Floating rate ref @ Fixed rate End date
Start Date The start date of the swap. This field is automatically filled with
todays date plus the settlement lag of the swap rate.
End Date The end date of the swap.
Receiving leg Indicates if the receiving leg of the swap is fixed or floating.
Frequency The fixed rate frequency of the swap. This field is automatically
filled based on the value entered in IR Index.
Basis The basis of the swap. This field is automatically filled based on
the value entered in IR Index.
Mode The fixed rate mode of the swap. This field is automatically filled
based on the value entered in IR Index.
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Variance Swap Blotter
The Variance Swap Blotter allows you to create and book multiple variance swaps
from the Portfolio window.
To create a variance swap and book a deal on it, do the following:
1 Load a portfolio in the Portfolio window.
2 Select Variance Swap Blotter from the Blotters button drop-down menu.
The Variance Swap window is displayed, as shown in figure 30-16.
Figure 30-16 Variance Swap Window
Rate The rate of the swap.
Break Even The break even of the fixed leg. This is a read-only field.
Theo. Value The theoretical value of the swap in %. This is a read-only field.
Amount The swap amount value. This is a read-only field.
Depositary The depositary of the deal.
Entity The entity of the deal.
Reference The reference of the swap.
Broker The broker of the deal.
Counterparty The counterparty of the swap.
FO Comments Any additional free-text comments.
Portfolio The portfolio containing the deal on the swap.
Table 30-17 Interest Rate Swap Blotter (Sheet 2 of 2)
Name Description
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Table 30-18 Fields of the Variance Swap Window
Name Description
Receiving Leg The fixed or variance leg of the swap.
Currency The currency of the underlying.
Start Date The start date of the swap.
End Date The end date of the swap.
Vega Notional The notional amount of the swap, in terms of Vega. The
Vega notional is calculated as:
(10,000 x Vega Notional)/(2 x Strike)
Swap notionals The swap notional value, as calculated by the Vega
Notional field.
Name The name generated by RISQUE for the swap, in the
form:
Varswp[Underlying Name]@[Volatility Strike][End
Date]
This is a read-only field.
Underlying The underlying of the receiving leg of the swap.
Fixing Column Specifies which fixing to use. The possible values are as
follows:
Last
First
High
Low
Variance Cap Cap applied to total variance*multiplication factor.
Volatility Strike(%) The value used to compute the variance strike of the
swap.
Variance Strike (%) The variance strike of the swap. The variance strike is
calculated as:
(Volatility^2)/100
Fair Vol Strike The square root of the break-even value. This is equal
to the average volatility when entering the variance
swap.
Break Even The break even of the fixed leg.
Theo. Value The theoretical value of the swap in %.
Amount The difference between the swap legs.
Entity The entity of the swap.
Broker The broker of the deal.
Counterparty The counterparty of the deal.
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Depositary The depositary of the deal.
FO Comments Any additional free-text comments.
Portfolio The portfolio in which the deal is booked.
Reference The reference of the receiving leg of the swap.
Table 30-18 Fields of the Variance Swap Window
Name Description
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Chapter 31 One Deal Blotters
You can create a swap or option on an existing instrument and book a deal on that
swap or option from within one dialog, using the One Deal Blotters toolbar menu
on the Portfolio window. For more information about the Portfolio window, see
Portfolio Window on page 53. The One Deal Blotters menu opens a [New Deal]
dialog for the following types of instruments:
Asian/Swaption on page 478
Asian/Swaption in Lots on page 480
Fixed Swap on page 480
Float Swap on page 483
LME Daily Future on page 486
Power&Gas Asian/Swaption on page 488
Power&Gas Float/Float on page 491
Power&Gas on page 494
Credit Default Event on page 496
Credit Default Swap on page 499
Cross-Asset on page 501
Forex Swap on page 503
Vanilla FX Option on page 506
Forex Basis Swap on page 509
Tenor Basis Swap on page 513
Interest Rate Swap on page 516
Variance Swap Blotter on page 519
Each [New Deal] dialog contains event buttons that let you choose which workflow
event to use, such as validating and creating the deal or leaving the deal pending
validation from the back office.
If you try to send tickets for a deal for which fields in the dialog have not been
correctly filled, RISQUE displays an error message showing the fields that you must
correct.
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Asian/Swaption
You can create and book a deal on an asian option or a swaption by choosing
Asian/Swaption from the One Deal Blotters toolbar menu. This opens the [New
Deal] Asian/Swaption dialog, as shown in figure 31-1.
Figure 31-1 [New Deal] Asian/Swaption Dialog
The following sections describe the frames of the [New Deal] Asian/Swaption
dialog:
Asian / Swaption Contract Frame on page 478
Deal Frame on page 479
Asian / Swaption Contract Frame
Table 31-1 describes the fields of the Asian / Swaption Contract frame of the
[New Deal] Asian/Swaption dialog.
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Deal Frame
Table 31-2 describes the fields of the Deal frame of the [New Deal]
Asian/Swaption dialog.
Table 31-1 Fields of the Asian / Swaption Contract Frame
Name Description
Underlying Template The swap template for the option.
Reference The reference of the option. If you do not enter a value,
RISQUE generates a reference.
Name The name generated by RISQUE for the option, in the
form:
Commodity Freq Start date-End date CStrike Type
This is a read-only field.
Option Type The type of the option. You can choose one of the
following:
Asian
Swaption
Commodity The reference of the commodity instrument of the
option.
Opt. currency The currency of the option.
Start The start date of the swap.
End The end date of the swap.
C/P Indicates if the option is a call or put option.
Strike The strike price of the option.
Freq The frequency of the payments.
ATM Average The at-the-money average of the option. This is a
read-only field.
Option Model The model of the option.
Market The market of the option.
Payment Offset The payment offset of the option. The payment date is
the end date plus this value.
Underlying Model The model of the underlying of the option.
Fixing type The fixing type of the option.
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Asian/Swaption in Lots
You can create and book a deal on an asian option or a swaption in lots by choosing
Asian/Swaption in Lots from the One Deal Blotters toolbar menu. This opens
the [New Deal] Asian/Swaption in Lots dialog. The fields of the [New Deal]
Asian/Swaption in Lots dialog are the same as the fields of the [New Deal]
Asian/Swaption dialog. For more information about these fields, see
Asian/Swaption on page 478.
Fixed Swap
You can create and book a deal on a fixed swap by choosing Fixed Swap from the
One Deal Blotters toolbar menu. This opens the [New Deal] Fixed Swap dialog,
as shown in figure 31-2.
Table 31-2 Fields of the Deal Frame
Name Description
Quantity per Period The number of securities bought (positive) or sold
(negative) for each period selected in the Freq field.
Price The price of the trade.
Global Th. Price The theoretical price of the deal. This is a read-only
field.
Folio Ticket Template A pre-defined template for the ticket.
Counterparty The counterparty of the deal.
Broker The broker of the deal.
Depositary The depositary of the deal.
Market fees The market fee for the deal.
Broker fees The broker fee for the deal.
Portfolio The portfolio in which the deal is booked.
Negotiation Date The negotiation date of the deal.
Value Date The value date of the deal.
FO Comments Any additional comments.
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
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Figure 31-2 [New Deal] Fixed Swap Dialog
The following sections describe the frames of the [New Deal] Fixed Swap dialog:
Swap Contract Frame on page 481
Deal Frame on page 482
Swap Contract Frame
Table 31-3 describes the fields of the Swap Contract frame of the [New Deal]
Fixed Swap dialog.
Table 31-3 Fields of the Swap Contract Frame (Sheet 1 of 2)
Name
Description
Swap Template The swap template for the swap.
Reference The reference of the swap. If you do not enter a value,
RISQUE generates a reference.
Name The name generated by RISQUE for the swap, in the
form:
S:Commodity:Currency FreqPrice Start Date-End
Date
Swap currency The currency of the swap.
Commodity The reference of the commodity instrument of the swap
template.
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Deal Frame
Table 31-4 describes the fields of the Deal frame of the [New Deal] Fixed Swap
dialog.
Payment Gap The number of days between the expiry and payment
dates. The Payment Gap Type drop-down list on the
Advanced tab of the Swap window specifies the type
of days. The default value of this drop-down list is Open
Days.
Model The model of the swap.
Fixing type The float fixing type of the swap.
ATM Value The at-the-money value of the swap. This is a read-only
field.
Float Currency The float currency of the swap.
Fixed Currency The fixed currency of the swap.
Table 31-4 Fields of the Deal Frame (Sheet 1 of 2)
Name
Description
Start The start date of the swap.
End The end date of the swap.
Price The transaction unit price of the instrument being
bought or sold.
Quantity The number of securities bought (positive) or sold
(negative).
Freq The frequency of the payments.
Folio Ticket Template A pre-defined template for the ticket.
Counterparty The counterparty of the deal.
Broker The broker of the deal.
Depositary The depositary of the deal.
Market fees The market fee for the deal.
Broker fees The broker fee for the deal.
Portfolio The portfolio in which the deal is booked.
Negotiation Date The negotiation date of the deal.
Value Date The value date of the deal.
Table 31-3 Fields of the Swap Contract Frame (Sheet 2 of 2)
Name
Description
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Float Swap
You can create and book a deal on a float/float swap by choosing Float Swap from
the One Deal Blotters toolbar menu. This opens the [New Deal] Float Swap
dialog, as shown in figure 31-3.
Figure 31-3 [New Deal] Float Swap Dialog
FO Comments Any additional comments.
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
Table 31-4 Fields of the Deal Frame (Sheet 2 of 2)
Name
Description
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The following sections describe the frames of the [New Deal] Float Swap dialog
are described in the following sections:
Swap Frame on page 484
Leg 1 Frame on page 485
Leg 2 Frame on page 485
Deal Frame on page 485
Swap Frame
Table 31-5 describes the fields of the Swap frame of the [New Deal] Float Swap
dialog.
Table 31-5 Fields of the Swap Frame
Name
Description
Swap Template The swap template for the swap.
Reference The reference of the swap. If you do not enter a value,
RISQUE generates a reference.
Name The name generated by RISQUE for the swap, in the
form:
S:Commodity 1~Commodity 2 Swap Currency Spread
Start Leg 1-End Leg 2
This is a read-only field.
Commo 1 The reference of the commodity of the receiving leg of
the swap.
Commo 2 The reference of the commodity of the paying leg of the
swap.
Model The model of the swap.
Swap currency The currency of the swap.
Payment Gap The number of days between the expiry and payment
dates. The Payment Gap Type drop-down list on the
Advanced tab of the Swap window specifies the type
of days. The default value of this drop-down list is Open
Days.
Th. Spread The theoretical spread on the second leg that nullifies
the current float swap. This is a read-only field.
Spread The spread of the swap.
Leg notionals Indicates where the notional of the legs is inherited
from. You can choose one of the following:
Modify Paying Leg
Template
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Leg 1 Frame
Table 31-6 describes the fields of the Leg 1 frame of the [New Deal] Float Swap
dialog.
Leg 2 Frame
Table 31-7 describes the fields of the Leg 2 frame of the [New Deal] Float Swap
dialog.
Deal Frame
Table 31-8 describes the fields of the Deal frame of the [New Deal] Float Swap
dialog.
Table 31-6 Fields of the Leg 1 Frame
Name
Description
Start Leg 1 The start date of the receiving leg of the swap.
End Leg 1 The end date of the receiving leg of the swap.
Fixing type 1 The fixing type of the receiving leg of the swap.
Th. Cash 1 The theoretical cash value of the receiving leg of the
swap. This is a read-only field.
Table 31-7 Fields of the Leg 2 Frame
Name
Description
Start Leg 2 The start date of the paying leg of the swap.
End Leg 2 The end date of the paying leg of the swap.
Fixing type 2 The fixing type of the paying leg of the swap.
Th. Cash 2 The theoretical cash value of the paying leg of the swap.
This is a read-only field.
Table 31-8 Fields of the Deal Frame (Sheet 1 of 2)
Name
Description
Quantity The number of securities bought (positive) or sold
(negative).
Freq The frequency of the payments.
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LME Daily Future
You can create and book a deal on a LME daily future by choosing LME Daily Future
from the One Deal Blotters toolbar menu. This opens the [New Deal] LME Daily
Future dialog, as shown in figure 31-4.
Figure 31-4 [New Deal] LME Daily Future Dialog
Align flow dates Indicates if the flow dates of the legs are aligned.
Folio Ticket Template A pre-defined template for the ticket.
Counterparty The counterparty of the deal.
Broker The broker of the deal.
Depositary The depositary of the deal.
Market fees The market fee for the deal.
Broker fees The broker fee for the deal.
Portfolio The portfolio in which the deal is booked.
Negotiation Date The negotiation date of the deal.
Value Date The value date of the deal.
FO Comments Any additional comments.
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
Table 31-8 Fields of the Deal Frame (Sheet 2 of 2)
Name
Description
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The following sections describe the frames of the [New Deal] Float Swap dialog:
Forward Contract Frame on page 487
Deal Frame on page 487
Forward Contract Frame
Table 31-9 describes the fields of the Forward Contract frame of the [New Deal]
LME Daily Future dialog.
Deal Frame
Table 31-10 describes the fields of the Deal frame of the [New Deal] LME Daily
Future dialog.
Table 31-9 Fields of the Forward Contract Frame
Name
Description
Commodity Code The reference of the LME commodity.
Delivery Date The delivery date of the future.
Commodity Name The name of the LME commodity entered in the
Commodity Code field. This is a read-only field.
Theo. The theoretical value of the LME future. This is a
read-only field.
Table 31-10 Fields of the Deal Frame (Sheet 1 of 2)
Name
Description
Quantity The number of securities bought (positive) or sold
(negative).
Price The price of the future.
Folio Ticket Template A pre-defined template for the ticket.
Counterparty The counterparty of the deal.
Broker The broker of the deal.
Depositary The depositary of the deal.
Market fees The market fee for the deal.
Broker fees The broker fee for the deal.
Portfolio The portfolio in which the deal is booked.
Negotiation Date The negotiation date of the deal. This field is
automatically populated with todays date.
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Power&Gas Asian/Swaption
You can create and book a deal on a power or gas asian swaption by choosing
Power&Gas Asian/Swaption from the One Deal Blotters toolbar menu. This
opens the [New Deal] Power&Gas Asian/Swaption dialog, as shown in
figure 31-5.
Figure 31-5 [New Deal] Power&Gas Asian/Swaption Dialog
Value Date The value date of the deal. This field is automatically
populated with the value in Delivery Date.
FO Comments Any additional comments.
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
Table 31-10 Fields of the Deal Frame (Sheet 2 of 2)
Name
Description
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The following sections describe the frames of the [New Deal] Power&Gas
Asian/Swaption dialog:
Asian / Swaption Contract Frame on page 489
Deal Frame on page 490
Asian / Swaption Contract Frame
Table 31-11 describes the fields of the Asian / Swaption Contract frame of the
[New Deal] Power&Gas Asian/Swaption dialog.
Table 31-11 Fields of the Asian / Swaption Contract Frame (Sheet 1 of 2)
Name
Description
Underlying Template The swap template for the option.
Reference The reference of the option. If you do not enter a value,
RISQUE generates a reference.
Name The name of the option. This is generated by RISQUE by
default in the following form:
Commodity Period CStrike Asian
Option Type The type of the option. You can choose one of the
following:
Asian
Swaption
Commodity The reference of the commodity instrument of the
option.
Opt. currency The currency of the option.
C/P Indicates if the option is a call or put option. This field is
automatically populated based on the value in
Underlying Template.
Strike The strike price of the option.
Freq The frequency of the payments. This field is
automatically populated based on the value in
Underlying Template.
ATM Average The at-the-money average of the option. This is a
read-only field.
Underlying Model The model of the underlying of the option.
Market The market of the option.
Payment Offset The payment offset of the option. The payment date is
the end date plus this value.
Option Model The model of the option.
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Deal Frame
Table 31-12 describes the fields of the Deal frame of the [New Deal] Power&Gas
Asian/Swaption dialog.
Fixing type The fixing type of the option. This field is automatically
populated based on the value in Underlying Template.
Table 31-12 Fields of the Deal Frame (Sheet 1 of 2)
Name
Description
Period The standard delivery period of the option.
Load The delivery load of the option. This field is
automatically populated based on the value in
Underlying Template.
Swap Notional The notional of the swap. This field is automatically
populated based on the value in Underlying Template.
Total Period Quantity The total number of securities to be traded for the
delivery period of the swap.
Th. Price per hour The price of the option per granular unit.
Quantity per Period The number of securities bought (positive) or sold
(negative) for each period selected in the Freq field.
This quantity is delivered for each granular unit in the
delivery period.
Price The transaction unit price of the instrument being
bought or sold.
Global Th. Price The theoretical price of the deal. This is a read-only
field.
Folio Ticket Template A pre-defined template for the ticket.
Counterparty The counterparty of the deal.
Broker The broker of the deal.
Depositary The depositary of the deal.
Market fees The market fee for the deal.
Broker fees The broker fee for the deal.
Portfolio The portfolio in which the deal is booked.
Negotiation Date The negotiation date of the deal.
Value Date The value date of the deal.
Table 31-11 Fields of the Asian / Swaption Contract Frame (Sheet 2 of 2)
Name
Description
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Power&Gas Float/Float
You can create and book a deal on a power or gas float/float swap by choosing
Power&Gas Float/Float from the One Deal Blotters toolbar menu. This opens
the [New Deal] Power&Gas Float/Float dialog, as shown in figure 31-6.
Figure 31-6 [New Deal] Power&Gas Float/Float Dialog
FO Comments Any additional comments.
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
Table 31-12 Fields of the Deal Frame (Sheet 2 of 2)
Name
Description
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The following sections describe the frames of the [New Deal] Power&Gas
Asian/Swaption dialog:
Swap Contract Frame on page 492
Leg 1 Frame on page 492
Leg 2 Frame on page 493
Deal Frame on page 493
Swap Contract Frame
Table 31-13 describes the fields of the Swap Contract frame of the [New Deal]
Power&Gas Float/Float dialog.
Leg 1 Frame
Table 31-14 describes the fields of the Leg 1 frame of the [New Deal] Power&Gas
Float/Float dialog.
Table 31-13 Fields of the Swap Contract Frame
Name
Description
Swap Template The swap template for the swap.
Reference The reference of the swap. If you do not enter a value,
RISQUE generates a reference.
Name The name of the option. This is generated by RISQUE by
default in the following form:
S:Commodity 1~Commodity 2 Swap Currency Spread
Start Leg 1-End Leg 2
Swap Currency The currency of the swap.
Freq The frequency of the payments.
Model The model of the swap.
Spread The spread of the swap.
Th. Spread The theoretical spread amount. This is a read-only field.
Table 31-14 Fields of the Leg 1 Frame (Sheet 1 of 2)
Name
Description
Commo 1 The reference of the commodity of the receiving leg of
the swap.
Start Leg 1 The start date of the receiving leg of the swap.
End Leg 1 The end date of the receiving leg of the swap.
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Leg 2 Frame
Table 31-15 describes the fields of the Leg 2 frame of the [New Deal] Power&Gas
Float/Float dialog.
Deal Frame
Table 31-16 describes the fields of the Deal frame of the [New Deal] Power&Gas
Float/Float dialog.
Fixing type 1 The fixing type of the receiving leg of the swap.
Load 1 The delivery load defined for the receiving leg of the
swap template.
Th. Cash 1 The theoretical cash value of the receiving leg of the
swap. This is a read-only field.
Table 31-15 Fields of the Leg 2 Frame
Name
Description
Commo 2 The reference of the commodity of the paying leg of the
swap.
Start Leg 2 The start date of the paying leg of the swap.
End Leg 2 The end date of the paying leg of the swap.
Fixing type 2 The fixing type of the paying leg of the swap.
Load 2 The delivery load defined for the paying leg of the swap
template.
Th. Cash 2 The theoretical cash value of the paying leg of the swap.
This is a read-only field.
Table 31-16 Fields of the Deal Frame (Sheet 1 of 2)
Name
Description
Quantity The number of securities bought (positive) or sold
(negative).
Freq The frequency of the payments.
Align flow dates Indicates if the flow dates of the legs are aligned.
Folio Ticket Template A pre-defined template for the ticket.
Table 31-14 Fields of the Leg 1 Frame (Sheet 2 of 2)
Name
Description
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Power&Gas
You can create and book a deal on a power or gas swap by choosing Power&Gas
from the One Deal Blotters toolbar menu. This opens the [New Deal]
Power&Gas dialog, as shown in figure 31-7.
Figure 31-7 [New Deal] Power&Gas Dialog
Counterparty The counterparty of the deal.
Broker The broker of the deal.
Depositary The depositary of the deal.
Market fees The market fee for the deal.
Broker fees The broker fee for the deal.
Portfolio The portfolio in which the deal is booked.
Negotiation Date The negotiation date of the deal.
Value Date The value date of the deal.
FO Comments Any additional comments.
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
Table 31-16 Fields of the Deal Frame (Sheet 2 of 2)
Name
Description
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The following sections describe the frames of the [New Deal] Power&Gas dialog:
Swap Contract Frame on page 495
Deal Frame on page 496
Swap Contract Frame
Table 31-17 describes the fields of the Swap Contract frame of the [New Deal]
Power&Gas dialog.
Table 31-17 Fields of the Swap Contract Frame
Name
Description
Swap Template The reference of the swap template for the swap.
Reference The reference of the swap. If you do not enter a value,
RISQUE generates a reference.
Name The name of the swap. This is generated by RISQUE by
default in the following form:
S:Commodity-Delivery Period/Delivery Load Cash or
Spread
Notional The notional of the swap.
Model The model of the swap.
Th. Cash or Spread The theoretical cash or spread of the swap. This is a
read-only field.
Cash or Spread The cash amount of the cash leg or the spread amount
of the future leg of the swap.
Commodity 1 The reference of the commodity of the receiving leg of
the swap.
Delivery Period 1 The delivery period of the receiving leg of the swap.
Delivery Load 1 The delivery load of the receiving leg of the swap.
Commodity 2 The reference of the commodity of the paying leg of the
swap.
Delivery Period 2 The delivery period of the paying leg of the swap.
Delivery Load 2 The delivery load of the paying leg of the swap.
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Deal Frame
Table 31-18 describes the fields of the Deal frame of the [New Deal] Power&Gas
dialog.
Credit Default Event
You can create and book a credit default event to close a credit default swap by
choosing Credit Default Event from the One Deal Blotters toolbar menu. This
opens the [New Deal] Credit Default Event dialog, as shown in figure 31-8.
Table 31-18 Fields of the Deal Frame
Name
Description
Quantity The number of securities bought (positive) or sold
(negative).
Total Period Quantity The total number of securities to be traded for the
delivery period of the swap.
Folio Ticket Template A pre-defined template for the ticket.
Counterparty The counterparty of the deal.
Broker The broker of the deal.
Depositary The depositary of the deal.
Market fees The market fee for the deal.
Broker fees The broker fee for the deal.
Portfolio The portfolio in which the deal is booked.
Negotiation Date The negotiation date of the deal.
Value Date The value date of the deal.
FO Comments Any additional comments.
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
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Figure 31-8 [New Deal] Credit Default Event Dialog
The following sections describe the frames of the [New Deal] Credit Default
Event dialog:
Contract Frame on page 497
Deal Frame on page 498
Contract Frame
Table 31-19 describes the fields of the Contract frame of the [New Deal] Credit
Default Event dialog.
Table 31-19 Fields of the Contract Frame (Sheet 1 of 2)
Name
Description
CDS Reference The reference of the credit default swap.
CDS Name The name of the credit default swap in CDS Reference.
This is a read-only field.
Delivered Bond Ref. The reference of the bond delivered by the protection
buyer.
Delivered Bond Name The name of the bond in Delivered Bond Ref.. This is
a read-only field.
Received Bond Ref. If the protection is another bond, enter the reference of
the bond used as protection. If this field is left blank,
the protection is cash.
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Deal Frame
Table 31-20 describes the fields of the Deal frame of the [New Deal] Credit Default
Event dialog.
Received Bond Name The name of the bond in Received Bond Ref.. This is a
read-only field.
Accrued Amount The accrued amount of the credit default swap times the
quantity.
Theo. Accrued Interest The theoretical accrued interest of the credit default
swap. This is a read-only field.
Theo. Accrued Amount The theoretical accrued amount of the credit default
swap. This is a read-only field.
Table 31-20 Fields of the Deal Frame
Name
Description
Folio Ticket Template A pre-defined template for the ticket.
Quantity The number of securities bought (positive) or sold
(negative).
Portfolio The portfolio in which the deal is booked.
Counterparty The counterparty of the deal.
Broker The broker of the deal.
Depositary The depositary of the deal.
Broker fees The broker fee for the deal.
Market fees The market fee for the deal.
Negotiation Date The negotiation date of the deal.
Value Date The value date of the deal.
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
Table 31-19 Fields of the Contract Frame (Sheet 2 of 2)
Name
Description
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Credit Default Swap
You can create a single name credit default swap with the [New Deal] Credit
Default Swap blotter. To book a credit default swap, do the following:
Click Credit Default Swap from the One Deal Blotters toolbar menu. This
opens the [New Deal] Credit Default Swap blotter, as shown in
figure 31-9.
Figure 31-9 Credit Default Swap Dialog
Table 31-21 describes the fields of the Credit leg frame of the [New Deal] Credit
Default Swap dialog.
Table 31-21 Fields of the Credit Leg Frame
Name
Description
Obligation The underlying of the leg.
Reference Entity The issuer of the underlying.
Seniority The seniority of the issuer.
Default Event The default event of the swap.
Transaction Type The transaction type of the Obligation.
Recovery Rate Specify a recovery rate to override the default recovery
rate specified for the default event.
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Table 31-22 describes the fields of the Swap Parameters frame of the [New Deal]
Credit Default Swap dialog.
Table 31-23 describes the fields of the Fixed leg frame of the [New Deal] Credit
Default Swap dialog.
Table 31-24 describes the fields of the Deal frame of the [New Deal] Credit
Default Swap dialog.
Table 31-22 Fields of the Swap Parameters frame
Name
Description
Notional The notional amount of the swap.
Currency The swap currency.
Start Date The start date of the swap. This is todays date.
End Date The end date of the swap
Name The name of the swap.
Reference The reference code of the swap.
Table 31-23 Fields of the Fixed Leg Frame
Name
Description
Frequency The frequency of the swap.
Fixed Rate The fixed rate.
Basis The day count basis for the swap.
Mode The mode of the swap.
Table 31-24 Fields of the Deal Frame
Name
Description
Portfolio The portfolio that the swap is booked in.
Quantity If the deal is for a buyer, this field is populated with 1. If
the deal is for a seller, this field is populated with -1.
Buyer/Seller Choose if the deal is booked for a seller or a buyer.
Entity The entity for the swap.
Calculation Agent The calculation agent for the swap.
Counterparty The counterparty for the swap.
Broker The broker for the swap.
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Table 31-25 describes the fields of the Calculation frame of the [New Deal] Credit
Default Swap dialog.
Cross-Asset
You can book a deal on any simple instrument by choosing Cross-Asset from the
One Deal Blotters toolbar menu. This opens the [New Deal] Cross-Asset dialog,
as shown in figure 31-10.
Price The price for the swap.
FO Comments Comments for front office.
Table 31-25 Fields of the Calculation Frame
Name
Description
Break Even The break even of the fixed leg.
Theo. Value The theoretical value of the swap in %.
Amount The difference between the swap legs.
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
Table 31-24 Fields of the Deal Frame
Name
Description
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Figure 31-10 [New Deal] Cross-Asset Dialog
The following sections describe the frames of the [New Deal] Cross-Asset dialog:
Instrument Frame on page 502
Deal Frame on page 503
Instrument Frame
Table 31-26 describes the fields of the Instrument frame of the [New Deal]
Cross-Asset dialog.
Table 31-26 Fields of the Instrument Frame
Name
Description
Instrument Code The instrument of the deal.
Instrument Name The name of the instrument in Instrument Code. This
is a read-only field.
Spot The spot value of the deal. This is a read-only field.
Price The price of the deal.
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Deal Frame
Table 31-27 describes the fields of the Deal frame of the [New Deal] Cross-Asset
dialog.
Forex Swap
You can create and book a deal on a forex swap by choosing Forex Swap from the
One Deal Blotters toolbar menu. This opens the [New Deal] Forex Swap dialog,
as shown in figure 31-11.
Table 31-27 Fields of the Deal Frame
Name
Description
Folio Ticket Template A pre-defined template for the ticket.
Quantity The number of securities bought (positive) or sold
(negative) for each period selected in the Freq field.
Portfolio The portfolio in which the deal is booked.
Counterparty The counterparty of the deal.
Broker The broker of the deal.
Depositary The depositary of the deal.
Broker fees The broker fee for the deal.
Market fees The market fee for the deal.
Counterparty fees The counterparty fee for the deal.
Negotiation Date The negotiation date of the deal.
Value Date The value date of the deal.
FO Comments Any additional comments.
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
Net Amount The net amount of the deal.
Net Amount Currency The currency of the net amount.
Business Event The business event associated with the deal.
Forex Rate The Forex rate used to convert the payment currency if
it is different to the underlying currency.
Forex Pair The two currencies of the deal.
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Figure 31-11 [New Deal] Forex Swap Dialog
The following sections describe the frames of the [New Deal] Forex dialog:
Forex Frame on page 504
Deal Frame on page 505
Forex Frame
Table 31-28 describes the fields of the Forex frame of the [New Deal] Forex Swap
dialog.
Table 31-28 Fields of the Forex Frame (Sheet 1 of 2)
Name
Description
First Currency The first currency of the foreign exchange swap.
Second Currency The second currency of the forex swap.
Type The type of the swap. This can be one of the following:
Absolute Forward
Relative Forward
Absolute Forward Add Point
Relative Forward Add Point
Absolute Rate
Relative Rate
First Currency Rate The rate of the first currency of the forex swap.
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Deal Frame
Table 31-29 describes the fields of the Deal frame of the [New Deal] Forex Swap
dialog.
Second Currency Rate The rate of the second currency of the forex swap.
Days The number of days of the swap based on the Forex
Expiry. This is a read-only field.
Forex Spot The spot value of the forex. This is a read-only field.
Fwd Point Theo. ForexTheo/ForexSpot-1. This is a read-only field.
Forex Expiry The expiry of the forex swap.
Forex Theo. The theoretical value of the foreign exchange. This is a
read-only field.
Fwd Point Real. Used to calculate the price of the second forex tickets
(absolute and relative forward).
Table 31-29 Fields of the Deal Frame (Sheet 1 of 2)
Name
Description
Quantity The number of securities bought (positive) or sold
(negative).
Amount Second Currency The amount of the second currency.
Price The price of the forex swap.
Folio Ticket Template A pre-defined template for the ticket.
Counterparty The counterparty of the deal.
Broker The broker of the deal.
Depositary The depositary of the deal.
Broker fees The broker fee for the deal.
Market fees The market fee for the deal.
Portfolio The portfolio in which the deal is booked.
Negotiation Date The negotiation date of the deal.
Value Date The value date of the deal.
FO Comments Any additional comments.
Table 31-28 Fields of the Forex Frame (Sheet 2 of 2)
Name
Description
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Vanilla FX Option
You can create and book a deal on a vanilla FX option and any associated delta
hedges by choosing Vanilla FX Option from the One Deal Blotters toolbar menu.
This opens the [New Deal] Vanilla FX Option dialog, as shown in figure 31-12.
Figure 31-12 [New Deal] Vanilla FX Option Dialog
The following sections describe the frames of the [New Deal] Forex dialog:
Option Frame on page 507
Deal Frame on page 508
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
Table 31-29 Fields of the Deal Frame (Sheet 2 of 2)
Name
Description
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Calculation Frame on page 508
Hedge (optional) Frame on page 509
Option Frame
Table 31-30 describes the fields of the Option frame of the [New Deal] Vanilla FX
Option dialog.
Table 31-30 Fields of the Option Frame (Sheet 1 of 2)
Name
Description
Forex The forex of the option.
Quotation Curr. The currency of the option.
Spot The spot of the option. This is a read-only field.
Maturity The maturity of the option.
Strike The strike of the option.
Fwd. Price The forward price of the option calculated at the
maturity date. This is a read-only field.
Nominal The nominal of the option.
Delivery Date The delivery date of the option. This field is
automatically filled based on the value entered in
Maturity.
Negotiation Date The negotiation date of the deal.
Premium The premium of the deal.
Premium Curr. The currency of the premium of the deal.
Prem. Payment Date The payment date of the premium of the deal.
Call / Put Indicates if the option is a call or put option.
Exercise Type The exercise type of the option. You can choose one of
the following:
European
American
Allotment The allotment of the option. The default value is the
allotment of the forex.
Buy / Sell Indicates if the option is a buy or sell option.
Fixing type The fixing type of the option.
Delivery Type The delivery type of the option.
Option Model The calculation model of the option.
Market The market of the option.
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Deal Frame
Table 31-31 describes the fields of the Deal frame of the [New Deal] Vanilla FX
Option dialog.
Calculation Frame
Table 31-31 describes the read-only fields of the Calculation frame of the [New
Deal] Vanilla FX Option dialog.
Reference The reference of the option. If you do not enter a value,
RISQUE generates a reference as the identifier of the
new instrument.
Name The automatically generated name of the option, in the
following form:
Forex Maturity Call/Put FXO @Strike Exercise Type
Delivery Type
Table 31-31 Fields of the Deal Frame
Name
Description
Portfolio The portfolio in which the deal is booked.
Depositary The depositary of the deal.
Market fees The market fee for the deal.
Broker The broker of the deal.
Broker fees The broker fee for the deal.
Counterparty The counterparty of the deal.
Counterparty Fees The counterparty fee for the deal.
FO Comments Any additional comments.
Table 31-32 Fields of the Calculation Frame (Sheet 1 of 2)
Name
Description
Theo. Value The theoretical value of the forex option.
Delta The delta of the forex option.
Gamma The gamma of the forex option.
Table 31-30 Fields of the Option Frame (Sheet 2 of 2)
Name
Description
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Hedge (optional) Frame
Table 31-33 describes the fields of the Hedge (optional) frame of the [New Deal]
Vanilla FX Option dialog.
Forex Basis Swap
You can create and book a deal on a basis swap by choosing Forex Basis Swap
from the One Deal Blotters toolbar menu. This opens the [New Deal] Forex
Basis Swap dialog, as shown in figure 31-13.
Vega The vega of the forex option.
Volatility The volatility of the forex option.
Table 31-33 Fields of the Hedge (optional) Frame
Name
Description
Type The type of hedging, if any. You can select one of the
following:
No Hedge - no hedge deal is created.
Spot a spot hedge FX deal is created with the
option ticket.
Forward a forward hedge FX deal is created
with the option ticket.
Rate The rate of the hedge option.
Notional in Curr. 1 The notional in the first currency of the option. The
Hedge notional is automatically calculated from the
option delta and notional. Changing this value changes
the portfolio delta in CCY1.
Notional in Curr. 2 The notional in the second currency of the option. The
Hedge notional is automatically calculated from the
option delta and notional.
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
Table 31-32 Fields of the Calculation Frame (Sheet 2 of 2)
Name
Description
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Figure 31-13 [New Deal] Forex Basis Swap Dialog
The following sections describe the frames of the [New Deal] Forex Basis Swap
dialog:
Swap Frame on page 510
Receiving Leg Frame on page 511
Paying Leg Frame on page 511
Forex Frame on page 512
Deal Frame on page 512
Calculation Frame on page 513
Swap Frame
Table 31-34 describes the fields of the Swap frame of the [New Deal] Forex Basis
Swap dialog.
Table 31-34 Fields of the Swap Frame (Sheet 1 of 2)
Name
Description
Swap Currency The currency of the swap.
Swap Rate Family The swap yield curve family.
Receiving Leg Indicates if the receiving leg of the swap is fixed or
floating.
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Receiving Leg Frame
Table 31-35 describes the fields of the Receiving Leg frame of the [New Deal]
Forex Basis Swap dialog.
Paying Leg Frame
Table 31-36 describes the fields of the Paying Leg frame of the [New Deal] Basis
Swap dialog.
Start Date The start date of the swap. This is a read-only field set
to todays date.
End Date The end date of the swap. This can be absolute or
relative.
Notional The notional of the swap.
IR Curve The swap yield curve.
Notional Exchange Defines when the notional exchange occurs in the
lifecycle of the swap. Defined as follows:
No exchange There is no exchange of notional.
Final The exchange occurs at the end of the
swap.
Initial The exchange occurs at the beginning of
the swap.
Both The exchange occurs at the beginning
and the end of the swap.
Name The automatically generated name of the swap, in the
following form:
BS_/@End Date
This is a read-only field.
Reference The reference of the swap.
Table 31-35 Fields of the Receiving Leg Frame
Name
Description
Leg Currency The currency of the receiving leg.
IR Index The reference of the index rate of the receiving leg.
Spread The spread of the receiving leg.
Table 31-34 Fields of the Swap Frame (Sheet 2 of 2)
Name
Description
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Forex Frame
Table 31-37 describes the fields of the Forex frame of the [New Deal] Forex Basis
Swap dialog.
Deal Frame
Table 31-38 describes the fields of the Deal frame of the [New Deal] Forex Basis
Swap dialog.
Table 31-36 Fields of the Paying Leg Frame
Name
Description
Leg Currency The currency of the paying leg.
IR Index The reference of the index rate of the paying leg.
Spread The spread of the paying leg.
Table 31-37 Fields of the Forex Frame
Name
Description
Forex The swap forex pair.
Rate Exchange The amount of the forex exchange of the swap
currencies.
Table 31-38 Fields of the Deal Frame (Sheet 1 of 2)
Name
Description
Portfolio The portfolio in which the deal is booked.
Entity The entity of the deal.
Counterparty The counterparty of the deal.
Broker The broker of the deal.
Depositary The depositary of the deal.
Counterparty Fees The counterparty fee amount.
FO Comments Any additional comments.
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Calculation Frame
Table 31-39 describes the read-only fields of the Calculation frame of the [New
Deal] Forex Basis Swap dialog.
Tenor Basis Swap
You can create and book a deal on a basis swap between interest rates of the same
currency using different tenors by choosing Tenor Basis Swap from the One Deal
Blotters toolbar menu. This opens the [New Deal] Tenor Basis Swap dialog, as
shown in figure 31-14.
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
Table 31-39 Fields of the Calculation Frame
Name
Description
Break Even The fixed leg break even value.
Theo. Value The theoretical value of the swap.
Amount The amount value.
Table 31-38 Fields of the Deal Frame (Sheet 2 of 2)
Name
Description
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Figure 31-14 [New Deal] Tenor Basis Swap Swap Dialog
The following sections describe the frames of the [New Deal] Tenor Basis Swap
dialog:
Swap Frame on page 514
Receiving Leg Frame on page 515
Paying Leg Frame on page 515
Deal Frame on page 515
Calculation Frame on page 516
Swap Frame
Table 31-40 describes the fields of the Swap frame of the [New Deal] Tenor Basis
Swap dialog.
Table 31-40 Fields of the Swap Frame (Sheet 1 of 2)
Name
Description
Swap Currency The currency of the swap.
Discount Family The rate curve families of the swap currency.
Notional The notional of the swap.
Start Date The start date of the swap.
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Receiving Leg Frame
Table 31-41 describes the fields of the Receiving Leg frame of the [New Deal]
Tenor Basis Swap dialog.
Paying Leg Frame
Table 31-42 describes the fields of the Paying Leg frame of the [New Deal] Tenor
Basis Swap dialog.
Deal Frame
Table 31-43 describes the fields of the Deal frame of the [New Deal] Tenor Basis
Swap dialog.
End Date The end date of the swap. This can be absolute or
relative.
Name The automatically generated name of the swap, in the
following form:
BS_/@End Date
This is a read-only field.
Reference The reference of the swap.
Table 31-41 Fields of the Receiving Leg Frame
Name
Description
Family The curve family of the receiving leg.
IR Index The reference of the index rate of the receiving leg.
Spread The spread of the receiving leg.
Table 31-42 Fields of the Paying Leg Frame
Name
Description
Family The curve family of the receiving leg.
IR Index The reference of the index rate of the paying leg.
Spread The spread of the paying leg.
Table 31-40 Fields of the Swap Frame (Sheet 2 of 2)
Name
Description
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Calculation Frame
Table 31-44 describes the read-only fields of the Calculation frame of the [New
Deal] Tenor Basis Swap dialog.
Interest Rate Swap
You can create and book a deal on an interest rate swap by choosing Interest Rate
Swap from the One Deal Blotters toolbar menu. This opens the [New Deal]
Interest Rate Swap dialog, as shown in figure 31-15.
Table 31-43 Fields of the Deal Frame
Name
Description
Portfolio The portfolio in which the deal is booked.
Entity The entity of the deal.
Counterparty The counterparty of the deal.
Broker The broker of the deal.
Depositary The depositary of the deal.
Counterparty Fees The counterparty fee amount.
FO Comments Any additional comments.
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
Table 31-44 Fields of the Calculation Frame
Name
Description
Receiving Break Even The receiving leg break even value.
Paying Break Even The paying leg break even value.
Theo. Value The theoretical value of the swap.
Amount The amount value.
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Figure 31-15 [New Deal] Interest Rate Swap Dialog
The following sections describe the frames of the [New Deal] Interest Rate Swap
dialog:
Swap Frame on page 510
Floating Leg Frame on page 518
Fixed Leg Frame on page 518
Deal Frame on page 519
Calculation Frame on page 519
Swap Frame
Table 31-45 describes the fields of the Swap frame of the [New Deal] Interest
Rate Swap dialog.
Table 31-45 Fields of the Swap Frame (Sheet 1 of 2)
Name
Description
Receiving Leg Indicates if the receiving leg of the swap is fixed or
floating.
Currency The currency of the swap.
Notional The notional of the swap.
Start Date The start date of the swap. This is a read-only field set
to todays date.
End Date The start date of the swap. This can be absolute or
relative.
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Floating Leg Frame
Table 31-46 describes the fields of the Floating Leg frame of the [New Deal]
Interest Rate Swap dialog.
Fixed Leg Frame
Table 31-47 describes the fields of the Fixed Leg frame of the [New Deal]
Interest Rate Swap dialog.
Name The automatically generated name of the swap, in the
following form:
IR Index - C@Strike End Date
This is a read-only field.
Reference The reference of the swap.
Table 31-46 Fields of the Floating Leg Frame
Name
Description
Rate family The name of the rate curve family.
IR Index The reference of the index rate of the swap.
Table 31-47 Fields of the Fixed Leg Frame
Name
Description
Rate The rate of the swap. This field is automatically
populated based on the value in IR Index in the
Floating Leg frame.
Frequency The frequency of the payments. This field is
automatically populated based on the value in IR Index
in the Floating Leg frame. This is a read-only field.
Mode The yield calculation mode of the swap. This field is
automatically populated based on the value in IR Index
in the Floating Leg frame. This is a read-only field.
Basis The basis of the coupon rate of the swap. This field is
automatically populated based on the value in IR Index
in the Floating Leg frame. This is a read-only field.
Table 31-45 Fields of the Swap Frame (Sheet 2 of 2)
Name
Description
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Deal Frame
Table 31-48 describes the fields of the Deal frame of the [New Deal] Interest
Rate Swap dialog.
Calculation Frame
Table 31-49 describes the read-only fields of the Calculation frame of the [New
Deal] Interest Rate Swap dialog.
Variance Swap Blotter
The Variance Swap Blotter allows you to create and book a variance swap in the
Portfolio window.
To create a variance swap and book a deal on it, do the following:
1 Load a portfolio in the Portfolio window.
Table 31-48 Fields of the Deal Frame
Name
Description
Portfolio The portfolio in which the deal is booked.
Entity The entity of the deal.
Counterparty The counterparty of the deal.
Broker The broker of the deal.
Depositary The depositary of the deal.
FO Comments Any additional comments.
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
Table 31-49 Fields of the Calculation Frame
Name
Description
Break Even The fixed leg break even value.
Theo. Value The theoretical value of the swap.
Amount The amount value.
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2 Select Variance Swap from the One Deal Blotters drop-down menu.
The [New Deal] Variance Swap dialog is displayed, as shown in
figure 31-3.
Figure 31-16 [New Deal] Variance Swap dialog
The following sections describe the frames of the [New Deal] Variance Swap
dialog:
Swap Frame on page 484
Variance Leg Frame on page 521
Fixed Leg Frame on page 521
Deal Frame on page 485
Calculation Frame on page 522
Swap Frame
Table 31-5 describes the fields of the Swap frame of the [New Deal] Variance
Swap dialog.
Table 31-50 Fields of the Swap Frame (Sheet 1 of 2)
Name
Description
Receiving Leg The fixed or variance leg of the swap.
Currency The currency of the underlying.
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Variance Leg Frame
Table 31-6 describes the fields of the Variance Leg frame of the [New Deal]
Variance Swap dialog.
Fixed Leg Frame
Table 31-7 describes the fields of the Fixed Leg frame of the [New Deal] Variance
Swap dialog.
Vega Notional The notional amount of the swap, in terms of Vega. The
Vega notional is calculated as:
(10,000 x Vega Notional)/(2 x Strike)
Start Date The start date of the swap.
End Date The end date of the swap.
Swap notionals The swap notional value, as calculated by the Vega
Notional field.
Name The name generated by RISQUE for the swap, in the
form:
Varswp[Underlying Name]@[Volatility Strike][End
Date]
Reference The reference of the receiving leg of the swap.
Table 31-51 Fields of the Variance Leg Frame
Name
Description
Underlying The underlying of the receiving leg of the swap.
Fixing Column Specifies which fixing to use. The possible values are as
follows:
Last
First
High
Low
Variance Cap Cap applied to total variance*multiplication factor.
Table 31-50 Fields of the Swap Frame (Sheet 2 of 2)
Name
Description
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Deal Frame
Table 31-8 describes the fields of the Deal frame of the [New Deal] Variance
Swap dialog.
Calculation Frame
Table 31-8 describes the fields of the Calculation frame of the [New Deal]
Variance Swap dialog.
Table 31-52 Fields of the Fixed Leg Frame
Name
Description
Volatility Strike(%) The value used to compute the variance strike of the
swap.
Variance Strike (%) The variance strike of the swap. The variance strike is
calculated as:
(Volatility^2)/100
Table 31-53 Fields of the Deal Frame
Name
Description
Portfolio The portfolio in which the deal is booked.
Entity The entity of the swap.
Counterparty The counterparty of the deal.
Broker The broker of the deal.
Depositary The depositary of the deal.
FO Comments Any additional comments.
keep open If this checkbox is selected, the dialog remains open
after the deal was booked and the fields remain
populated. This allows you to create another swap and
deal without having to define the swap using blank
fields.
Table 31-54 Fields of the Calculation Frame
Name Description
Fair Vol Strike The square root of the break-even value. This is equal to
the average volatility when entering the variance swap.
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Break Even The break even of the fixed leg.
Theo. Value The theoretical value of the swap in %.
Amount The difference between the swap legs.
Table 31-54 Fields of the Calculation Frame
Name Description
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Chapter 32 Deal Mirroring
This chapter describes the RISQUE deal mirroring function. It contains the following
sections:
Overview on page 525.
Mirror Rules on page 525.
Creating Mirror Deals on page 532
Overview
Mirroring allows you to define a set of rules in order to create identical deals, called
mirror deals, that are based on an initial, or parent, deal. These mirrored deals can
be linked together, and can be grouped for ease of identification.
Mirroring generalises and expands the concept of crossing deals. You can now create
a mirror deal on any standard, debt instrument, stock loan, or Forex deal. You can
create multiple mirror deals from one parent, and you can apply the parent deal
workflow to all mirror deals. When you modify a parent deal, the changes are
reflected in all of its corresponding mirrored deals.
Mirror Rules
When you create a mirrored deal, you can choose from a list of defined mirror rules
in the Mirror Rules field of the deal input window. These rules describe one, or
more than one, mirror deal that is generated by the system elsewhere in the
database.
Mirror Rules Definitions
The Mirror Rules Definitions window displays all existing mirror rules, and allows
you to create new rules.
To view the mirror rules, select Mirror Rules from the Portfolios menu, then select
Mirror Rules Definitions. The Mirror Rules Definitions window is displayed.
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Figure 32-1 Mirror Rules Definitions Window
The Mirror Rules Definitions window contains the following columns:
Table 32-1 Columns in the Mirror Rules Definitions window
Column Definition
Reception Amount The transaction direction for the amount of the mirrored
deal.
The available options are:
Same Amount the transaction direction is the
same as the parent deal.
Opposite Amount the transaction direction is the
opposite of the parent deal.
Reception Quantity The transaction direction for the quantity of the mirrored
deal.
The available options are:
Same Qty the transaction direction is the same
as the parent deal.
Opposite Qty the transaction direction is the
opposite of the parent deal.
Reception Folio The target folio of the mirrored deal.
The available options are:
Choose When Mirroring allows you to select the
folio in the deal input dialog of the mirror deal.
Source Folio takes the folio of the parent deal.
All available folios.
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Reception Entity The entity of the mirrored deal.
The available options are:
Choose When Mirroring allows you to select the
entity in the deal input dialog of the mirror deal.
Source Entity takes the entity of the parent deal.
You can also choose the source counterparty, broker,
customer, or depositary.
Like First Deal takes the entity of the first mirror
deal.
You can also choose Like Second Deal, Like Third
Deal, and so on, as long as the deal you want to copy
is less than the current deal.
Set To Blank <XXX> sets the entity of a mirrored
deal to XXX.
All other valid entities.
Reception Depositary The depositary of the mirrored deal.
The available options are the same as those for Reception
Entity.
Reception Customer The customer of the mirrored deal.
The available options are the same as those for Reception
Entity.
Reception
Counterparty
The counterparty of the mirrored deal.
The available options are the same as those for Reception
Entity.
Reception BE The business event of the mirrored deal.
The available options are:
Same Bus. Event takes the business event of the
parent deal.
All other valid business events.
Reception Broker The broker of the mirrored deal.
The available options are the same as those for Reception
Entity.
Table 32-1 Columns in the Mirror Rules Definitions window
Column Definition
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Creating Mirror Rules
To create a new mirror rule, do the following:
1 From the Portfolios menu, select Mirror Rules, then Mirror Rules
Definitions.
2 Click the New icon in the Mirror Rules Definitions window toolbar.
A dialog box is displayed.
3 Enter the name of the mirror rule, and an optional description. Click OK.
Note: The name of the mirror rule must be unique.
The mirror rule is added to the list and is represented as a folder in the
Mirror Rules Definitions window. The name of the mirror rule is displayed
in bold type, to signify that the mirror rule has not yet been defined.
4 Expand the new mirror rule. Click the Version Currently Used line.
5 Click the New icon in the Mirror Rules Definitions window toolbar.
A new line is displayed within the new mirror rule. Each new line represents
a sub-rule.
6 Enter the details for each column in the sub-rule.
See table 32-1 for information about the columns in the Mirror Rule
Definitions window.
7 Press Ctrl+S to save the changes.
Mirroring Mode Specifies the mode of the mirrored deal. The available
options are:
Automatic The children of the parent deal are
bound to the parent for the whole lifetime of the
deal and cannot be modified. See Automatic
Mirroring on page 535.
Manual The user can specify options for mirrored
deals as they are created, and can modify child
deals. This is the default mode.
Auto Mode With Manual Input Automatic mode,
however you can select Choose When Mirroring
from applicable columns. See Manual Input While in
Automatic Mode on page 536
Building Method A toolkit interface that can be defined by the user.
Table 32-1 Columns in the Mirror Rules Definitions window
Column Definition
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Deleting Mirror Rules
To delete a mirror rule:
1 In the Mirror Rule Definitions window, select the mirror rule from the list.
2 Click the Delete icon.
A dialog box is displayed requesting you to confirm the deletion.
3 Click OK. Press Ctrl+S to save the changes.
Viewing Previously Deleted Mirror Rules
To display previously deleted elements:
1 Click the Deleted Elements icon in the Mirror Rules Definitions window
toolbar.
The Previously deleted Mirror Rules Definitions window is displayed.
2 Double-click a deleted mirror rule definition to display when and by whom
the element was deleted.
Mirror Rules Selector
The Mirror Rules Selector defines the conditions under which mirror rules are
available.
Viewing the Mirror Rules Selector
To view the Mirror Rules Selector, select Mirror Rules from the Portfolios menu,
then select Mirror Rules Selector. The Mirror Rules Selector window is displayed,
as shown in figure 32-2:
Figure 32-2 Mirror Rules Selector window
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Mirror rules are listed in order of priority (#N). The number in brackets, [],
represents the mirror rule identifier.
The system checks the criteria of each mirror rule, starting at the top of the list and
ending when the criteria are met. The details of mirrored trades must match the
criteria of the rule for that rule to be applied to the trade. When the characteristics of
a mirrored trade match the criteria of a mirror rule, that mirror rule is used in the life
cycle of that deal.
The Mirror Rules Selector window contains the following columns, as shown in
table 32-2:
Table 32-2 Mirror Rule Selector Columns (Sheet 1 of 2)
Name Description
Allotment The allotment of the instrument.
Business Event The business event of the deal.
Condition1
Condition 2
Condition 3
The available options are:
No Condition.
Note: You can also create your own Conditions
using the Toolkit.
Entity The entity of the deal.
Counterparty The counterparty of the deal.
Creation Type The method used to create the deal. The available
options are:
Manual
Electronic - using the Transaction Server
Automatic - for example, using automatic
ticket for dividend coupon
*
Currency The currency of the deal.
Deal Type The type of deal must match one of the following
options for the mirror rule to apply:
Real
Brokerage
Simulation
*
Delivery Type The delivery type of the deal.
Depository The depository of the deal.
Market The instrument market on which the deal was
performed.
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Adding a Mirror Rule to Mirror Rules Selector
To add a mirror rule to the Mirror Rules Selector:
1 From the Portfolios menu, select Mirror Rules, then Mirror Rules
Selector.
The Mirror Rules Selector window is displayed. See figure 32-2.
2 Click the New icon in the window toolbar.
A new line is displayed at the start of the mirror rule list.
3 Select the mirror rule from the drop-down menu in the Mirror Rule Name
column, and specify the deal criteria you wish to assign to it.
The available mirror rules correspond to the mirror rules defined in the
Mirror Rules Definitions window.
4 Change the priority position of a line in the list. Select the line and use the
Priority Up and Priority Down icons.
5 Press Ctrl+S to save the changes.
Removing a Mirror Rule from the Mirror Rules Selector
To remove a mirror rule from the mirror rule selector:
1 Select the mirror rule line from the list.
2 Click the Delete icon in the window toolbar.
Mirror Rule Name The name of the mirror rule.
The mirror rules available are those which are
defined in the Mirror Rules Definitions window. See
Mirror Rules Definitions on page 525.
Note: The No Mirroring mirror rule is always
available. This option allows you to specify
that no mirrored deals are created if it is
selected in the corresponding deal input
window.
Securities Workflow The Securities Workflow of the deal.
Table 32-2 Mirror Rule Selector Columns (Sheet 2 of 2)
Name Description
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A dialog box appears requesting you to confirm the deletion.
3 Click OK.
Creating Mirror Deals
To create a mirror deal, do the following:
1 Open the deal input window for a standard, debt instrument, stock loan or
Forex deal.
Important: You can create a mirror deal on standard, debt instrument, stock
loan, and Forex deals only.
2 Define the deals normal parameters as needed.
3 Select a mirror rule from the Mirror Rule field in the deal input window and
save the deal.
Figure 32-3 Mirror Rule Field
If the mirror rule definition selected for the parent deal does not contain any
Choose When Mirroring parameters, once you have saved the parent deal,
the mirror deals are automatically created without any further action.
If the mirror rule definition for the parent deal does contain one or more
Choose When Mirroring parameters, a second deal input dialog appears
after the initial parent deal has been saved. This dialog is a replica, or
mirror, of the deal that you just created. See figure 32-4.
4 If applicable, make any desired changes to the fields of the second mirror
deal input dialog that can be modified.
Note: The fields in the deal input dialog of the mirror deal that can be
modified are determined by the mirror rule selected for the parent deal.
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Figure 32-4 Second Deal Input Dialog for a Mirror Deal
Creating Multiple Mirror Deals
The number of mirror deals created for each parent deal is determined by the mirror
rule definition. The number of lines, or sub-rules, for each mirror rule indicates the
number of child mirror deals that are created. For example, if a mirror rule contains
three sub-rules, then three child mirror deals are created for each parent deal that
uses that mirror rule definition.
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Figure 32-5 Mirror Rules Definitions with multiple sub-rules
For information about defining the mirror sub-rule parameters, see table 32-1.
Modifying Mirror Deals
Because mirror deals are linked to the parent deal, when you modify a parent deal,
the change is reflected in all the corresponding mirror deals. However, if you modify
a mirror deal, only that deal is modified and the parent and other mirror deals
remain unchanged.
Mirror Deal Identification
You can identify mirror deals and their parents in the HISTOMVTS table. The
MIRROR_REFERENCE column has been added to the HISTOMVTS table. If the
value is -1, the deal is a parent deal with mirrored child deals. If the value is a
reference number, the deal is a child mirror deal. The reference number refers to the
reference in the REFCON column of the parent deal.
Figure 32-6 HISTOMVTS Table with MIRROR_REFERENCE Column
Also, a new Mirrored column has been added to the pending deals blotter. A value
of yes indicates that the deal is mirrored. The pending deals blotter only lists the
parent deal.
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Figure 32-7 Pending Deals Blotter with Mirrored Column
Automatic Mirroring
The Automatic Mirroring function specifies that all the deals in a mirroring 'family'
stay bound together for the lifetime of the parent deal. A user cannot modify a child
deal or make it independent from the parent deal. The parent deal can be modified,
and these changes are then applied to the children.
In practice, this means that all fields in the deal screen of a child deal are disabled,
and all changes or events occur automatically and without extra user input.
Note: Kernel events, however, can be applied to any mirror deal in the mirror family,
including children, and this event will be propagated to all deals in the family,
including the parent. For example, a BO Accept event applied to any deal in a mirror
family applies to every deal in the family.
Important: The Choose when mirroring option cannot be selected in any of the
columns of the Mirror Rules Definitions window for mirror rules
specified as automatic. This is due to the fact that users have no direct
control over the content of child deals created in automatic mode. To
enable Choose when mirroring, select Auto Mode With Manual
Input, instead of Automatic, from the Mirroring Mode column of the
Mirror Rules Definitions window.
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Creating Automatic Mirroring Deals
To create a mirror rule that is specified as automatic, select Automatic from the
Mirroring mode column in the Mirror Rules Definitions window.
Note: RISQUE only allows this change be saved if no column uses a value of 'Choose
when mirroring'.
Manual Input While in Automatic Mode
You can manually choose options for child deals while in automatic mode by selecting
Auto Mode With Manual Input in the Mirroring Mode column of the Mirror
Rules Defintions window. This allows to select Choose when mirroring from
applicable columns in the Mirror Rules Defintions window, which then allows you
to specify the information in the deal input dialog of the mirror deal.
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Chapter 33 Line Picking
Line picking enables you to select a deal, or part of a deal, to sell against a purchase
deal of the same position to manually maximise the realized value of the position.
Important: Line picking requires the Accounting module.
To open the Line Picking on Position window, as shown in figure 33-1, right-click
on a position in the Portfolio window and select Line Picking.
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Figure 33-1 Line Picking on Position window
This chapter contains the following sections:
Viewing the Line Picking on Position window on page 538
Performing Line Picking on page 542
Viewing the Line Picking on Position window
The Line Picking on Position window is composed of a header and two frames, as
described in the following sections:
Line Picking on Position Header on page 538
Line Picking on Position Frames on page 539
Line Picking on Position Frames Column Configuration on page 540
Line Picking on Position Header
This section describes the header of the Line Picking on Position window. The
header displays the values described in table 33-1.
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Line Picking on Position Frames
This section describes the two frames of the Line Picking on Position window. The
Trades on Position frame displays all of the deals of the selected position. Purchase
deals are displayed in bold. The Line Picking frame displays the deals available for
line picking with the selected position. Sell deals are displayed in bold.
For example, figure 33-1 shows the following deals:
306981 a purchase deal of 10.
306985 a sell of 10.
306983 a purchase deal of 20.
Table 33-2 describes the columns of the frames of the Line Picking on Position
window. You can configure the columns displayed. For more information, see Line
Picking on Position Frames Column Configuration on page 540.
Table 33-1 Line Picking on Position Header
Field Description
Quantity The total quantity of the selected position.
Realized The total realized of the selected position, calculated by FIFO
by default. This value is updated after line picking.
Average Price The average price of the selected position, after line picking.
Table 33-2 Line Picking on Position Frames (Sheet 1 of 2)
Field Description
Trade ID The Ticket ID of the deal.
Note: The TradeID value of closed positions is displayed
in grey.
Quantity The quantity of the deal.
Quantity Picked In the Trades on Position frame, the quantity of the deal
to sell against the parent deal. In the Line Picking frame,
the quantity of the sell deal to sell against the deal. For
more information, see Performing Line Picking on
page 542.
Realized The realized value of the deal.
Quantity Sold The quantity sold against the deal.
Average Price The average price of the deal.
Quantity Split The quantity of the deal after a split corporate action.
For more information, see Split of a Share on page 305.
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You can double-click on a deal in the Line Picking on Position window to display
the Deal Input dialog for that deal.
Line Picking on Position Frames Column Configuration
You can configure the columns displayed in the Line Picking on Position window as
follows:
Configuring Columns with the Configuration selection Dialog on page 540
Configuring Columns with the Column Chooser on page 541
Configuring Columns with the Configuration selection Dialog
You can configure the columns displayed in the Line Picking on Position window
using the Configuration selection dialog. To open the Configuration selection
dialog, click the button beside the column configuration drop-down list. Figure 33-2
shows the Configuration selection dialog.
Quantity Sold Splitted The quantity sold against the deal after a split corporate
action.
For more information, see Split of a Share on page 305
Quantity Picked
Splitted
In the Trades on Position frame, the quantity of a split
deal sold against the parent deal. In the Line Picking
frame, the quantity of the sell deal sold against the split
deal. This column is updated after performing line picking.
For more information, see Performing Line Picking on
page 542
Table 33-2 Line Picking on Position Frames (Sheet 2 of 2)
Field Description
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Figure 33-2 Configuration selection dialog
To add a column to the Trades on Position and Line Picking frames, do the
following:
1 Double-click the column name in the Available items pane.
The column name is displayed in the Selected items pane.
2 Click OK.
To save the selected set of columns, do the following:
1 Enter a name for the set in the Configuration set drop-down list.
2 Click Save.
To display the columns of a saved configuration set, do the following:
Selecting the name of the set from the drop-down list on the Line Picking
on Position window.
Configuring Columns with the Column Chooser
To add a column to the Trades on Position or Line Picking frames using the
Configuration Chooser, do the following:
1 Right-click on an existing column and select Column Chooser.
The Customization window is displayed. This window lists the available
columns.
2 Drag the column from the Customization window to the frame.
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To remove a column from the Trades on Position or Line Picking frames, do the
following:
1 Right-click on an existing column and select Column Chooser.
2 Drag the column from the frame to the Customization window.
Performing Line Picking
This section describes the process of line picking using the Line Picking on
Position window. It contains the following sections:
Picking Part of a Sell Deal on page 542
Picking All of a Sell Deal on page 543
Deleting Line Picking on page 544
Note: LP is displayed in the Line Picking column of the Portfolio window for
positions on which line picking has been performed.
Picking Part of a Sell Deal
To sell part of a deal against a purchase deal:
1 Enter the quantity to sell in the QuantityPicked column of the purchase
deal displayed under the sell deal in the Line Picking frame.
The QuantityPicked value of the sell deal displayed under the purchase
deal in the Trades on Position frame is updated.
2 Close the window and click Yes to save the modifications.
Note: The status of the sell and purchase deals is modified based on the event set
for Line Picking on the Default Kernel tab of the Back Office Parameters dialog.
For more information, see the RISQUE Back Office User Guide.
For example, to maximise the realized value of the position shown in figure 33-1,
you could sell 8 at 16. Figure 33-3 shows the QuantityPicked value of the Line
Picking on Position window and the new Realized value.
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Figure 33-3 Line Picking on Position window example
Picking All of a Sell Deal
You can sell the full quantity of a deal against a purchase deal in one of the following
ways:
Drag the purchase deal from the Trades on Position frame to the sell deal
in the Line Picking frame.
Enter 0 in the QuantityPicked column of the purchase deal displayed under
the sell deal in the Line Picking frame.
MAX is displayed in the QuantityPicked column of the purchase deal in the Trades
on Position frame and the sell deal in the Line Picking frame.
To save the modifications:
Close the window and click Yes.
Note: The status of the sell and purchase deals is modified based on the event set
for Line Picking on the Default Kernel tab of the Back Office Parameters dialog.
For more information, see the RISQUE Back Office User Guide.
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Deleting Line Picking
To undo a change to the QuantityPicked column:
1 Right-click on the deal in the Line Picking frame and select Delete
grouping.
2 Close the window and click Yes to save the modifications.
Part 3: Portfolio Analysis
This part describes:
The Analysis scenarios
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Chapter 34 Portfolio Analysis
The following chapters describe the portfolio analyses you can run.
The following analyses are possible:
General analyses
- Viewing the Cash Delta with the Trend Scenario on page 553
- Viewing the Break-Up of the Portfolio on page 554
- Viewing the Position Of Options on page 556
- Viewing the Crossed Indicators on page 558
- Viewing the Crossed Greeks on page 558
- Evaluating the Evolution of the Portfolio on page 559
- Running A Stress Test on page 561
- Viewing Worst Case Scenario on page 564
- Viewing the Aggregate of Option Positions by Maturities and Strikes on
page 565
- Displaying Interest Rate Hedges on page 566
- Viewing the Components of Stock Loans on page 567
Analysis Graphs
- Clauses Effect Analysis on page 575
- Displaying the Pricing Surface on page 577
- Adjusting the Pricing Surface 2D Graph on page 579
- Adjusting the Pricing Surface 3D Graph on page 579
- Viewing the Monte Carlo Graph on page 583
Maturity analyses
- Correlation/Maturity on page 585
- Detailed Correlation Maturity on page 586
- Epsilon maturity on page 586
- Future Maturity on page 586
- IR Vega maturities on page 587
- Repo/Maturity on page 588
- Smile/Maturity on page 588
- Strike/Maturity on page 589
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- Vega/Maturity on page 591
- Vol Matrix/Maturity on page 592
- ZC Rho/Maturity on page 592
Credit analyses
- Credit Exposure on page 595
- Credit (Recovery Rate) on page 596
- Credit Zero Coupon, Credit Market and Credit Hedging Scenarios on
page 597
- Credit Hedging on page 597
- Credit total loss on page 598
Parametric Analyses
- Parametric Analysis on page 601
- Historic Correlations on page 615
Rho analyses
- Viewing IR Hedge Delta Breakdown Analysis on page 626
- Viewing IR Hedge Delta Forward Analysis on page 627
- Viewing IR Hedge Delta Swap Analysis on page 628
- Viewing IR Hedge Delta Reset Analysis on page 629
- Viewing IR Hedge Delta Reset Analysis on page 629
- Viewing IR Hedge Delta Zero Coupon Analysis on page 630
Risk Matrix analysis
- Viewing the Risk Matrix on page 637
- Working With Scenarios on page 639
Futures analysis
- Future Analysis Delta, Gamma and Vega on page 375
Counterparty analysis
- Counterparty Liquidity on page 642
Commodity Analyses
- Cega and Provision on page 650
- Commodity Risk Split on page 653
- LME Card on page 657
- Power and Gas Scheduling on page 660
- Power and Gas Daily Strips Exercise on page 677
- Power and Gas Financial Analysis on page 679
- Delta, Gamma, and Vega Future Analyses on page 685
- Power Physical Management on page 690
Portfolio Performance Analysis
- Portfolio Performance Analysis on page 541
Inflation Analysis
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- Inflation Hedge Analysis on page 703
Interest Rate Fixing Analysis
- IR Fixing Diary Scenario on page 707
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Chapter 35 General Analysis
The following analyses are described here:
Scenario Lists on page 551
Viewing the Cash Delta with the Trend Scenario on page 553
Viewing the Break-Up of the Portfolio on page 554
Viewing the Position Of Options on page 556
Viewing the Crossed Indicators on page 558
Viewing the Crossed Greeks on page 558
Evaluating the Evolution of the Portfolio on page 559
Running A Stress Test on page 561
Viewing Worst Case Scenario on page 564
Viewing the Aggregate of Option Positions by Maturities and Strikes on
page 565
Displaying Interest Rate Hedges on page 566
Viewing the Components of Stock Loans on page 567
Stock Loan Reports on page 569
Important: Before running a portfolio analysis, calculate your portfolio using
Calculation Now or Fast Calculate.
Scenario Lists
Scenario Lists allows you to specify and save scenario settings and their results in
the database. This allows you to run your custom scenario and store the results for
later viewing.
To view the scenario list, select Scenario Lists from the Analysis menu.
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Figure 35-1 Scenario List window.
Defining Scenarios
To define a scenario, do the following:
1 Open the Scenario List window by selecting Scenario Lists from the
Analysis menu.
2 Choose the scenario you want to define by selecting the first blank line, and
double-clicking in the SCENARIO_NAME column. The Scenario Selector
is displayed:
Figure 35-2 Scenario Selector
3 Choose the appropriate scenario and enter a name in the Name column.
4 Specify the folio you want the scenario to run on by entering the Folio ID in
the Portfolio column. The Folio ID is available from the Portfolio Entry
dialog. To view this dialog, right-click on the folio and select Information
from the context menu. The Folio ID is displayed next to the Name field,
beneath the label, Identifier. For more information on the Portfolio Entry
dialog, see
Note: If you want to specify the Root of the Portfolio, enter 1 in this column.
Important: The scenario is run on all folios contained in the specified folio.
5 You can also choose a Quotation model to use with the Scenario. For more
information on Quotations, see Option List on page 278.
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6 To define the Scenario parameters, double-click on the new line and define
the parameters as normal. See this and the following chapters for more
information on the individual settings for each scenario.
7 You must save the Scenario List before attempting to use the new scenario.
Do this using the Save button in the toolbar.
You can also delete scenarios from the list, by selecting the line and clicking
the Delete button in the toolbar.
Running the Scenario
To run the defined scenario, do the following:
1 Calculate the folio using Calculation Now or Fast Calculate.
2 Select a scenario and click the Validate button in the toolbar.
3 If your scenario is correctly defined, the scenario runs. If it is not correctly
defined, an error message is displayed.
4 The results are not displayed in a separate window, but are accessible
through a context menu.
5 To view the scenario results for each folio, right-click on the scenario and
select the folio from the context menu. The Scenario Result window for the
portfolio is displayed.
Important: Results are displayed only if the portfolio is loaded.
Running by batch
To run the scenario by batch, use the same method as defined in the Administration
Guide, but replace the scenario name with the name of your scenario as specified in
the Scenario List window.
Viewing the Cash Delta with the Trend Scenario
The Trend function displays the cash delta of all the positions in your portfolio.
1 Select either the whole portfolio or a specific folder.
2 Select Trend from the Analysis menu. A window similar to that shown here
is displayed:
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Figure 35-3 Trend window.
Note: The coloured horizontal bars display the Delta cash in K units. Green
for positive units and red for negative units.
Viewing the Break-Up of the Portfolio
This scenario allows you to evaluate the number of underlyings within a folio. Taking
into account the cash positions, future positions and option positions. The scenario
also displays the split, total number of securities and the total amount.
The equivalent number of shares for futures and options is calculated in terms of
exposition, using the delta of the instrument.
You can compare the break-up of a folio with the composition of an index, by adding
a line in the break-up and adding the reference of the index in the Code column. A
positive quantity of index induces a negative quantity for each component of the
index. The Total Equivalent column displays the difference between the positions
within the portfolio and the number of indexes chosen.
The Break-Up menu option enables you to view the portfolio breakdown, by
underlying, in table format. The following are broken down according to their
underlying:
Baskets
Indices
Options
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Futures
Packages
To view the break-up of the portfolio by underlying:
From the Analysis menu, select Break-up.
The following window is displayed in figure 35-4:
Figure 35-4 Break-up list
Table 35-1 explains the columns listed in the Break-up list:
Table 35-1 Portfolio break-up list column description. (Sheet 1 of 2)
Name Description
Code The reference code
Currency The currency
Difference in % Total in %
Equivalent delta amount Equivalent options securities * spot (underlying)
Equivalent Future Securities Quantity of futures * Delta future
Equivalent Option Securities Quantity of options * Delta option
Equivalent futures amount Equivalent delta securities * spot (underlying)
Equivalent Total Amount Physical amount + Equivalent futures amount +
Equivalent delta amount.
Future in %
Index in %
Name The name of the instrument
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Viewing the Position Of Options
This scenario allows you to visualize the risk of a folio for all maturities. Launching
the scenario, one chooses the parameter to display. Each point in the result (the size
depends on the value) represents a position. The Eye icon on the top of the main
window allows you to see the corresponding values.
The Option position function generates a position graph based on prices, quantities
or the greeks for the various options (whether OTC or listed), according to their
strike and maturity. This gives a clear idea of the position. You are then able to
quickly identify the options with the highest vega, or the options with the most
important open position.
To view the position of options:
1 Select Option position from the Analysis menu.
Figure 35-5 Option Position parameters dialog
2 Select the parameter you want to view. These parameters are described in
table 35-2:
.
Options in %
Paper Securities Number of securities
Physical Amount Shares Asset Value
Securities in %
Total in % Securities in % + Options in % + Index in % +
Future in %
Table 35-1 Portfolio break-up list column description. (Sheet 2 of 2)
Name Description
Table 35-2 Option position dialog.
Parameter Display when clicking on and on a spot.
Price Option name days before maturity strike (%) Nb securities *
Theo price * Quota
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3 Click OK, when ready. A window similar to that shown in figure 35-6 is
displayed:
Figure 35-6 Option Position Graph.
4 The graph in figure 35-6 shows the quantity of the chosen position.
Quantity Option name days before maturity strike (%) Quantity *
Quota.
Delta Option name days before maturity strike (%) Global Delta.
Vega Option name days before maturity strike (%) Global Vega.
Gamma Option name days before maturity strike (%) Global Gamma.
Theta Option name days before maturity strike (%) Global Theta.
Und.only The positions are centred around the strike in % of the spot.
All types The positions are centred around the strike in amount.
Table 35-3 Positions graph.
Item Description
Y-axis unit Percentage of the option strike.
Circles Each circle represents an option and has the following mean-
ing:
Red circles (by default): Negative value
Green circles (by default): Positive value
Circle width Value of the requested parameter. The wider the circle, the
higher the value.
Table 35-2 Option position dialog.
Parameter Display when clicking on and on a spot.
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Viewing the Crossed Indicators
The Crossed indicators option enables you to display crossed gamma and crossed
Vega between the portfolio underlying for:
The selected underlying, if a view for the underlying is displayed in the
portfolio.
All other underlyings included in the portfolio, if relevant.
To display the information by instrument:
Click on the arrow on the left.
Viewing the Crossed Greeks
In the case a product has several underlyings, such as a compo option or a
multi-underlyings option, crossed Greeks are calculated as second order risk
indicators between two factors. One can then get the crossed gamma equity/equity,
FX/FX and equity/FX, and the crossed vega equity/equity, FX/FX and equity/FX. An
option can also depend on several interest rate curves. In this case there is also a
Rho in each currency.
The point of this scenario is to display the sensitivity of a folio or a position in term of
crossed indicators.
The Crossed Greeks menu option enables you to display an aggregated Gamma
and crossed Vega matrix for all the underlyings with crossed risks, whatever the
products are.
1 Select a portfolio.
2 In the Analysis menu, select Crossed greeks.
The columns in the Crossed gamma window are as follows.
Table 35-4 Crossed Gamma columns.
Name Description
Underlying The name of underlyings in the folio. Currency names will
also be included in this column.
Instrument Name The name of the instrument.
Currency Name The Currency
Total The total.
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Evaluating the Evolution of the Portfolio
This scenario generates a graph showing the evolution of a theoretical value such as
the P&L or a Greek according to a variation of one of the parameter in the folio
(underlying price, rates or volatility). One can select the date to launch the scenario.
It is also possible to cumulate several curves.
The Evaluation option generates a graph of the evolution of the theoretical
characteristics of an derivative relative to the main parameters for a given situation.
To evaluate the evolution of a portfolio:
1 From the Analysis menu, select Evaluation.
The following window is displayed.
Figure 35-7 Evaluation dialog.
2 Specify the theoretical values you wish to use for this evaluation. See
table 35-5 for the fields.
Table 35-5 Evaluation dialog.
Item Description
Type P&L
Delta
Gamma
Vega
Rho
Theta
+/- P&L
Factor Increments of 5% from 5 to 25%
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Running the evaluation provides a graph, where the x-axis parameters are:
The underlying price.
The interest rate.
The volatility or the time.
The interest rate can be that of a foreign currency.The Factor field allows the user to
define for each choice an interval with regard to a pivot spot.
To visualize the time decay effect:
1 When configuring the Evaluation dialog enter a time length in the Duration
field. In this case, the application takes into account an annual growth of the
underlying. Available periods are displayed in the scroll-down menu.
Choosing the time parameter for the x-axis allows you to modify the
maturity of the option and to take into account an underlying annual growth
rate entering a value in the Rate field. Each graph displays the selected
characteristic for the derivative.
2 Click OK to display the graph.
Save, Load, Delete Save the specified parameters.
Load an existing set of parameters.
Delete an existing set of parameters.
Equity Growth % Annual Specify an equity growth value in %
Selection drop-down list box Index name
Rate
Volatility
Maturity. A second Duration text field is
shown below the factor drop-down list box
when Maturity is selected.
Currency Chose a currency or a percentage.
Chosen Index Index underlying the portfolio
Volatility Specify a volatility value, either in points or
percentage.
Rate Theoretical rate you want to evaluate against the
portfolio.
Duration Specify the start point of the Evaluation.
Table 35-5 Evaluation dialog.
Item Description
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Running A Stress Test
Stress tests allow the user to shock different types of data (spot, interest rates, etc.)
and display the resulting P&L. A stress test is defined by a CSV file (created using
Excel), that lists several scenarios to apply to portfolios.
As of this version, it is possible to shock data with a much greater degree of
accuracy.
CSV file
A stress test is defined by a csv file. Shocks are applied on a portfolio and on its sub
portfolios. Here is an example:
The first cell (A1) contains the version of the csv file: version 1 and version 2 are
handled. For new files, this cell should always contain version 2.
Table 35-6Example CSV file.
A B C D E F G
1 version 2
2 Worst 1 Worst 2 +currency +sector s c v
3 Ref 0 0 0
4 Delta spot up EUR Bloomberg
:Consumer
, Cyclical
10 0 0
5 EUR * 5 0 0
6 spot down EUR Bloomberg
:Financials
-10 0 0
7 EUR * 0
8 Vega vol up USD * 0 0 5
9 * * 0 0 4
10 vol down * * 0 0 -10
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Line 2 is a header and is defined as follows:
Cells A2 and B2 define names of two columns that appear in the result
screen. The result column with name Worst 1 (A2) [respectively Worst 2
(B2)] sums the worst cases of sub-portfolios [respectively
sub-sub-portfolios]. If the cells are empty, the columns do not appear.
The next cells (C2 and D2 in the example) define a selector header. They
allow the user to select the data affected by a shock. The columns available
are defined in section Selector columns. These columns are not mandatory.
The last cells (E2 to G3 in the example) define the data that have to be
stressed. The columns available are defined in section Data To Stress.
From line 3, stress tests scenarios are defined:
The first column defines a group of scenarios. When no name is in the cell,
the line is used to define a scenario that belongs to the previous group. The
purpose of the group is to compare several related scenarios. A group of
scenarios appears as a column in the result screen.
The second column contains a scenario. If no name is in the cell, the line is
used to define some parameters of the previous scenario (the user does not
need to repeat the name of the scenario on each line that defines it). Only
the worst case in a group of scenarios is displayed in the result screen.
Columns C and D in the example, allow the user to define a selector. A data
that matches the criteria is stressed with the shocks defined in columns E to
G.
Columns E to G are shocks' values.
Stressable data
The user can shock the following:
Important: These Settings are case-sensitive.
Stock price s
Stock volatility v
Stock variance V
Yield curve r
Yield curve in percentage (rate + x%) R
Forex price x
Forex volatility y
Forex variance Y (specified as a maturity, such as 6m or 2y)
Credit risk spread c
Skew (in- and out-the-money volatility) k
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In-the-money volatility i
Out-the-money volatility o
Note: Columns v, r, R, c and y support <=6m, 2y, 1/8/06. This allows you to define
ranges of dates.
Selector Columns
The purpose of the selector is to allow the user to select precisely shocks to apply to
an instrument, an interest rate, etc. with regards to several criteria.
Selector columns are handled dynamically, they are not mandatory. The criteria
available are:
Currency +currency
Sector +sector
Rating +rating
Yield curve family +family
Issuer reference +issuer
A scenario is defined by a selector, several lines of criteria with corresponding
shocks. When data matches a set of criteria, the shocks defined on the same line are
applied.
Some criteria have no meaning for some 'Data To Stress'. For example, it's
impossible to match the sector criterion when stressing a yield curve. Therefore, for
yield curves, the sector criterion is ignored.
Table 35-7 describes the criteria that are used for matching with regards to the 'Data
To Stress'.
Table 35-7 Data to Stress Criteria. (Sheet 1 of 2)
Currenc
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Sector Rating Family Issuer
Stock Price Yes Yes Yes
Stock Volatility Yes Yes Yes
Stock Variance Yes Yes Yes
Skew (stock) Yes Yes Yes
Smile in (stock) Yes Yes Yes
Smile out (stock) Yes Yes Yes
Yield Curve Yes Yes
Yield Curve in
Percentage
Yes Yes
Forex Yes
Forex Volatility Yes
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If Yes: the data is used for matching, if Empty: the data is ignored.
Note: The selector columns are case sensitive.
The format used to define a sector is: <Sector Type>:<Group>:<Sub Group>: :
<Sector Name>.
The format used to define a rating is: <Agency>:<Notation>
Viewing Worst Case Scenario
This scenario calculates the risk matrix and displays the worst case with the
corresponding values for each parameter and each underlying.
In a multiple-underlying portfolio, it is interesting to compute the loss resulting from
the worst change of market conditions for each underlying.
Using the Worst Case function you can:
Computes the risk matrix for each underlying.
Extracts from the matrix the worst case and the corresponding parameters.
Displays these figures in one list.
The Worst Case window is similar to the Risk Matrix except:
The calculated result is only the P&L difference.
Only the underlying of the portfolio is displayed (the same changes are then
applied to all the underlyings).
1 From the Portfolios menu, select Open.
2 Select a folder or a deal.
3 In the Analysis menu, select Worst case.
The Simulation Parameters dialog is displayed where you can define the type
of risk matrix is used to calculate each underlying.
4 Click Compute. The Worst Case results are displayed in a list window.
The Worst Case columns are shown as follows.
Forex Variance Yes
Credit Risk Spread Yes Yes Yes Yes
Table 35-7 Data to Stress Criteria. (Sheet 2 of 2)
Currenc
y
Sector Rating Family Issuer
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Viewing the Aggregate of Option Positions by Maturities and Strikes
You can display a matrix corresponding to the graph of the Option position function
by using the OTC quotation patterns that you have defined. This gives you an
aggregate view of the option position for a given portfolio, according to the
maturities and strikes defined in the quotation pattern.
To view the aggregate of option positions:
1 Select a portfolio.
2 Select OTC (the name of the model defined) from the Quotation menu to
display the matrix view of the position (OTC in our example).
The products, quantities, prices and greeks are aggregated by maturity and
strike.
To display the positions at 1 year:
use the arrows from the drop-down list to get to the desired maturity and
strike range.
Note: You can apply the risk matrix on an OTC instrument or an entire portfolio.
To choose the folio of a new option deal window from the Position window:
1 Click the Positions from the portfolio to display the Position window.
2 Click a value in the Position window and press Ctrl+N to display the Deal
input window.
3 Enter the quantity to buy
4 Enter the quantity to sell
5 Choose the Folio in which the deal is saved ('Folio' field).
Listed Options
For listed options, you can aggregate the position where only the listed options are
taken into account.
Table 35-8 Worst case list column description.
Name Description
Underlying(s) Name of the underlying(s).
Delta Delta of the underlying instrument.
Underlying Delta of the underlying.
Volatility Volatility of the instrument.
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To display listed options aggregated by position:
1 Select the corresponding portfolio, or click on the Positions button.
Note: Strikes and maturities can be modified directly in the matrix, as with an OTC
quotation grid.
Displaying Interest Rate Hedges
To display interest rate hedges:
1 In the Data menu, select Currencies. The Currencies window is displayed.
2 Click on the arrow on the left of the currency to access the following
sub-folders:
- Kind of rate curves
- Category of rate curve
- Curves
- Breakdown
- Places
- Reference currency market
- Foreign market
Table 35-9 Listed options.
Item Description
Scroll bar The scroll bar of the Position window works strike by strike.
When this window is open and the scroll bar is present,
clicking on the arrows on the scroll bar will change the
strike one by one.
Strike at the maturity It is possible to view matrixes corresponding to the strike
at the maturity by right-clicking in the cells containing the
Greek values of the call or put, or by left-clicking in the
cells, which will give the corresponding matrix from the GL
feed.
Window reopening On reopening of the Position window, the system saves the
last position, the first strike and the way the window was
previously displayed.
Font modification It is possible to change the font within the Position
windows by right-clicking below the maturity date. When
the font has been changed, the window will resize
accordingly.
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Note: If there are no breakdowns associated with a currency a breakdown must be
created.
To create a new breakdown:
1 Select the breakdown folder
2 Click on the New button or press Ctrl+N
In the bucketing window that is displayed, you can enter a list of interest rate
products having different maturities. These products will be used to cover the rate
risk of the selected portfolios, time bucket by time bucket.
Note: The Bucketing window can be saved under a different name.
To use this breakdown for calculating the interest rate hedge
1 Select the breakdown by pressing Alt + click on the line of the breakdown.
2 Select User in the Rate Risk according to pop-up menu
3 Open your portfolio and select a line or a folio
4 In the Analysis menu, select Rho / Maturity and select the currency
associated with your breakdown
A chart is produced that indicates the exact number of derivatives you
should use to cover the rate risk of the line (or the folio) that you selected
previously.
Note: In the Rho tab of the Preferences sub-menu ('File' menu), you can perform
one of the following tasks:
Viewing the Components of Stock Loans
Stock loans consist of three components: the underlying stock or index, the
collateral, and the loan commission. You can view these components in two ways:
Viewing the Stock Loan Components for an Instrument on page 567,
displays the number of deals, stock loans, and collateral for a selected
instrument.
Note: Stock loans are included in both reports only if they are part of a
loaded portfolio.
Viewing the Stock Loan Components for an Instrument
To view the stock loan components for a selected instrument:
1 Select an instrument in an Instrument window.
2 Choose SL Instrument Status from the Data menu.
The Stock Loans Report Parameters dialog box appears.
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Figure 35-8 Stock Loans Report Parameters
3 In the Start Date field, enter the first date to be included in the report.
4 In the nb days field, enter the time period for the report. The default time
period is five days.
5 Select Without internal counterparty to exclude stock loans from specific
counterparties from the report.
To specify the counterparty, enter the name of the counterparty in the field
beside the Without internal counterparty checkbox.
Note: You can exclude multiple counterparties with similar names by using a
wildcard (*). For example, internal* would exclude all counterparties
whose name started with internal.
6 Click OK. The SL Instrument Status screen is displayed.
The SL Instrument Status window is divided into the following four panes:
- The first pane (topmost in the window) shows the stock loans and deal
positions for the selected instrument, grouped by portfolio.
- The second pane shows the stock loans and deal positions for the
selected instrument, grouped by counterparty and portfolio.
- The third pane lists the collateral that was used to secure the stock loans.
Instruments are included as collateral in this pane if the business event of
the deal matches the business event that has been defined as Collateral
on the Corporate Action pane of the Back Office Parameters window.
- The fourth pane shows totals for the selected instrument for each day in
the report period. The totals are calculated as the total of the number of
instruments by book, the total number of stock loans for the instrument,
and the total amount of collateral used to secure the stock loans. A total
of all of these is also calculated for each day in the report.
Instruments will appear in the report for each day in the report period,
starting from the value date specified in the Deal Input window.
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Stock Loan Reports
The following Stock Loan reports are available:
Viewing the Stock Loan Components for an Instrument displays the
number of deals, stock loans, and collateral for a selected instrument.
Viewing the Positions of Stock Loans by Portfolio displays the positions of
the underlyings of the stock loans within a portfolio.
Stock loans are included in both reports only if they are part of a loaded portfolio.
Viewing the Stock Loan Components for an Instrument
To view the stock loan components for a selected instrument:
1 Select an instrument in an Instrument window.
2 Choose SL Instrument Status from the Data menu.
3 This calls the Stock Loans Report Parameters dialog box:
Figure 35-9 Stock Loans Report Parameters dialog.
4 In the Start Date field, enter the first date to be included in the report.
5 In the nb days field, enter the time period for the report. The default time
period is five days.
Note: Select Without internal counterparty to exclude stock loans from
specific counterparties from the report.
To specify the counterparty, enter the name of the counterparty in the field
beside the Without internal counterparty checkbox.
You can exclude multiple counterparties with similar names by using a
wildcard (*). For example, internal* would exclude all counterparties whose
name started with internal.
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6 Click OK.
7 This calls the SL Instrument Status screen:
Figure 35-10 SL Instrument Status window.
The SL Instrument Status window is divided into the following panes:
The first pane (topmost in the window) shows the internal stock loans and
positions for a selected share. An internal stock loan is a deal on a stock
loan using an internal counterparty.
To display the internal stock loans for a selected share, enter the name of an
internal counterparty in the field beside the Without internal
counterparty check box within the Stock Loans Report Parameters
dialog. The Without internal counterparty check box must be clear. This
displays all the internal stock loans with the specified counterparty. If you do
not specify a counterparty, only the positions on the selected share are
displayed.
The second pane shows the stock loans and deal positions for the selected
instrument, grouped by counterparty and portfolio.
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The third pane lists all the deals on the selected share with the business
event that has been defined as collateral on the Corporate Action tab of
the Back Office Parameters window.
The fourth pane shows totals for the selected instrument for each day in the
report period. The totals are calculated as the total of the number of
instruments by book, the total number of stock loans for the instrument,
and the total amount of collateral used to secure the stock loans. A total of
all of these is also calculated for each day in the report.
Instruments appear in the report for each day in the report period, starting from the
value date specified in the Deal Input window.
The Stock Loan Blotter can be launched within the SL Instrument Status
window. Double-clicking a quantity in any of the three panes will launch the blotter
with some information predefined.
The amount of information that is predefined for the deal depends on the pane in
which the blotter was launched. For example, if you double-click a stock loan
quantity in the second pane, the share and counterparty will be predefined. The
Value Date is predefined as the date of the column in which you double-clicked.
Double-clicking a shares name displays the movements for that share.
Viewing the Positions of Stock Loans by Portfolio
To view the positions of stock loans within all loaded portfolios:
1 Select SL Position from the Analysis menu. This calls the Stock Loans Report
Parameters dialog:
Figure 35-11 Stock Loans Report Parameters dialog.
2 Enter the first date to be included in the report in the Start Date field,.
3 In the nb days field, enter the time period for the report. The default time
period is five days.
4 Select Without internal counterparty to exclude stock loans from specific
counterparties from the report.
5 To specify the counterparty, enter the name of the counterparty in the field
beside the Without internal counterparty checkbox.
6 You can exclude multiple counterparties with similar names by using a
wildcard (*). For example, internal* would exclude all counterparties whose
name started with internal.
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7 Click OK. This calls the SL Position window:
Figure 35-12 SL Positions window.
The SL Position window shows the positions of the underlyings of all the stock loans
within all loaded portfolios. The number of underlyings is displayed for each day in
the specified time period. Underlyings appear in the SL Position window from the
value date specified in the Deal Input window.
You can sort the SL Position window by place by clicking the Place column.
Note: you can launch the Stock Loans Report for a position by double-clicking a
position in the SL Positions report. Viewing the Stock Loan Components for an
Instrument on page 569.
Cash Flow Diagram
The Cash Flow Diagram analysis gives you the cash flow for an instrument with no
volatility.
The cash flow is calculated in the following two ways:
For cash delivery, flows are calculated as the intrinsic value at maturity, paid
at the corresponding settlement date
For physical delivery it is the value minus the strike paid at maturity
Note: For Monte Carlo options there is no distinction between cash and physical
delivery. All flows are calculated as the intrinsic value at maturity.
Table 35-10 Cash Flow Diagram Columns
Columns Description
Date Date of the flow.
Amount Amount of the flow
Original Currency Original currency of the cash flow.
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Original FX Original FX rate of the cash flow.
Present Value The present value of the cash flow.
CCY The present currency of the cash flow.
FX Rate The present FX rate of the cash flow.
Table 35-11 Cash Flow Diagram Fields
Fields Description
Date The date of the calculation.
Main Currency The main currency of the instrument.
Present Value Present value of the instrument.
Duration The duration of the instrument, A measure of a
instruments price sensitivity to changes in interest rates.
YTM Yield-to-maturity of the instrument.
Sensitivity (%) Variation of the theoretical price for a 1% variation in the
yield curve.
Convexivity (%) The convexity of the instrument related to YTM. The
convexity reflects how the bond's yield changes in
response to a change in price.
Mod. Duration Modified duration of the bond. This is a measure of the
price sensitivity of a bond to interest rate movements.
Over rate You can use this field to simulate a rate change and see its
effect on the cash flow.
Rho (%) Sensitivity of the instrument to a change in interest rate.
Convexivity (%) The Convexivity of the instrument related to Rho.
All Cash Flows Show all cash flows.
Same Currency Show cash flows with the same currency as the Main
currency.
Simplified For simplified flows, the flows are given for a group of
pre-set periods. For flows that fall before or after the
specified periods, the amounts are split up between the
closest flows, relative to the time period. For example, if
there are flow periods at 6 months and 1 year, and a
simplified flow at 9 months, 50% of the flow is allocated to
the 6 month flow and 50% of the flow is allocated to the 1
year period. The flows are based on the coupon frequency
of the instrument.
Table 35-10 Cash Flow Diagram Columns
Columns Description
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Chapter 36 Analytical Graphs
This section describes the use of analytical graphs.
Clauses Effect Analysis on page 575
Clauses Effect Analysis on page 575
Displaying the Pricing Surface on page 577
Adjusting the Pricing Surface 2D Graph on page 579
Adjusting the Pricing Surface 3D Graph on page 579
Viewing the Monte Carlo Graph on page 583
Clauses Effect Analysis
The Clause Effect analysis evaluates the effects of clauses on a derivatives value.
This analysis supports the following clause types:
UpOut
DownOut
UpIn
DownIn
Barrier
Call
Put
OverVolatility
By default, this analysis produces a bar chart, as shown in figure 36-1. However, the
graphical output is customisable and you can view the chart as an area chart or line
chart.
When the analysis is run, the graph contains a bar representing the theoretical price
and additional bars that represent the price recalculated without each clause. The
name of the removed clause is displayed below the relevant bar.
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Figure 36-1 shows an Clause Effect analysis on a barrier option with an UpOut and
a DownOut clause. From left-to-right, the three bars represent the theoretical, the
price with the options UpOut barrier removed, and the price with the options
DownOut barrier removed. The DownOut bar was clicked to show the numerical
value of the bar.
Figure 36-1 Clause Effect Analysis on Double-Barrier Option
To run the Clauses Effect analysis, do the following:
1 Open an instrument with relevant clauses defined. The instrument must be
opened in a dialog, such as the General or Standard options dialog to run
this analysis.
2 In the Analysis menu, click Clauses Effect.
A chart is displayed showing the effect of the defined clauses on the pricing
of the derivative, as shown in figure 36-1.
3 Click on any bar in the chart to see a numerical disply of the calculated
value.
4 Double-click anywhere on the chart to open a dialog that allows you to
customise the look and feel of the graph, as shown in figure 36-2.
This dialog allows you to change the look-and-feel of the output, the axes
scale, and enables the exporting of the chart to formats such as .bmp or
.jpg files.
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Displaying the Pricing Surface
The Pricing Surface graph visually represents the lattice structure used by
tree-based methods to calculate the derivative theoretical price. It enables you to
view, within the entire lifetime of the product, the anticipated conversion, the final
redemption and the various final conversion possibilities. The different types of
clauses are included in the graph.
The Pricing Surface is not available for products that are not handled by tree-based
methods, such as Simple and Average Cox or Trinomial. Examples of these products
are Cliquet options and Asian options.
To display the Pricing Surface Graph:
1 From the Instruments menu, select Stock Derivatives.
The Stock Derivatives window is displayed.
2 Double-click on an item in the Stock Derivatives list.
The definition window of the item is displayed.
3 From the Analysis menu, select Pricing Surface.
A sub-menu is displayed, allowing you to select either a 2D or 3D graph.
4 Select the required graph style.
The appropriate graph is displayed:
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Figure 36-3 2D graph.
Figure 36-4 3D Graph.
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Adjusting the Pricing Surface 2D Graph
You can alter the parameters of the 2D graph by right-clicking in the graph window.
The available features match those in the Main Window Graphs toolbar:
Scale - Logarithmic or Arithmetic
Mode - Normal or 100 based
Zoom In
Zoom Out
Look at - display the corresponding date, spot value and the calculated
option value of a point in the graph
Draw
Note: The date illustrated in the 2D graph is the last given date
Refer to the Financial Models Reference Manual, Optimisations, for details on the
effect of simple, bottom and top optimization on data that is illustrated in the graphs.
Adjusting the Pricing Surface 3D Graph
You can alter the parameters of the 2D graph by right-clicking in the graph window,
or by changing the details in the top section of the Graph window.
Table 36-1
Item Description
x-axis Represents time
y-axis Represents the underlying value
2D Graph
black points Indicate that the product will be redeemed
blue points Indicate that the product will be converted due to the issuer
green points Indicate that the product will be converted due to the bearer
red points Indicate a ceiling in case of redemption
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3D Graph Window Options
Figure 36-5 3d Graph Dialog Toolbar.
The colour of graph point refers to the optimal strategy for the holder of the
derivative:
Table 36-2 3D Graph Window Options.
Field Contains
Date min: Beginning date
max: Completion date
stape: Number of date steps illustrated in the graph.
Spot Stape: Number of spot steps illustrated in the graph
Ech Log: Either normal price or logarithmic curve for
spot values.
Option Option Ech Log: Either normal price or logarithmic
curve in the main graph.
Colour Defines the colours associated with each element of the
graph. Select an item from the drop-down list, to open a
colour chart for that item.
Nothing
Refunding
Reached a maximum
Exercise
Default
Desk
Graph Back
Graph Fore
Shadow
Text
X Axis
Y Axis
Z Axis
XY Back
Y Back
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Table 36-3
Colour Description
Green Keep the derivative and wait.
Blue Early exercise - for American Puts and Convertible bonds, for
instance.
Red Forced early exercise - a Cap clause or an issuer Call is
triggered.
Black The Issuer Put is exercised or the convertible bond is
redeemed at maturity.
Yellow Other cases (user-defined models).
Table 36-4
Option Description
Viewing Style Colour or Monochrome.
Font Size Large, Medium or Small.
Numeric Precision No decimals, 1 decimal, 2 decimal or 3 decimal places used.
Grid Lines Both X and Y axes, X axis, Y axis or no grid.
Show Bounding Box While rotating (using the window scroll bars), always or never.
Show Annotations Display each date line in the graph.
Rotation Animation Begin the automatic rotation animation of the graph.
Rotation Increment Choose the degree steps to use in rotation.
Rotation Detail Wire Frame, Plotting Style or Full Detail illustrated.
Plotting Method Choose from: Wire Frame, Surface, Surface with Shading, Surface
with Contouring or Pixels.
Shading Style White or Colour.
2D Contour Contour Lines on Top or Bottom, Contour Colours on top or bottom
or no contours.
Maximise Enlarge the graph to full screen - press Esc to close maximised
screen.
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Exporting Graphs
You can export 3D Graphs in three different formats:
Metafile
BMP
Text/Data only
To export a graph:
1 Right-click on the 3D Graph window.
2 From the resulting sub-menu, select Export Dialog...
The Exporting dialog box is displayed.
Customisation Dialog Opens a graph customisation dialog, allowing you to specify further
preferences for the graph.
Table 36-4
Option Description
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3 Specify the format, size and destination of the file.
4 Click Export. The graph is exported as specified.
Viewing the Monte Carlo Graph
The Monte Carlo Graph deals with the calculation of the average E(X) of a random
variable X.
In this case, it is advisable to simulate a random variable according to the principle
of X. The process supposes the existence of a sequence of random and independent
variables (Xi,), according to all of the laws of X. Therefore, the simulation sequence
of random and independent variables is returned, according to a uniform law on the
interval [0,1]. The result is, E(X) is determined by:
The following instructions do not enable the Pricing Surface facility in the Analysis
menu.
1 Double-click on the line Stock Derivatives
A dialog box appears
2 Select Monte Carlo in the drop-down menu Number of points.
3 Click on the button Param.
4 In menu Analysis, select Pricing Surface.
"2D"The Monte Carlo graph is displayed:

The first two fields 'Min' and 'Max', define the calculation absolute interval, minimum
and maximum values.
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Both of these can be modified
The third field indicates the number of the interval. Select the type of chart with the
'Curve Type' drop-down menu. The 'Colour' field determines the colours used in the
graph.
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Chapter 37 Maturity Analysis
This section describes the various Maturity analyses. The following analyses are
described:
Correlation/Maturity on page 585
Detailed Correlation Maturity on page 586
Epsilon maturity on page 586
Family Rho/Maturity on page 586
Future Maturity on page 586
IR Vega maturities on page 587
Repo/Maturity on page 588
Smile/Maturity on page 588
Strike/Maturity on page 589
Vega Maturity/Spot on page 589
Vega/Maturity on page 591
Vol Matrix/Maturity on page 592
ZC Rho/Maturity on page 592
Correlation/Maturity
This scenario enables to visualize the sensitivity per underlying and per maturity in
term of correlations. The maturities used in this scenario are the one defined at the
interest rate curve level. The Correlation/Maturity analysis is the projection into
different maturities of the risk toward the correlation factor.
Note: The Correlation/Maturity Analysis does not work on Basket Options.
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Detailed Correlation Maturity
This scenario enables you to visualize the sensitivity per underlying and per maturity
in term of correlations. For each underlying, Sophis details the sensitivity according
to all other underlyings. The maturities used in this scenario are the one defined at
the interest rate curve level.
Epsilon maturity
This scenario displays the graph of the Epsilon (that is to say the sensitivity of a folio
according to the dividends) according to maturities. The Epsilon / Maturity menu
option generates a table detailing the dividend risk (epsilon) according to the
maturity.
To run a Epsilon/Maturity analysis:
1 In the Analysis menu, select Epsilon/Maturity
2 In the Rho tab of the Preferences sub-menu ('File' menu), perform one of
the following tasks:
Family Rho/Maturity
This scenario returns a detailed calculation of Rho by separately adjusting the curve
families of each instrument in a portfolio. RISQUE adjusts the curve family of each
instrument before performing rho analysis and then displays the results for each
instrument.
Future Maturity
This scenario uses maturities defined in the template selected in the preferences (tab
rho pop-up 'rho'). If no template is defined, it uses the maturities at the interest
rate curve level. For each maturity, Sophis simulate a variation of 1 point in the
prices of futures and then displays the impact on the P&L.
Table 37-1 Tasks
Tick If you want to
Screen Output Convert the graph into a matrix
By Underlying Convert the graph into a matrix with the breakdown by
underlying
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This function retrieves the sensitivity (the positive/negative variation) of an
instrument price according to a simulation scenario that calls a derivative model to
specify the financial model to be used ('Quotation' menu, refer to Chapter 18 Bulk
pricing).
The scenario associated with the Future/Maturity functionality can be selected in the
'Vol' drop-down list box in the RISQUE preferences ('File' menu, 'Preferences'
sub-menu, 'Rho' tab, refer to Setting preferences for portfolios).The scenario will
simulate the increase of one point of the future price for a given maturity and
determine the price variation of the selected instrument or portfolio.
To view the sensitivity of an instrument price according to a simulation:
1 In the Analysis menu select Future Maturity.
The Future Maturity window is displayed, as shown in figure 37-1.
Figure 37-1 Future Maturity Window
IR Vega maturities
The interest rate analysis options allow you to split the volatility exposure by
maturities.
The following Interest Rate analyses are available:
IR Vega/Maturity (Cap)
IR Vega/Maturity (Caplet)
IR Vega/Maturity (Swaption)
Selecting one of the Interest Rate analyses, displays the following dialog:
Figure 37-2 IR Analysis Dialog
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This dialog is the same for all Interest Rate analyses and allows you to define the
fields as described in table 37-2:
Repo/Maturity
This scenario displays the sensitivity according to the repo rates per underlying and
per maturity. The maturities used in this scenario are the one defined at the interest
rate curve level.
The repo for a share is defined at the share level and the repo cost of a bond is
defined in the rate curve window. When launching this scenario on a bond's future,
the user must deselect the preference 'by underlying' in the rho panel in order to
produce results.
Smile/Maturity
This scenario displays the risk matrix applying a shock on the smile in and out of the
money. For in the money strikes, one increase the volatility with 1 point every 10%
and for strikes out of the money, one decrease the volatility with 1 point every 10%
of strike.
The Smile / Maturity menu option generates a volatility skew risk analysis matrix by
time- and strike-bucketing. Select time- and strike -bucketing from the OTC fair
price matrix, defined in the Model tab for risk calculation/Vol.
For a given maturity, at-the-money volatility remains the same. The volatility for the
in-the-money strikes is increased by one more point for each ten per cent in the
strikes and decreased by one more point for each ten per cent in the strikes for the
out-of-the-money strikes, where both in- and out-of-the-money are considered from
a call perspective.The portfolio is recalculated using the shifted volatility surface. The
delta of profit and loss is grouped by strike and maturity.
Table 37-2 Interest Rate Analysis Fields
Field Description
Analysis Currency Select the currency you want to analyse.
Family Select the Yield Curve Family linked to the chosen currency.
Vega option Grid Selection of Option Lists. See Derivative and Option Lists
on page 275 for more information. To find the maturity you
intend to use for the breakdown.
Vega Swap Grid Selection of Option Lists. See Derivative and Option Lists
on page 275 for more information. To find the maturity you
intend to use for the breakdown.
Over volatility Specify the over-volatility here. For more information on
over-volatility, see the Financial Model documentation.
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Note: You can choose to display the results in monetary units or in thousands ticking
the P&L in Monetary Unit option in the Display tab of the Preferences menu.
To run the Smile/Maturity analysis:
1 Select Smile/Maturity from the Analysis menu
Strike/Maturity
This scenario displays the Vegas of a portfolio per underlying, per maturities and per
strikes. This scenario uses maturities and strikes defined in the template selected in
the preferences (tab Rho pop-up 'Vol'). If no template is defined, it uses the
maturities and strikes at the volatility of the underlying level.
The Strike/Maturity menu option aggregates in a risk analysis the corresponding
values by time- and strike-bucketing.
To run a Strike/Maturity analysis:
1 Select Strike/Maturity in the Analysis menu.
Vega Maturity/Spot
This scenario displays the vegas of a portfolio according to maturities for different
spot levels. For different spots of the underlying, this scenario displays the vega
mapped on the two nearest maturities.
To open this scenario, as shown in figure 37-3, select the Vega Maturity/Spot
scenario from the Analysis menu.
Table 37-3 Strike/Maturity Preferences
The model selected in Applies to
Rho tab in Preferences
sub-menu
ZC/Maturity
Volatility tab in Preferences
sub-menu
FWD/Maturity
Smile/Maturity
VolMatrix/Maturity
Strike/Maturity
Correlation/Maturity
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Figure 37-3 Vega Maturity/Spot Window
To specify parameters for this scenario, press Ctrl when clicking Vega
Maturity/Spot. This opens the Vega Maturity/Spot Parameters dialog, as
shown in figure 37-4.
Figure 37-4 Vega Maturity/Spot Parameters Dialog
Table 37-4 describes the fields of the Vega Maturity/Spot Parameters dialog.
Table 37-4Vega Maturity/Spot Parameters Dialog Fields
Field Description
Reference The underlying used for the spot simulation and the volatility
curve to define the maturities and to compute the vegas.
Central Spot The spot used to calculate the different spot levels with
respect to the increment and increment type parameters.
Steps The number of spots on the right and the left of the central
spot.
Increment The increment value used to compute the different spot
levels.
Increment Type The type of the increment value. This can be one of the
following:
In Percent
In Amount
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The vega displayed in this scenario can be a vega market or a standard vega. This is
set by the Bump Volatility Market Plots In Scenario preference of the Forex tab
of the Preferences dialog. By default, the vega is not weighted. You can select the
weighted vega using the Gamma / Vega button on the toolbar, as shown in
figure 37-5.
Figure 37-5 Gamma / Vega Button
Note: The vega displayed is in the currency of the portfolio and without decimal
places.
Vega/Maturity
This scenario displays the Vegas of a portfolio according to maturities. This scenario
uses maturities defined in the template selected in the preferences (tab Rho pop-up
'Vol'). If no template is defined, it uses the maturities at the volatility of the
underlying level.
The Vega / Maturity menu option generates the vega risk graph, according to
maturity. Hence, you successively change the volatility for all options with a maturity
of less than 2 months, then 3 months, and so on, up to 10 years.
It is possible to specify a folder by selecting the folder in the portfolio and then apply
the Vega / Maturity graph. By default, the root portfolio will be taken into account.
Shape of the variation
To change the shape of the variation:
1 In the File menu, select Preferences.
2 Click on the Volatility tab.
3 Choose the 'Shape of variation for Evaluation Vega' (triangular or
rectangular).
Note: Refer to the Financial Models Reference Guide for more information on
the shape of variation.
4 In the Rho tab of the Preferences sub-menu (File menu), perform one of
the following tasks.
Table 37-5 Shape of Variation Tasks
Tick If you want to
Screen Output Convert the graph into a matrix
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Vol Matrix/Maturity
This scenario displays the Vegas of a portfolio per underlying, per maturities and per
strikes. This scenario uses maturities and strikes defined in the template selected in
the preferences (tab Rho pop-up 'Vol'). If no template is defined, it uses the
maturities and strikes at the volatility of the underlying level.
The VolMatrix/Maturity menu option generates a volatility risk analysis matrix by
time- and strike-bucketing.
Select time- and strike -bucketing from the OTC fair price matrix, defined in the
Model tab ('File' menu, 'Preferences' sub-menu) for risk calculation/Vol.
For a given strike/maturity combination, the spot volatility is shifted by one per cent
according to the triangle or rectangle method selected in the Shape of variation for
Evaluation Vega group-box from the Volatility tab of the Preferences menu.For more
details on this method, refer to the Financial Models Reference Guide.
The portfolio is recalculated using the shifted volatility surface. The delta of profit
and loss is grouped by strike and maturity.
To run a VolMatrix/Maturity analysis:
1 Select VolMatrix/Maturity in the Analysis menu.
Note: You can choose to display the results in monetary units or in
thousands ticking the P&L in Monetary Unit option in the Display tab of the
Preferences menu.
ZC Rho/Maturity
This analysis generates a scenario by changing the zero coupon rates. Sophis
displays the P&L variation per currency and per maturity. This scenario uses
maturities defined in the template selected in the preferences (tab Rho pop-up
'Rho'). If no template is defined, it uses the maturities at the interest rate curve
level.
The ZC Rho/ Maturity scenario generates an interest rate risk analysis matrix, by
time-bucketing and by currency.
Select 'time-bucketing' from the OTC fair price matrix, defined in the Model tab of
the Preferences for risk calculation/Rho. For more information on Preferences, see
the Administration Guide.
The shift in the level of the rate curve is defined in the Rate Risk according to pop-up
menu, in the Rho tab of the Preferences menu.
By Underlying Convert the graph into a matrix with the breakdown by
underlying
Table 37-5 Shape of Variation Tasks
Tick If you want to
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To run a ZC/Maturity analysis:
1 Select ZC/Maturity in the Analysis menu
The portfolio is recalculated using the shifted rate curve. The delta of profit
and loss is grouped by currency and maturity.
Note: You can choose to display the results in monetary units or in
thousands ticking the P&L in Monetary Unit option in the Display tab of the
Preferences menu.
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Chapter 38 Credit Analysis
The following scenarios are available for credit based products.
Credit (Exposure)
The following scenarios are available from the Credit Hedge menu item:
- Credit (Hedging)
- Credit (Market)
- Credit (Recovery Rate)
- Credit (Total Loss)
- Credit (Zero Coupon)
The credit scenario results are presented hierarchically. The different levels
corresponding to the currencies, issuers, default events and seniority.
Credit Exposure
This scenario show the total exposure to credit risk. The exposure we consider here
is the sum of the nominal of credit risky instruments. The results are grouped by
currency, represented as rows in the table, and by seniority, represented by columns
in the table.
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Figure 38-1 Credit Risk Exposure.
Credit (Recovery Rate)
The columns represent the different currency risk sources, with the following
hierarchical levels:
Issuer
Default Event
Seniority
The Credit Recovery Rate scenario computes the sensitivities of a portfolio to a bump
of the recovery rate without recalibration. A bump is performed for each risk source
of the portfolio (issuer, currency, default event, seniority) according to the
preferences (shape and size of the bump).
The Equity category is used to group credit risk exposure of issuers that are related
to the same equity. For instance General Motor has several financial subsidiaries, we
can define each of them as an issuer; define different credit risk data for each of
them, and later group the credit risk scenario results for these issuers under the
same parent equity.
There are many situations where it will be simpler to define the credit risk data
directly at the level of the equity and to not use define issuers. In this cases, the
issuer corresponds to the equity, and all results are grouped under the Pure Equity
folder as a first level.
If an issuer has been defined, but it has no related equity, the scenario results will be
stored in the No related issuer first-level folder.
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Credit Zero Coupon, Credit Market and Credit Hedging Scenarios
In these scenarios, the columns represent the different maturities of the bucket
analysis grid and the hierarchical levels are:
the issuer
the default event
the currency
the seniority
The Credit Zero Coupon scenario allows the user to decompose the portfolio credit
risk into
sums of sensitivities, in the currency of the portfolio, for each issuer, currency default
event, seniority of the portfolio and for a set of maturities. The calibrated CDS rate
curve is bumped at the desired maturities according to the preferences (shape and
size of the bump) and for each risk source of the portfolio.
The Credit Market scenario also allows the user to decompose the portfolio credit risk
into sums of sensitivities, in the currency of the portfolio, for each issuer, currency
default event, seniority of the portfolio and for a set of maturities. The difference
with the Credit Zero Coupon scenario is that the market CDS rates are bumped
between the grid maturities, and a recalibration of the curve is performed to
compute the sensitivity.
Credit Hedging
The Credit Hedging scenario gives a method of hedging at the market plot maturities
for each risk source.
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Figure 38-2 Credit Hedging.
Credit total loss
This scenario computes the P&L variation supposing that a credit default event
occurs. Several results are presented, depending at which date we expect the default
to occur. The scenario is computed for each issuer, and results are, as before,
grouped by issuer and possibly their reference equity.
The columns represent the reference dates. The scenario supposes that the
probability of default of the issuer increases almost linearly until it reaches 1 at the
date corresponding to the column. In other words, the default occurs somewhere
between today and the date of the column.
Figure 38-3 Credit total loss.
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Chapter 39 Parametric Analysis
This chapter describes the parametric analyses. It contains the following sections:
Parametric VaR on page 601
Parametric Volatility Analysis on page 613
Parametric VaR
Value-at-Risk (VaR) is a measure of the maximum amount of potential loss for a
portfolio of assets over a specified time period under usual conditions.
Parametric VaR is a VaR calculation that reduces the risk calculations to one
equation, which takes a number of parameters. Calculating parametric VaR is less
time consuming than other VaR calculations.
Parameters for the parametric VaR portfolio analysis scenario are defined in a .csv
file. This file contains the following types of data:
A correlation matrix of all relevant data, typically spots and volatilities or
rates for all underlyings.
A vector of volatilities for this data.
Specifications for the time to maturity and the confidence level.
To calculate the parametric VaR, the Taylor expansion is used so that the P&L is
itemised by spot price, volatility, interest rate, inflation, and credit risk. This helps to
view the distribution of changes of the value of the portfolio.
Configuring and calculating the parametric VaR portfolio analysis scenario is
described in the following sections:
Creating a .csv File on page 602
Including Commodities in the Parametric VaR on page 603
Calculating the Parametric VaR on page 606
Viewing the Parametric VaR Results on page 610
Viewing Additional Parametric VaR Displays on page 611
Note: This analysis is only available if you have the parametric VaR module enabled.
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Creating a .csv File
To calculate the parametric VaR for a portfolio, you must first create a .csv file that
contains a vector of volatilities and a correlation matrix. RISQUE can create this file
by selecting Historic Correlations from the Data menu. For more information
about historic correlations, see Historic Correlations on page 615.
Figure 39-1 shows a sample .csv file.
Figure 39-1 A sample .csv file for parametric VaR calculations
The data in the file is defined in the following sections:
The Volatility Vector on page 602
The Correlations Matrix on page 603
The Volatility Vector
The volatility vector section defines the risk sources that are used to determine the
volatility used in the parametric VaR calculations. The columns of this section are
described in table 39-1. The column titles in the .csv file must be the same as those
listed in this table.
Table 39-1 Columns in the References and Volatilities Sections of the .csv File
(Sheet 1 of 2)
Column Description
col The column number.
ref type The universal reference defined in the Universal References dialog.
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The Correlations Matrix
The correlation matrix is defined after the volatility vector and contains the
correlations between the instruments listed in the volatility vector. This section is
defined in the cells immediately beside and below a cell populated with the word
correlation.
In figure 39-1, the correlation cell is A12. The correlation matrix is subsequently
defined in cells B13 to I20. In our example, there are eight underlyings, so there are
eight columns and eight rows required to define the correlation between each and
every underlying. Correlation values must be between -1 and 1 and only the
upper-right half of the matrix needs to be completed.
Including Commodities in the Parametric VaR
To include commodities in the parametric VaR analysis, you must define the required
commodities in a collection and maturities for that collection in the database. This
reduces the number of risk factors used in the parametric VaR calculation to the
futures of one specified commodity at a specified time. For each risk factor, you must
define a volatility type, maturity, and, for power commodities, the delivery load. The
contents of these database tables are not automatically written to by RISQUE. To
populate these tables, you must manually edit the database. These collections and
volatilities are defined in the tables described in table 39-2.
ref The instrument reference code.
type The risk source type. This can be defined as follows:
S spot
V volatility
R rate
C Credit Risk
B Breakdown for rho
I inflation
vol The associated log-normal annual volatility in percent. When V is
defined as the instrument type, this column defines the volatility of the
volatility.
Table 39-1 Columns in the References and Volatilities Sections of the .csv File
(Sheet 2 of 2)
Column Description
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Table 39-2 Commodity Parametric VaR Volatility Tables (Sheet 1 of 2)
Table Description
VAR_MCCOLLECTION_COMMO Contains the commodity parametric VaR
collections.
For example, to populate the Collec_BRENT
collection, as shown in figure 39-2, execute
the following SQL command:
insert into VAR_MCCOLLECTION_COMMO
(ident_collection, ident_commodity)
values ('Collec_BRENT,67114704)
where 67114704 is the internal code of the
BRENT ICE commodity.
VAR_MCCOLLECTION_MAIN_COMMO Defines the main commodity of each
collection. The futures of the other
commodities in the collection are based on
the main commodity.
For example, to define BRENT ICE as the
main commodity of the Collec_BRENT
collection, as shown in figure 39-2, execute
the following SQL command:
insert into VAR_MCCOLLECTION_MAIN_COMMO
values('Collec_BRENT', 67108903)
where 67114704 is the internal code of the
Brent ICE commodity.
VAR_MCCORRMAT_DESC Contains the data types, maturities, and
delivery load, if any, for each collection.
For example, to define a volatility of the
Brent collection, as shown in figure 39-2,
execute the following SQL command:
insert into VAR_MCCORRMAT_DESC
values(100, 'Collec_BRENT', 1, 500,
null)
where 100 is a unique identifier, 1 specifies
delta, and 500 is the maturity in days.
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To display the contents of these tables in RISQUE, do the following:
Choose Parametric VaR Volatilities from the Data menu.
The Parametric VaR Volatilities dialog is displayed, as shown in
figure 39-2.
Figure 39-2 The Parametric VaR Volatilities dialog
Table 39-3 describes the columns of the Parametric VaR Volatilities
dialog.
VAR_MCVOLATILITIES Contains the volatilities for each maturity.
For example, to define the first volatility
shown in figure 39-2, execute the following
SQL command:
insert into VAR_MCVOLATILITIES
values(100, 0.40)
where 100 is the unique identifier of the
volatility as defined in the
VAR_MCCORRMAT_DESC table and 0.40 is
the volatility.
Table 39-2 Commodity Parametric VaR Volatility Tables (Sheet 2 of 2)
Table Description
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Note: Maturities are only displayed in the Parametric VaR Volatilities dialog if the
volatilties are defined in the VAR_MCVOLATILITIES table in the database.
Calculating the Parametric VaR
To calculate the parametric VaR, select the portfolio in the Portfolio window and
choose Parametric VaR from the Analysis menu. The Parametric VaR dialog is
displayed, as shown in figure 39-3.
Table 39-3 Columns of the Parametric VaR Volatilities Dialog
Column Description
Collections The collections defined in the VAR_MCCOLLECTION_COMMO
table.
Commodities The commodities defined for each collection in the
VAR_MCCOLLECTION_COMMO table. The main commodity of the
collection, as defined in VAR_MCCOLLECTION_MAIN_COMMO, is
shown in bold. The futures of the other commodities in the
collection are based on this main commodity.
Data Type Lists the volatility type of the parametric VaR data, as defined in
the VAR_MCCORRMAT_DESC table. These data types are defined
as follows:
1 Delta
2 Vega
3 Rho
4 Currency
Load The delivery load of power commodities.
Maturity The maturities defined in the VAR_MCCORRMAT_DESC table.
Volatility The volatilities defined in the VAR_MCVOLATILITIES table.
Future The commodity futures of the main commodity of the collection
nearest to the maturity.
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Figure 39-3 The Parametric VaR dialog
Table 39-4 describes the fields in the Parametric VaR dialog. You can populate
these fields or load a saved scenario configuration by clicking Load Scenario, as
described in table 39-5.
Table 39-4 Fields of the Parametric VaR Dialog (Sheet 1 of 2)
Field Description
Time Horizon The length of the period for which the exposure of your
portfolio is calculated. Typically, this is a short period, such as
a day, a week, or a month.
Confidence Level Determines the size of the percentile that you want to
calculate. For example, if you choose 99% as confidence
level, a 1 percentile loss distribution is used and you are 99%
confident the loss will not exceed the VaR amount.
Correlation Matrix The .csv file that contains the volatility vector and
correlation matrix.
Calculation type Defines how the parametric VaR is calculated. Choose one of
the following:
Delta calculates the parametric VaR using the delta
risk sources.
Delta/Gamma calculates the parametric VaR using
the delta and gamma risk sources.
Extraction Criterion Defines how the results of the evaluation are listed. For
example, if you choose Account, the results are listed by
account.
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The Scenario Configuration frame of the Parametric VaR dialog enables you to
save, load, or delete the configuration in the Parametric VaR dialog.
Table 39-6 describes the buttons of the Parametric VaR dialog.
Consolidation Defines the consolidation portfolio to be used with the
correlation matrix.
For example, if you select Market, you only need to define
one volatility (and volatility of volatility) for each index
defined for a place. You can then define a correlation matrix
between the indexes.
Scenario
Configuration
Allows you to save, load, or delete the configuration in the
Parametric VaR dialog. In this frame you can do the
following:
Save saves the parameters that you have defined in
an XML file.
Load loads an existing configuration file.
Delete deletes a saved configuration file.
Entry point The portfolio on which the parametric VaR is calculated. By
default, this portfolio is the one you selected before choosing
Parametric VaR from the Analysis menu. If you did not
select a portfolio, it is defined as the root portfolio.
To change the entry point portfolio, drag and drop a portfolio
from the Portfolio window.
The field beside the Entry point field displays the reference
code of the entry point portfolio.
Breakdown for Rho Defines the breakdown group that is used to calculate the rho
value. The available breakdowns are taken from those that
are defined for the portfolios currency. If you do not specify a
breakdown, the currencys yield curve is used by default.
This field is only used when the calculation type is set to
Delta/Gamma.
Table 39-5 Scenario Configuration Buttons of the Parametric VaR Dialog
Field Description
Save Saves the parameters that you have defined in an XML file.
Load Loads an existing configuration file
Delete Deletes a saved configuration file.
Table 39-4 Fields of the Parametric VaR Dialog (Sheet 2 of 2)
Field Description
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Once you have defined the parameters in the Parametric VaR dialog, click
Evaluate. Before it calculates the parametric VaR, RISQUE checks the .csv file to
ensure that all required data is present. If data is missing, a warning message is
displayed and a file named ParametricVaRmissingData.txt is generated, detailing
the missing data, as shown in figure 39-4.
Figure 39-4 ParametricVaRmissingData.txt
The results of the parametric VaR calculations are shown in the VaR Results
window. For more information, see Viewing the Parametric VaR Results on
page 610.
Table 39-6 Buttons of the Parametric VaR Dialog
Field Description
Correl. matrix Opens the Correlations matrix and volatilities dialog. This
dialog shows a matrix of the correlations and volatilities of
the instruments that were calculated during your parametric
VaR calculations. For more information, see Correlations
Matrix on page 612.
Covar matrix Opens the Definite positive covariance matrix dialog.
This dialog shows a matrix of the covariance values
calculated for your positions. For more information, see
Covariance Matrix on page 612.
Delta vector Opens the First order sensitivities dialog. This dialog
shows a vector of the global sensitivities according to the risk
source. For more information, see Delta vector on
page 612.
Gamma matrix Opens the Second order sensitivities dialog. This dialog
shows a matrix of the rate at which the delta changes for
your positions. For more information, see Gamma Matrix on
page 613.
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Viewing the Parametric VaR Results
The parametric VaR results are displayed, according to the extraction criteria, in the
VaR Results window, as shown in figure 39-5. The VaR Results window displays
the VaR for the selected portfolio along with six other types of VaR measurements.
Figure 39-5 The VaR Results window
The rows in the VaR Results window are determined by the entry point and the
extraction criteria that you chose in the Parametric VaR dialog. Figure 39-5 shows
an extraction by instrument with the ROOT portfolio as the entry point.
When the VaR Results window is first displayed, the VaR results are only shown for
the entry point portfolio. To display the results for other rows, select the line and
click Calculate. For example, to display the VaR results for the shares in figure 39-5,
select the Shares row and click Calculate.
To expand all rows in the window, click Expand. To collapse them, click Collapse.
Table 39-7 describes the columns in the VaR Results window.
Table 39-7 Columns in the VaR Results Window (Sheet 1 of 2)
Column Description
VaR Global VaR, taking the delta, vega, and rho into account.
Delta VaR VaR, taking only the spots exposure into account.
Vega VaR VaR, taking only the volatilities of spots exposure into account.
Rho VaR VaR, taking only the interest rates exposure into account.
Credit VaR VaR, taking only the credit risks exposure into account.
Inflation VaR VaR, taking only the inflation exposure into account.
Delta/Vega VaR VaR, taking only the delta and vega into account.
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Viewing the Parametric VaR with Commodities
If commodities are included in the parametric VaR calculations, an extra toolbar
button is displayed on the VaR Results window, as shown in figure 39-6.
Figure 39-6 Commodity Delta Parametric VaR Toolbar
This button opens the Commodity Delta Parametric VaR or Commodity Delta
Gamma Parametric VaR window, which shows the parametric VaR calculation at a
commodity collection level. This window shows the delta or delta/gamma VaR by
maturity as displayed in the Parametric VaR Volatilities dialog. For more
information, see Including Commodities in the Parametric VaR on page 603.
Viewing Additional Parametric VaR Displays
You can also display specific aspects of the parametric VaR calculations in a number
of separate dialogs. These dialogs are described in the following sections:
Correlations Matrix on page 612
Delta vector on page 612
Covariance Matrix on page 612
Gamma Matrix on page 613
To display any of these dialogs, calculate the parametric VaR in the Parametric VaR
dialog and click the relevant button.
Crossed VaR Calculated using the following formula:
Shortfall The average value of the loss if the P&L of the portfolio goes
below the VaR. This is an important indicator because two
portfolios with the same VaR have not necessarily the same
average loss below this level.
Currency The currency of the displayed values.
Table 39-7 Columns in the VaR Results Window (Sheet 2 of 2)
Column Description
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Correlations Matrix
Clicking Correl. matrix in the Parametric VaR dialog displays the Correlations
matrix and volatilities window, as shown in figure 39-7. This dialog shows a
matrix of the correlations and volatilities of the instruments that were calculated
during the parametric VaR calculations.
Figure 39-7 The Correlations matrix and volatilities dialog
Delta vector
Clicking Delta vector in the Parametric VaR dialog displays the First order
sensitivities window, as shown in figure 39-8. This dialog shows a vector of the
global sensitivities according to the risk source.
Figure 39-8 The First order sensitivities dialog
Covariance Matrix
Clicking Covar matrix in the Parametric VaR dialog displays the Definite positive
covariance matrix window, as shown in figure 39-9. This dialog shows a matrix of
the covariance values calculated for your positions.
Figure 39-9 The Definite positive covariance matrix Dialog
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Gamma Matrix
Clicking Gamma matrix in the Parametric VaR dialog displays the Second order
sensitivities window, as shown in figure 39-10. This dialog shows a matrix of the
rate at which the delta changes for your positions. The Gamma matrix can only be
calculated if you have chosen Delta/Gamma from the Calculation type drop-down
list.
Figure 39-10 The Second order sensitivities dialog
Parametric Volatility Analysis
Parametric Volatility Analysis displays the volatility risk in term of sensitivities to
the parametric volatility parameters. For the hyperbolic model, the following
sensitivities are calculated:
ATM Volatility
Vol-
Vol+
Skew
Kurtosis
To run the Parametric Volatility Analysis, do the following:
1 Select Parametric Volatility Analysis from the Analysis menu.
The Parametric Volatility Analysis dialog is displayed, as shown in
figure 39-11.
Figure 39-11 Parametric Volatility Analysis dialog
2 Set the Parametric Volatility Model and Detailed Results fields.
3 Click OK.
The Parametric Volatility Analysis window is displayed, as shown in
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figure 39-12.
Figure 39-12 Parametric Volatility Analysis window
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Chapter 40 Historic Correlations
Historic correlations are the representation of the historical price fluctuations of a set
of instruments with respect to each other. This data is required to accurately
calculate the parametric VaR for a portfolio. The historic correlation data is saved as
a volatility vector and a correlation matrix.
The calculations use the historic price, as stored in the database, of a set of
instruments. The results are saved as a .csv file that can be used as the input for
the parametric VaR calculation.
Configuring and generating historical correlations is described in the following
sections:
Configuring Historic Correlations on page 615
Generating the Correlation Output on page 620
Oracle Tables on page 623
Configuring Historic Correlations
Historic correlations are configured in the Historic correlations dialog. To display
the Historic correlations dialog, select a portfolio and choose Historic
Correlations from the Data menu. The Historic correlations dialog is displayed,
as shown in figure 40-1.
Note: If you do not select a portfolio, historic correlations are calculated for your
entry point portfolio.
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Figure 40-1 The Historic Correlations dialog.
Table 40-1 describes the fields in the Historic correlations dialog.
Table 40-1 Fields in the Historic Correlations dialog. (Sheet 1 of 2)
Item Description
Backward Day Count Defines the number of historical prices to use in the
calculation. This cannot be less than 30 days
Latest Date Included Defines the day on which the backward count of historical
prices occurs. So that the time period under consideration
is:
[Latest Date Included, Latest Date Day Count + 1]
Reference The universal reference that will be used to identify the
underlyings of the portfolio. These references are written
to the .csv file. If no matching universal reference is
found for an underlying then its internal code is written to
the .csv file.
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Save to File The filename of the .csv file. The following patterns can
be used in specifying the filename:
%Y current year
%M current month
%D current day
%h hour
%m minute
%s second
For example, specifying Correlations-%D-%M-%Y.csv
generates a file similar to Correlations-30-09-2004.csv.
Scenario Configuration Click Save to save the scenario settings to the database.
To load a previously saved configuration, click Load and
to delete a configuration click on Delete.
Consolidation Defines which consolidation will be performed to find the
underlyings whose volatilities and correlations are needed
for Parametric VaR computation.
Note: You will have to select the same consolidation when
using the Parametric VaR
Breakdown list The breakdown list for which the historic correlations is
calculated.
Update Populates the Extraction Results section with all the
required underlyings for the Parametric VaR computation.
Remove Removes a selected underlying from the Extraction
Results section. When an underlying has been removed it
is not included in the Historic Correlation calculations.
Compute Computes the historic volatilities and correlations.
When the calculations are finished, a window is displayed
with the calculated values, the .csv file is generated, and
a log file is produced.
Output Displays the calculated correlation matrix.
Cancel Closes the Historic Correlations window
Table 40-1 Fields in the Historic Correlations dialog. (Sheet 2 of 2)
Item Description
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Extraction Results
When you click Update, the Extraction Results section is populated with all the
required underlyings of the portfolio necessary for the Parametric VaR calculation.
The Type column specifies the kind of computation that will be performed on the
underlying:
S - Volatility and correlations will be calculated using the history sequence of
last prices.
V - Volatility and correlations will be calculated using the history sequence of
volatilities of the last prices.
R - The underlying is a currency. In this case you can specify an interest rate
by choosing from the Rate drop down list. Calculations are based upon the
history sequence of the spot at the chosen rate.
C - The underlying is a credit risk. For the time being, no calculation is
performed for this kind of underlying, however by listing all that is necessary
for the VaR calculation, it is made easier for the user to add a specific
approximated value in the output .csv file.
If you edit the Type cell of an underlying that is neither a rate nor a credit risk, you
can choose to compute both S and V, or only S, or only V for the selected underlying.
The instrument associated with the underlying can be opened by double clicking the
underlying line in the Extraction Results section.
Generating the Historic Correlations
Once you have defined the report parameters and selected your extraction criteria,
click Compute button to launch the data retrieval and Historic Correlations
calculations. If these steps are successfully passed, the output file is saved and the
result matrix displayed.
You can recalculate the historic correlations at any time by clicking Re-Compute.
Note: Historic Correlations will only be generated if there are least 20 last values for
each underlying within the specified time period. Underlyings with less than 20
values are not included in the calculations and the volatility and correlations will be
set to 0 in the .csv file. This allows you to fill in any missing data with approximate
values.
Correlation Equations
when generating historic correlations, calculations are performed in the following
areas:
Sequences,
Volatility,
Correlations.
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Sequences
For each underlying, historic correlation calculations are based on the last price
sequence. Another sequence, to compute volatility, is calculated from it as:
In this equation, is the last price of the envisioned underlying at time . This
equation allows last price sequences of zero at some dates to take non-business
days into account.
In the correlation calculation below, two different underlyings are used and there
must be values that were calculated on the same dates to get meaningful results. In
order to fill in the blanks of this sequence, we use the following log-linear
interpolation:
Now that we have data for each date, the denominator in the formula is equal to 1
and the sequence can be seen as a sequence.
Volatility
The lognormal volatility formula is based upon the standard deviation formula, The
following example shows the formula for a sequence with n elements:
In the sequence , is the last price number, i, (since is a
day-to-day sequence of last prices built from the history data retrieved). To compute
the annualized volatility, as a percent, from a day-to-day sequence, the factor
100 is applied to the previously calculated standard deviation.
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Correlations
Please refer to the separate release note for information on how correlations are
calculated.
Generating the Correlation Output
When you calculate historic correlations, the following outputs are generated:
Correlation Matrix on page 620
CSV file on page 620
The Report Log File on page 622
Correlation Matrix
Once you have generated the historic correlations, the calculated correlation matrix
is displayed as:
Figure 40-2 The Correlation Matrix.
The resultant symmetric correlation matrix shows volatilities in blue on the
instruments diagonal instead of the 1 that is displayed for auto-correlations.
CSV file
The CSV file contains the vector of volatilities and the correlation matrix required to
calculate a parametric VaR.
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Figure 40-3 A sample. csv file.
The .csv file is divided in two parts:
Data and Associated Volatilities,
Correlation Matrix Data.
Data and Associated Volatilities
Beginning on the second row, this section lists the following:
Table 40-2 Columns in the .csv file. (Sheet 1 of 2)
Table
Column
Description
Ref Type
(Column B)
The universal reference type. If the underlying is a currency rate,
this cell is filled with (currency). If the underlying reference could
not be found, this cell is filled with (internal code) and the
reference field is set to the instrument SICOVAM.
Ref (Column C) Instrument Reference.
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Note: If history data could not be obtained for a given instrument, the instrument
appears in the output file, allowing you to complete the missing data (for example,
approximate relevant values or values from another source) before launching the
parametric VaR. In that case, volatility is set to 0.
Correlation Matrix Data
Appearing 3 rows after the last row of the first area, this Correlation Matrix section
lists all correlations between the underlyings defined in the first area. Only the upper
part of the matrix is relevant.
If no correlation could be calculated for a given underlying, the associated line /
column still appears in the matrix but is set to 0 (auto-correlations are set to 1).
The Report Log File
When you calculate historic correlations, a log file is generated in the same directory
as the RISQUE executable. This file details if there was any missing data, and how
many last values were found for each underlying.
Type
(Column D)
Defined as:
S for spot,
V for volatility
R for rates.
Vol (Column E) The associated lognormal annual volatility as a percent.
Table 40-2 Columns in the .csv file. (Sheet 2 of 2)
Table
Column
Description
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Figure 40-4 The report log file.
The log file is called HistoricCorrelationsReport.txt and is divided into the
following sections:
Missing History Data,
History Fetch Stats.
Missing History Data
The Missing History Data section contains messages that describe why data retrieval
failed for specific underlyings. Messages may also appear in this section not because
data retrieval has failed but that the number of last prices retrieved were too few to
perform a meaningful calculation.
History Fetch Stats
For each instrument whose data retrieval was successful, the History Fetch Stats
section gives the number of relevant history values that were found.
Oracle Tables
The Historic Correlations module stores scenario configuration in the
HISTORIC_CORREL_CONFIG table. This table is defined as:
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CREATE TABLE HISTORIC_CORREL_CONFIG (
ID NUMBER(10) NOT NULL,
NAME VARCHAR2(100),
START_DATENUMBER(10),
END_DATE NUMBER(10),
FILE_NAME VARCHAR2(256),
BUNDLE_NAMEVARCHAR2(100),
REFERENCE_TYPEVARCHAR2(100),
PRIMARY KEY (ID)
);
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Chapter 41 IR Delta Analysis
This chapter comprises the following sections:
Selecting the IR Hedge Analysis on page 625
Viewing IR Hedge Delta Breakdown Analysis on page 626
Viewing IR Hedge Delta Forward Analysis on page 627
Viewing IR Hedge Delta Swap Analysis on page 628
Viewing IR Hedge Delta Reset Analysis on page 629
Viewing IR Hedge Delta Zero Coupon Analysis on page 630
Viewing IR Hedge Vega Swaption on page 631
Before running a IR Delta Analysis, it is recommended that you specify your IR Delta
preferences. These preferences are described in the Administration Guide.
Selecting the IR Hedge Analysis
The IR Delta analyses are available from the IR Hedge item in the Analysis menu.
Select this item and the Interest Rate Hedge selection dialog is displayed:
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Figure 41-1 Interest Rate Hedge Analysis Selector dialog.
This dialog allows you to define the type of IR Hedge you want to analyse.
Viewing IR Hedge Delta Breakdown Analysis
The IR Delta Analysis (Breakdown) generates a scenario by calculating the number
of instruments needed to hedge the position where a list of hedging instruments are
provided. This list is defined at the currency level (Breakdown)
To run a IR Delta Analysis (Breakdown) scenario:
1 In the IR Hedge Type menu, select, Delta Breakdown.
The IR Delta Analysis (Breakdown) dialog appears.
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Figure 41-2 Delta Breakdown dialog.
2 Select the currency. The available Hedging types are defined on the
currency, in the Breakdown section. For more information on defining
currencies, see the Administration Guide.
3 Click OK. The IR Delta Analysis (Breakdown) graph is displayed.
Viewing IR Hedge Delta Forward Analysis
This scenario provides a bucket analysis of the interest rate risk. The series of bump
maturities are the default pricing yield curve of the selected currency maturities. If a
Rho quotation grid is defined, the grid maturities are used. The term structure of
forward rates of the interest rate selected is then directly bumped, maturity by
maturity, to obtain maturity-wise sensitivities.
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Figure 41-3 Delta Forward dialog.
Viewing IR Hedge Delta Swap Analysis
The IR Delta Analysis (Swap) generates a scenario exactly like the IR Delta Analysis
(Zero Coupon) but where the instruments are the Interest Rate futures (short term)
and swaps (long term) used to define the yield curve market plots. The maturities
used for this scenario are the one defined at the interest rate curve level.
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To run the IR Delta Analysis (Swap) on the portfolio:
1 In the IR Hedge Type menu, select IR Delta Swap.
Figure 41-4 Rho Analysis Swap Currency Analysis.
2 Select the currency.
3 Select the Yield Curve Family.
4 Click OK. The IR Delta Analysis (Swap) list is displayed.
Figure 41-5 IR Delta Analysis Swap result window.
This list shows the Yield Curve points against the sensitivity of the notional.
Viewing IR Hedge Delta Reset Analysis
The maturities used for this scenario are the one defined at the interest rate curve
level.
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This scenario applies only to instruments associated with a floating component with
an interest rate of the class CSRInterestRate or an interest rate derived from
CSRInterestRate using the method CSRInterestRate::GetCouponRate to compute
floating coupons (in particular, the scenario applies to the following rate classes:
CSRCMSRate, CSRLiborRate and CSRInverseFloater).
Figure 41-6 Delta Reset dialog.
Viewing IR Hedge Delta Zero Coupon Analysis
The IR Delta Analysis (Zero Coupon) generates a scenario by changing the zero
coupon rates. Sophis displays the P&L variation. This scenario uses maturities
defined in the template selected in the preferences (tab Rho pop-up 'Rho'). If no
template is defined, it uses the maturities at the interest rate curve level.
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Running IR Hedge Delta Zero Coupon
To view a IR Delta Analysis:
1 In the Analysis menu, select IR Delta Analysis (Zero Coupon). The Rho
Currency Analysis dialog is displayed:
Figure 41-7 Delta Zero Coupon dialog.
2 Select the currency from the Analysis Currency drop down list and the
Family from the Family drop-down list.
3 If you want to generated detailed results, select the Detailed Results
check box.
4 Click OK. The IR Delta Analysis (Zero Coupon) report is displayed:
Figure 41-8 Zero Coupon window
Viewing IR Hedge Vega Swaption
The IR Vega analyses give the sensitivity to the Volatility.
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Figure 41-9 Vega Swaption, Cap and Caplet dialogs.
Specify the currency whose rates you wish to use in the analysis, then specify the
Option and Swap grids. These are defined in the Quotation menu. Specify an
over-volatility if you intent to bump your values.
Choose a computation mode from one of the following options:
By Plot This bumps on the plotted points.
Progressive This bumps all points prior to the affected point.
- If you select Progressive, you can also use the Progressive Order options.
This allows you to choose either By Option or By Tenor.
Note: The Volatility Component is used for Swaptions only.
Interest Rate Hedge Cash Forward
The Cash Forward scenario allows you to manage the interest rates fixing rates as
follows:
Shows the interest rate exposure per maturity
The interest rate exposure can be modified to simulate the exposure the
trader is ready to take
Debt instruments can be directly created to hedge the current exposure
You can launch the Cash Forward scenario on portfolios at any level for positions
with a fixed future cash-flow.
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Launching the Cash Forward Scenario
To launch the Cash Forward scenario, do the following:
1 Select loaded portfolio or position in the Root window.
2 Select IR Hedge from the Analysis menu. The Interest Rate Hedge
dialog displays as shown in figure 41-10.
Figure 41-10 Interest Rate Hedge dialog.
3 Select Cash/Forward from the IR Hedge Type drop-down menu.
4 Select a currency from the Analysis Currency drop-down menu.
5 Enter a date into the End Date field and click Ok.
The Interest Cash/Forward window is displayed as shown in
figure 41-11.
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Figure 41-11 Interest Cash/Forward window.
Table 41-1 describes the columns and buttons of the Interest Cash/Forward
window.
Table 41-1 Elements of the Interest Cash/Forward Window
Name Description
Maturity The list of maturities. You can expand the maturities to display
the instruments that impact it.
For further information, see table 41-2.
Nominal The spot exposition for the given maturity. The nominal is the
notional sensitivity of the IR Hedge Delta Zero Coupon
scenario calculated for the positions maturities. The notional
sensitivity is the notional to sell in term of zero coupon bonds
maturing at rho-neutral maturities.
Only deals with a fixed flow maturing at the given maturity are
taken into account.
The nominal is filled at the instrument level.
Note: This is a read-only value.
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Spot Displays at the maturity level:
the consolidated spot exposure. This takes into account
deals impacting the maturity and the simulated
exposures.
the number of days of exposure. Calculated from today
until the maturity date + 1.
the exposure (nominal * tenor in years). This provides an
homogenous fixing risk indicator.
Note: This is a read-only value.
Maturity Date Displays the following at the maturity level:
the forward exposure from the date to the maturity. It can
be updated by the user for simulation. If nothing has been
saved in memory, all the value are set to 0. Otherwise the
values saved in memory are displayed.
the tenor or number of days from the date in column to
the maturity.
the exposure (nominal * tenor in years) which provides
an homogenous fixing risk indicator .
only for the fields where the date in column is higher than
or equals to the maturity.
Sicovam
Color The color of the maturity currency.
Date The date of the simulation. You can change the date by
double-clicking the field and selecting a new date from the
Calendar dialog.
Expands the list of maturities.
Collapses the list of maturities.
Refresh the calculations.
Note: This button does not function for extractions.
Save the simulated data .
You can only save the data of simulations based on single
portfolios. It is not possible to save the data on a position or
groups of portfolios.
Note: This button does not function for extractions.
Books the debt instrument to hedge the forward spot exposure.
Table 41-1 Elements of the Interest Cash/Forward Window
Name Description
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Exposure Maturity List
Table 41-2 Maturities of Instruments
Instrument Maturity
Total Return Swap Ticket with future cash flow
Interest Rate Swap Next reset date of the floating leg
Basis Swap Next reset date of each floating leg
Stock Nothing
Future Maturity
Call/Put Maturity
Stock Loan Next open day
CFD Next open day
Ticket with future cash flow Payment date
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Chapter 42 Risk Matrix Analysis
This chapter describes the Risk Matrix analysis.
The risk matrix allows you to visualize the P&L variation applying a shock on two
parameters among the spot, the volatility, the interest rate curve and the maturities.
It is possible to compute several risk matrixes: the icon on the top of the main
window (generally used to display columns) enables to switch from one risk matrix
to another. The user can choose between applying a shock in points or in percentage.
The risk matrix is calculated at each position level taking into account their
characteristics, and then Sophis is aggregating results. In the case the user applies
shocks on the spot, for each calculation with a shocked spot Sophis considers this
new spot as a reference for the volatility at the money. Thus, in the case the smile is
expressed in percent and not according to a pivot price, it will affect the volatility
used to price an option.
Viewing the Risk Matrix
To view the P&L or Greeks of the Portfolio:
1 Select Risk matrix from the Analysis menu. The Simulation Parameters
dialog is displayed, figure 42-1.
Figure 42-1 Simulation parameters dialog
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2 Select one or more options from the list in the Result group-box.
3 Enter the different parameters for the x-axis and y-axis.
4 Click OK to display the risk matrix. The Simulation Results window is
displayed for the folio you ran the scenario on. The name of the folio and the
type of result specified are also shown in the window title bar.
Table 42-1 Risk Matrix
Item Description
Results The following results can be specified:
P&L
Delta
Gamma
Vega
Rho
Delta P&L
Theta
Total Delta
Partial Delta
Delta Quantity
Delta Hedge
Vanna
Volga
Weighted Vega
Axis Drop down list
boxes
Use these drop-downs to specify the following:
Underlying
Rate
Volat
Maturity
Credit Risk
Radio Buttons In Points
In Percentage
Axis This specifies the central value of the axis.
Step The value of each step positive and negative away from the
central value of the axis.
Nb Step The number of steps to generate in the result.
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Figure 42-2 Simulation results window
The result shown in figure 42-2 used the following values:
- Result P&L
- X-Axis Underlying, Axis=2, Step=1, Nb Steps=5
- Y-Axis Credit Risk, Axis=0, Step=1, Nb Steps=3
- Both X and Y axis also used In Points for the results.
Working With Scenarios
It is possible to save the settings for a particular Risk Matrix scenario. The saved
scenario settings can then be re-loaded for future use. The saved scenario settings
when no longer needed can then be deleted.
Saving settings
To save the settings of a Risk Matrix scenario:
1 Configure the Simulation Parameters dialog as required.
2 Click Save.
3 Type a name for the simulation.
4 Click Save
Loading settings
To load a saved scenario:
1 From the Analysis menu, select Risk Matrix.
2 In the Simulation Parameters dialog, click Load.
3 In the Load dialog, select the scenario you want to load.
4 Click Load.
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The Simulation Parameters dialog is then configured according to the
details of the saved scenario settings.
Deleting settings
To delete a saved scenario:
1 Select Risk Matrix from the Analysis menu.
2 In the Simulation Parameters dialog, click Delete.
3 In the Delete dialog, select the scenario to delete.
4 Click Delete.
5 Click OK to confirm.
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Chapter 43 Counterparty Analysis
This chapter describes the counterparty analysis. The following counterparty
information can be analysed:
Counterparty Risk on page 641
Counterparty Liquidity on page 642
Counterparty Risk
To compute counterparty risk:
1 Select Third parties from the Data menu.
The Third Party list window is displayed:
Figure 43-1 Third Party Window
Note: For detailed information on Third Party set up and configuration see the
Administration Guide.
2 Select the Third party you want to analyse.
3 Click the Calculate Fees button and select Counterparty calculation. The
Counterparty Risk dialog is displayed:
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Figure 43-2 Counterparty Risk Dialog
You can compute the counterparty risks per value, theoretical value or
absolute value for a number of product types as listed in table 43-1:
Counterparty risks are displayed in the Third parties window.
Counterparty Liquidity
By extracting counterparty lines from the portfolio it is possible to view the liquidity
risk on a counterparty. This is done by using the Balance button in the extracted
portfolio.
To extract counterparty lines from the Portfolio:
1 In the Data menu, select Third parties. The Third party main screen
appears.
2 Select a third party.
3 From the Fees calculating drop-down list box.
Table 43-1 Counterparty Risk products.
Counterparty Risk Name Description
Swap When selected the counterparty risk relating to
swaps are displayed.
Swap Option When selected the counterparty risk relating to swap
options are displayed.
Option When selected the counterparty risk relating to
options are displayed.
Loan on Stock When selected the counterparty risk relating to
loans on stock are displayed.
Debt When selected the counterparty risk relating to
debts are displayed.
Package When selected the counterparty risk relating to
packages are displayed.
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4 Select Extraction. The Extraction dialog appears:
Figure 43-3 Extraction Third dialog.
This enables you to extract from the portfolio the lines where this third party
plays one of the chosen roles (broker, counterparty, depositary).
Full Extraction
A full extraction can be performed on all third parties.
To run a full extraction:
1 In the Data menu, select Third parties.
The Third party main screen appears.
2 Select Full Extraction from the Fees Calculating drop-down menu.
A portfolio window, Third, is displayed.
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Chapter 44 Forex Analysis
This section describes the various forex analyses. The following analyses are
described:
FXVolMatrix/Maturity on page 645
Delta Adjustment Report on page 646
P&L Jump Report on page 647
FXVolMatrix/Maturity
The FXVolMatrix/Maturity portfolio analysis scenario provides a precise
decomposition of the volatility risk by underlying including the forex underlyings.
For a given strike/maturity combination, the spot volatility is shifted by one per cent
according to the triangle or rectangle method selected in the Shape of variation
for Evaluation Vega field of the Volatility tab of the Preferences dialog. For more
information about this method, see the Financial Models Reference Guide.
The portfolio is recalculated using the shifted volatility surface. The delta of profit
and loss is grouped by strike and maturity.
You can choose to display the results in monetary units or in thousands be selecting
the P&L in Monetary Unit preference in the Display tab of the Preferences menu.
If the preference Bump Volatility Market Plots is selected on the Forex tab of the
Preferences dialog, it has the following affects on the FXVolMatrix/Maturity
analysis:
The grid defined in the Vol Grid for Bucket Analyses preference of the
Volatility tab of the Preferences dialog is ignored.
The result matrix corresponds to the maturities and deltas of the
underlyings of the instruments of the portfolio for which the volatility is
defined using Strike in delta.
For each forex volatility of the portfolio, if a maturity and delta pair fits a
market plot of the forex volatility, RISQUE calculates the bump:
Vega Market (maturity,delta strike) =
(Portfolio_PnL(market_plot_bump_plus)
- Portfolio_PnL(market_plot_bump_minus)) / (2*bump)
If the maturity does not correspond to a market plot for some underlying,
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the corresponding column is ignored for this underlying.
If there is only one underlying forex, the maturities are displayed as lines and the
strikes or deltas as columns. If there is more than one underlying, the maturities are
displayed as columns and the strikes as lines, as in previous versions. The results of
the analysis are displayed in the colour of the vega currency.
To open the FXVolMatrix/Maturity window, as shown in figure 44-2, choose
FXVolMatrix/Maturity from the Analysis menu.
Figure 44-1 FX Vol Matrix/Maturity Window
Delta Adjustment Report
The Delta Adjustment Report portfolio analysis scenario displays the deltas of the
underlying for each barrier level of a forex barrier option. To open the Delta
Adjustment Report window, as shown in figure 44-2, choose Delta Adjustment
Report from the Analysis menu.
Figure 44-2 Delta Adjustment Report Window
Table 44-1 describes the columns of the Delta Adjustment Report window.
Table 44-1 Delta Adjustment Report columns (Sheet 1 of 2)
Name Description
Barrier Level The barrier level of the forex barrier option. In the
example in figure 44-2 the first barrier level in the Delta
Adjustment Report window is the current spot of the
option.
Delta The delta when the spot is at the Barrier Level.
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P&L Jump Report
The P&L Jump Report portfolio analysis scenario displays the P&L variation for each
barrier level and each option maturity of a forex barrier option if the barrier is
reached before on expiry day.
To open the P&L Jump Report window, as shown in figure 44-3, choose P&L Jump
Report from the Analysis menu.
Figure 44-3 P&L Jump Report Window
Barrier Adjustment The delta adjustment that occurs when the Barrier
Level is crossed. This is the difference between the
delta just before the barrier level and the delta at the
barrier level.
Barrier Agreement The delta agreement defined for the Barrier Level. This
is the agreement defined for the option multiplied by the
notional of the option.
The delta agreement cancels out the delta jump that
occurs when the barrier is reached. The delta agreement
is an agreement between the seller and the counterparty
on a spot deal that is made when the barrier is reached.
The amount of the deal is defined in the dialog of the
option.
Remaining Barrier
Agreement
The remaining delta agreement defined for the Barrier
Level to cancel out the rest of the delta jump. This is
the difference between the opposite of the Barrier
Adjustment and the Barrier Agreement.
Delta All included The delta when the spot is at the Barrier Level, taking
into account that the agreements have cancelled out the
delta jumps. This is the delta at the barrier level minus
all adjustments between the current spot level and the
Barrier Level.
Table 44-1 Delta Adjustment Report columns (Sheet 2 of 2)
Name Description
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Chapter 45 Commodity Analysis
Table 45-1 lists the commodity analyses that you can run from the Analysis menu.
Table 45-1 Commodity Analyses (Sheet 1 of 2)
Analysis Description
Cega and provision Displays the P&L variation of the selected portfolio in
relation to the cega of the portfolio. For more
information, see Cega and Provision on page 650.
Commodity Crossed
Gamma
Displays the gamma for groups of commodities in
the selected portfolio. For more information, see
Commodity Crossed Gamma on page 655.
Commodity Index Delta
Analysis
Displays the future contracts required to price the
positions on commodity indexes in the selected
portfolio. For more information, see Commodity
Index Delta Analysis on page 655.
Commodity Risk Split Displays the delta risk of LME commodities in the
selected portfolio by date. For more information, see
Commodity Risk Split on page 653.
Future Analysis Delta Displays the delta analysis for the selected portfolio.
For more information, see Delta, Gamma, and Vega
Future Analyses on page 685.
Future Analysis Gamma Displays the gamma analysis for the selected
portfolio. For more information, see Delta, Gamma,
and Vega Future Analyses on page 685.
Future Analysis Vega Displays the vega analysis for the selected portfolio.
For more information, see Delta, Gamma, and Vega
Future Analyses on page 685.
Generic Card Displays the global risk for three months of all LME
options in the selected portfolio. For more
information, see LME Card on page 657.
Parametric VaR For more information, see Chapter 39, Parametric
Analysis.
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Cega and Provision
The Cega and Provision analysis displays the P&L variation of a portfolio in relation
to the cega of the selected portfolio. The cega is an indicator of the correlation
variation between products whose pricing changes according to correlations of
commodity futures. These products can be swaps on commodity baskets or options
on power swaps.
Cega represents how much the P&L varies if there is a bump, in percent, on a
correlation. These bumps are generated within specific bounds. Provision represents
the amount that could be lost if there was a large fluctuation in the commodity
correlations.
To best display correlation pairs for a portfolio, the Cega and Provision analysis
groups correlations into maturity zones that contain all of the correlation pairs within
specified maturities. For example, a typical cega analysis may have maturity zones
defined for short, medium, and long term maturities. Short term maturities could be
for less than one year, medium for less than three years, and long term for longer
than three years. In the analysis, all correlations that are less than one year are
displayed together.
Power Nomination Status
View
Displays a physical delivery summary of the power
commodities in the selected portfolio. For more
information, see Power Nomination Status View on
page 700.
PowerGas Daily strips
exercise
Displays the strip maturities for the deals on a daily
strip of options for the selected portfolio within a
specified time period. For more information, see
Power and Gas Daily Strips Exercise on page 677.
PowerGas Financial
Analysis
Displays aggregates for the cash flows of the swaps
in the selected portfolio with a power or gas
commodity as the underlying. For more information,
see Power and Gas Financial Analysis on page 679.
PowerGas Load Split Displays the underlying risk for different load
combinations of the selected portfolio during a
delivery period. For more information, see Power
and Gas Load Split on page 684.
PowerGas Physical
Scheduling
Displays the physical exposure for the power and
gas commodities in the portfolio. For more
information, see Power and Gas Scheduling on
page 660.
PowerGas VPP Nomination Displays the power quantities for each half hour
according to the Powernext purchase curve and
market analysis. For more information, see VPP
Nomination on page 698
Table 45-1 Commodity Analyses (Sheet 2 of 2)
Analysis Description
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To display the Cega and Provision analysis, define your maturity zones and then
launch the analysis, as described in the following sections:
Defining Maturity Zones on page 651
Launching the Cega and Provision Analysis on page 652
Defining Maturity Zones
Before you can launch the Cega and Provision analysis for your portfolio, you must
define the maturity zones displayed in the analysis. These zones act as limits that
define the groups in which correlations are displayed.
To define the maturity zones, do the following:
1 Select Add an option list from the Quotation menu.
The Model dialog is displayed, as shown in figure 45-1.
Figure 45-1 The Model dialog showing a cega model
2 Enter the name of the model in the Model Name field.
3 Select Absolute Strike from the Strike Type drop down list.
4 In the Maturity list, enter the maturities to use as the limits in the analysis.
In the example in figure 45-1, the analysis will show correlations within one
year, three years, and five years.
5 Click OK to save the model.
This model is now available for selection when you launch the Cega and
Provision analysis.
To edit an existing maturity zone model, do the following:
Press shift and select the model name from the Quotation menu.
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To delete an existing maturity zone model, do the following:
1 Select Delete an option list from the Quotation menu.
The Record to Delete dialog is displayed, as shown in figure 45-2.
Figure 45-2 The Record to delete dialog
2 Select the name of the model to delete.
3 Click Delete.
Launching the Cega and Provision Analysis
Once you have defined the maturity zone model, you can launch the Cega and
Provision analysis for the zones in the model, as follows:
1 Select a portfolio in the Portfolio window.
2 Select Cega and Provision from the Analysis menu.
The Cega and Provision Analysis dialog is displayed, as shown in
figure 45-3.
Figure 45-3 The Cega and Provision analysis dialog
3 Select the maturity zone model from the List of maturities drop down list.
4 Enter the bump for correlations in the Bump on correl for cega field.
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This field is populated with the value defined by the Vega Variat.
preference on the Model tab of the Preferences dialog and will most likely
not need to be changed. For more information, see the Preferences chapter
of the RISQUE Administration Guide.
5 Define the provision bump by entering the bump parameters in percentages
in the fields of the Provision frame.
6 Click OK to launch the analysis.
The Cega and Provision analysis is displayed, as shown in figure 45-4.
Figure 45-4 The Cega and provision analysis
The Cega and provision analysis shows the correlation pairs that fall within the
limits set by the maturity zones of your model. Each row represents a commodity
pair or commodity forex pair.
In the model defined in figure 45-1, the maturity zones were defined for one year,
three years, and five years. Each of these zones is included as both a cega and
provision column in the analysis. There is also a column for maturities greater than
five years.
For example, for the three year maturity zone, there are two columns for the time
between one year and three years, Cega 1y<T<3y and Prov 1y<T<3y, and
another two columns for the time between three years and five years, Cega
3y<T<5y and Prov 3y<T<5y.
Commodity Risk Split
Note: This analysis is only available for LME commodities.
The Commodity Risk Split analysis splits the delta risk of LME commodities by
date.
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To display this analysis, do the following:
1 Select a portfolio with an LME underlying.
2 Select Commodity Risk Split from the Analysis menu.
The Commodity Risk Split dialog is displayed, as shown in figure 45-5.
Figure 45-5 The Commodity Risk Split window
3 Select the Detailed Results check box to see a detailed view, showing the
delta risk by position for all commodities.
The Commodity Risk Split analysis is displayed with detailed results, as
shown in figure 45-6.
Figure 45-6 The Commodity Risk Split analysis with detailed results
Alternatively leave the check box unselected to see an aggregated view with
the maturities displayed in columns and the delta by commodity only.
The Commodity Risk Split analysis is displayed with less detail, as shown
in figure 45-7.
Figure 45-7 The Commodity Risk Split analysis without detailed results
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Commodity Crossed Gamma
The Commodity Crossed Gamma analysis displays the gamma for groups of
commodities in a portfolio. Similar to Viewing the Crossed Greeks on page 558,
this analysis displays the crossed gamma according to the commodity instruments in
the selected portfolio. You can then identify the risk sources according to the
commodity instrument.
To display the Commodity Crossed Gamma analysis, do the following:
1 Select a portfolio in the Portfolio window.
2 Select Commodity Crossed Gamma from the Analysis menu.
The Commodity Crossed Gamma window is displayed, as shown in
figure 45-8.
Figure 45-8 The Commodity Crossed Gamma window
For each commodity instrument and forex in the selected portfolio, the Commodity
Crossed Gamma analysis displays the crossed gamma for each combination of
instruments.
Commodity Index Delta Analysis
The Commodity Index Delta Analysis displays the future contracts required to
price the positions on commodity indexes within a selected portfolio. Positions on
commodity indexes include futures for all commodities within the index. The delta
P&L is displayed for the current day and the next day.
For each of these commodities, one or two futures are used in pricing, depending on
the rolling rule of the commodity index. For more information about rolling rules, see
the Commodity Baskets chapter of the RISQUE Instrument Reference Guide.
To display the Commodity Index Delta Analysis analysis, do the following:
1 Select a portfolio in the Portfolio window.
2 Press Ctrl and select Commodity Index Delta Analysis from the Analysis
menu.
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The Roll Delta Analysis dialog is displayed, as shown in figure 45-9.
Figure 45-9 The Roll Delta Analysis dialog
3 Select the delta type displayed in the analysis in the Delta Type drop down
list.
4 Enter the date from which to generate the analysis in the Start Date field.
5 Enter the number of days from the start date for which to generate the
analysis in the Number of Days field.
6 Click OK.
The Commodity Index Delta Analysis analysis is displayed, as shown in
figure 45-10.
Figure 45-10 Commodity Index Delta Analysis
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Table 45-2 describes the columns of the Commodity Index Delta Analysis
window.
Table 45-3 describes the toolbar buttons of the Commodity Index Delta Analysis
analysis.
LME Card
The LME Card analysis shows the global risk for three months for all LME options in
the selected portfolio. The analysis displays the delta, gamma, or vega for each day
of the next three months and then every third wednesday to the last date of LME
exposure.
Table 45-2 Columns of the Commodity Index Delta Analysis
Column Description
Commodity The name of the commodity that is part of the
commodity index.
Future The name of the future that is used to price the
commodity.
Unit The measurement unit of the commodity.
D The type of delta shown in the analysis. This is
defined as one of the following:
abs. absolute delta
rel. relative delta
Delta P&L Today The price variation of the value of the commodity
index between the current day and the day before.
Delta P&L Next Business Day The price variation of the value of the commodity
index between the current day and the next business
day. These columns are generated for each business
for the duration of the analysis.
Table 45-3 Buttons of the Commodity Index Delta Analysis
Buttons Description
Changes the display between absolute and relative delta.
Changes the display between measure units and notional
units.
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For each LME commodity instrument in the portfolio, the analysis displays a
cumulative position column that enables you to identify the calculation of spread risk
between dates. It displays the cumulative position for the first three months of the
analysis.
In the analysis, bank holidays are displayed in red and third Wednesdays are
displayed in Blue. You can also define a cumulative date, which is displayed in green.
The cumulative delta is displayed for each delivery date until the cumulative date,
then it is reversed so that the cumulative at the last delivery date is 0. This date is
set by the LME Card Cumulative Date preference of the Commodities tab of the
Preferences window. For more information, see the Preferences chapter of the
RISQUE Administration Guide.
To display the LME card analysis, do the following:
1 Select a portfolio in the Portfolio window that contains deals on LME
commodities.
2 Select an LME commodity deal in the portfolio.
3 Select Generic Card from the Analysis menu.
The Generic Card Scenario dialog is displayed, as shown in figure 45-11.
Figure 45-11 The Generic Card Scenario dialog
4 Select LME Card.
Alternatively, to display the analysis without the cumulative date, select
LME Card no Cumul.
5 Click OK.
The LME Card analysis is displayed, as shown in figure 45-12.
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Figure 45-12 The LME Card analysis
The dates taken into account in the LME Card analysis up to the cumulative date are
the delivery or expiry dates of the interpolation futures defined in the worksheet
associated with the LME commodity.
After the cumulative date, the dates taken into account in the LME Card analysis are
the dates defined in the Listed_Dates_CommoName worksheet zone. No more
than one date per month can be defined. This zone contains the delivery dates of the
listed futures.
The current month and the following three months are displayed in the first three
Delivery/Expiry columns. The last Delivery/Expiry column contain the following
third Wednesdays of the month for two years.
The last date displayed on the LME Card is the last date which has a position. If it is
not possible to display this date then the last risk date defined in the worksheet is
displayed.
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Within the LME Card analysis, you can toggle the display using the following three
toolbar buttons:
The first toolbar button toggles between the LME commodities in the
portfolio.
The second toolbar button toggles between delta, gamma, and vega in the
analysis.
The third toolbar button toggles the displayed dates between delivery and
expiry.
For each delta column the total delta is computed at the bottom of the delta column.
The total position on the commodity selected is shown at the right bottom corner.
Power and Gas Scheduling
Due to the nature of power and gas commodities, physical contracts can not be
stored and must be sold before the expiration date of the contract. The Power and
Gas Scheduling window enables you to quickly identify this physical exposure of
the power and gas commodities within a portfolio.
The exposure is displayed as the future contracts with an expiry date within a
specified time period. For each commodity in the portfolio, you can choose to create
deals on the future contracts.
To display the Power and Gas Scheduling analysis, do the following:
1 Select a portfolio that contains a deal on either a power or a gas commodity.
2 Select PowerGas Physical Scheduling from the Analysis menu.
The Power&Gas Physical Exposure dialog is displayed, as shown in
figure 45-13
Figure 45-13 The Power&Gas Physical Exposure dialog
3 Enter dates in the Start Date and End Date fields to set the duration for
the Power and Gas Scheduling window.
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4 Enter the reference of the commodity in the Ref. Commodity field to set
the calendar in which the analysis is displayed. This is particularly useful if
the commodity defined in this field is a Power UK commodity. When a Power
UK commodity is specified, weeks are numbered and every third month
consists of five weeks.
5 Select the level of granularity in which to display the analysis in the
Granularity field.
6 Select the counterparty for which to display the analysis in the Filter
Counterparties field.
You can create a new filter by clicking the ... button, which displays the
Counterparties Filter window, as shown in figure 45-14.
Figure 45-14 Counterparties Filter Window
7 Select the Compute portfolio check box to compute the portfolio with the
latest data.
8 Click OK.
The Power Scheduling window is displayed, as shown in figure 45-15.
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Figure 45-15 The Power and Gas Scheduling window
The Power and Gas Scheduling window is divided into the following three panes:
A commodity pane lists each power and gas commodity in the selected
portfolio and the dates on which its future contracts expire. For more
information, see Viewing Commodities in the Commodities Pane on
page 663.
A graph pane displays a graphical representation of the buy and sell
amounts. For more information, see Viewing the Exposure Graph on
page 667.
A blotter pane enables you to create deals on the futures before they
expire. For more information, see Creating Deals to Convert Contracts on
page 668.
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Viewing Commodities in the Commodities Pane
The commodity pane is the uppermost pane in the Power and Gas Scheduling
window. For each power or gas commodity in the portfolio, this pane lists the dates
within the specified time period on which each future contract expires. The amount
of the exposure is shown for each future contract.
Figure 45-16 shows the commodity pane.
Figure 45-16 The commodity pane of the Power and Gas Scheduling window
The commodity pane lists the physical or financial exposure by instrument or by
date. Table 45-4 describes the toolbar buttons that can be used in the commodity
pane.
Table 45-4 Toolbar Buttons for the Commodity Pane (Sheet 1 of 2)
Button Description
Expands the hierarchical list of exposures.
Collapses the hierarchical list of exposures.
Recalculates all results and refreshes the display.
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Table 45-5 describes the fields, check box, and radio buttons displayed at the top of
the commodity pane.
Hides financial exposure information in the window. You
may want to hide financial information when copying data
from the Power and Gas Scheduling window.
Toggles the data that is displayed in the window. Data can
be displayed by commodity instrument or by date. For
more information, see Commodity Pane Instrument View
on page 665 and Commodity Pane Date View on
page 666.
Hides instrument information in the window. Instrument
information is only shown in the instrument view.
Powernext Order Generates the Powernext purchase order. For more
information, see Powernext, VPP, and RTE Reports on
page 671.
Nomination VPP Displays the VPP nomination values. For more information,
see Powernext, VPP, and RTE Reports on page 671.
RE-RE NEB (Seller) Performs RTE nomination and shows all physical deliveries
by hour. For more information, see Powernext, VPP, and
RTE Reports on page 671.
RE-Site NEB (Seller) Performs RTE nomination and shows all physical deliveries
by counterparty. For more information, see Powernext,
VPP, and RTE Reports on page 671.
RE-RE NEB (Buyer) Performs RTE nomination and shows all physical deliveries
by hour. For more information, see Powernext, VPP, and
RTE Reports on page 671.
Table 45-5 Toolbar Fields for the Commodity Pane (Sheet 1 of 2)
Field Description
Display Unit Determines the measure unit in which the exposure is
displayed.
Date Filter Displays the exposure for the date selected from the drop
down list.
Column Filter Filters the columns of the displayed commodities by Margin,
by Quantities Net, by Quantities LongShort, or by All.
Table 45-4 Toolbar Buttons for the Commodity Pane (Sheet 2 of 2)
Button Description
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Commodity Pane Instrument View
When the instrument view is chosen using the toggle button, the commodity
exposure is listed by instrument, as shown in figure 45-17.
Figure 45-17 The instrument view in the commodity pane
In the instrument view, each commodity in the portfolio is displayed as a row in the
commodity pane. This row is subdivided by year, month, date, contract type, that is
Physical or Financial, counterparty, and contract reference.
The columns of the commodity pane are divided according to the granular level of
the commodity instrument, hourly, half hourly, and so on. For each granular level,
the following columns are displayed:
granular level buy the value of the granular time period purchase
contracts in the portfolio.
granular level sell the value of the granular time period sell contracts in
the portfolio.
granular level total the total value of the granular time period contracts
in the portfolio.
All exposure values are composed of contracts due to expire within the specified time
period. You can reduce this exposure by creating deals on these contracts. For more
information, see Creating Deals to Convert Contracts on page 668.
Time-shift Adjusts the start of the day by the number of hours defined
in the Time Shift field of the commodity instrument. This
allows you to shift the start of the day to accommodate for
different time zones or for the start of gas days, which is 6am
in some cases.
Blotter Changes the display of the bottom pane to the swap blotter
which enables you to create swaps to hedge your exposure.
This is described in Creating Deals to Convert Contracts on
page 668.
Graph Changes the display of the bottom pane to a graph of the
exposure with lines plotted for both the buy and sell
contracts. This is described in Viewing the Exposure Graph
on page 667.
Table 45-5 Toolbar Fields for the Commodity Pane (Sheet 2 of 2)
Field Description
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Commodity Pane Date View
When the date view is chosen, your commodity exposure is listed by date. This view
is shown in figure 45-18.
Figure 45-18 The date view in the commodity pane
In the date view, each month in the analysis time period is displayed as a row in the
commodity pane. This row is subdivided by date, granular period, contract type, that
is Physical or Financial, and counterparty.
The columns of the commodity pane are divided according to the commodity
instruments in the portfolio. For each commodity, the following columns are
displayed:
commodity buy the value of the purchase contracts for the commodity
in the portfolio.
commodity sell the value of the sell contracts for the commodity in the
portfolio.
commodity total the total value of the contracts for the commodity in
the portfolio.
For both view types, a total column is displayed, which shows the total value of the
contracts at each level in the hierarchy.
All exposure values are composed of contracts due to expire within the analysis time
period. You can reduce this exposure by creating deals on these contracts. For more
information, see Creating Deals to Convert Contracts on page 668.
Exporting PowerGas Scheduling Data
To export the scheduling data displayed in the commodity pane to a Microsoft Excel
or an XML file, do the following:
1 Select a date in the PowerGas Physical Scheduling window.
2 Click Export to Excel or Export to XML, as shown in figure 45-19.
Figure 45-19 The export pane in the Power and Gas Scheduling window
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RISQUE saves the file containing the scheduling data to the directory
indicated by the PATH_FOR_SCHEDULING_EXPORT or
PATH_FOR_XML_EXPORT global preference in the RISKPREF table. If this
preference is not defined, RISQUE saves the file to the %TEMP% directory.
RISQUE displays a message, as shown in figure 45-20, confirming that the
file has been saved.
Figure 45-20 PowerGas scheduling data export confirmation
The name of the file is in the format,
sequenceNum_Scheduling_commodity_name_YYYY-MM-DD_portfolioIdenti
fier.
The generated Excel file contains the following worksheets:
- Total data
- Grouped by Type of Instrument
- Grouped by Type of Counterparty
The generated XML file corresponds to the scheduling.xsd schema in the
schema directory.
You can also generate an Excel or XML file of PowerGas scheduling data in batch
mode, as follows:
Start RISQUE with the option -Sscenario:param:portfolio, where:
- scenario is the analysis name.
- param is the selected date in the format dd/mm/yyyy.
- portfolio is the identifier of the portfolio.
For example:
- -S'Export Of Physical Scheduling To XML':D28/12/2007:4022
-Umanager
- -S'Export Of Physical Scheduling To Excel':D28/12/2007:4022
-Umanager
Viewing the Exposure Graph
When the Graph radio button is selected at the top of the Power and Gas
Scheduling window and the instrument view of the commodity pane is enabled, a
graph of the exposure is displayed at the bottom of the window in place of the swap
blotter, as shown in figure 45-21.
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Figure 45-21 The Power and Gas Scheduling window showing a graph of the physical exposure
In the exposure graph, the buy and sell contracts are plotted against the granular
periods of the commodity. The red line represents the buy contracts and the green
line represents the sell contracts. The difference between the two lines represents
the exposure.
Note: The buttons above the exposure graph are standard curve buttons but they
should not be used with the exposure graph.
Creating Deals to Convert Contracts
After you have identified the exposure for each commodity, you can create deals to
reduce the exposure. These deals represent a swap that replaces the physical
delivery with a financial delivery or the financial delivery with a physical delivery.
These deals are created based on a predefined swap template that has a physical
receiving leg and futures paying leg. For more information, see the Commodity
Swaps chapter of the RISQUE Instrument Reference Guide.
Contract conversion deals can be created in the blotter below the commodity pane,
as shown in figure 45-22. To display the blotter pane, select the Blotter radio button
of the Power Scheduling toolbar.
Figure 45-22 The blotter pane of the Power and Gas Scheduling window
The blotter consists of rows in which you can define deals on commodity instruments
with exposure. These deals are created according to a defined commodity swap
template and are added to the portfolio for which you launched the PowerGas
Scheduling analysis.
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The fields above the blotter enable you to convert physical contracts to financial
contracts and vice versa. This conversion can only be performed if the date view is
selected.
Table 45-4 describes the blotter toolbar buttons.
You can create a deal to reduce your exposure by dragging the exposure from the
commodity pane or by manually defining the fields of the blotter.
To create a deal by dragging the exposure from the commodity pane, do the
following:
1 Click the Swap Template cell in a new row in the blotter.
2 Enter the name of a defined commodity swap template in the Swap
Template column.
3 Enter a unique reference code for the swap in the Reference column.
4 Click the Populate Fields button to populate the field of your row with the
details from the template.
5 Drag and drop the cell containing the exposure that you want to balance into
the blotter.
A deal amount dialog is displayed, as shown in figure 45-23, which shows
the Bought and Sold values for that granular period.
Figure 45-23 The deal amount dialog displayed when dragging and dropping to the swap
blotter
6 Enter the final amount of the deal.
Table 45-6 Buttons for Creating Deals in the Deals Pane
Button Description
Transmits deals that have been created for commodities with
financial or physical exposure. When clicked, you are prompted to
confirm that you want to create the deal and transmit an automatic
ticket for the deal.
Populates the columns of a selected row according to the details of
the template defined by the Swap Template column.
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7 Click OK.
The Final Deal value of the swap is displayed in the blotter.
8 Click Transmit to create the deal and send automatic tickets.
The deal is created in the portfolio for which you launched the Power and
Gas Scheduling window. The contract amount is moved from the buy
column to the sell column in the commodity pane and is no longer displayed
in red.
To create a deal by manually defining the fields of the blotter, do the following:
1 Click the Swap Template cell in a new row in the blotter.
2 Enter the name of a defined commodity swap template in the Swap
Template column.
3 Enter a unique reference code for the swap in the Reference column.
4 Enter the reference of the commodity for which you want to convert the
contracts in both the Commodity1 and Commodity2 columns, if it differs
from the one defined in the swap template.
5 In the Delivery Period 1 and Delivery Period 2 columns, enter the
delivery period for which you want to create the swap.
Delivery Period 1 corresponds to the delivery period of the receiving leg of
the swap and Delivery Period 2 corresponds to the delivery period of the
paying leg. The delivery period should be the same for both periods.
6 In the Quantity column, enter the notional amount of the swap to create.
This amount is usually equal to the amount of the exposure you want to
convert for the specified delivery period.
7 Define a counterparty of the deal in the Counterparty column. If you have
a defined portfolio ticket template that you want to use to define the
counterparty, broker, and depository of the deal, select it from the Folio
Ticket Template drop down list.
Note: Only valid counterparties and brokers can be defined in the blotter. for
more information, see the Third Parties chapter of the RISQUE Back Office
User Guide.
8 Click Transmit to create the deal and send automatic tickets.
The deal is created in the portfolio for which you launched the Power and
Gas Scheduling window. The contract amount is moved from the buy
column to the sell column in the commodity pane and is no longer displayed
in red.
Note: To view the automatic ticket of the swap deal, change the Prices Date to the
payment date of the swap. Launching the forecasts on the modified forecast date
creates an automatic ticket for the swap.
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For more information about the columns of the Power and Gas Scheduling blotter,
see Power and Gas Trade Blotter on page 459. Most columns that are
automatically filled by the Populate button can also be edited. To view the swap
dialog of the deal, double-click the line in the swap blotter.
Converting the Swap Deal
You can convert a deal created in the blotter pane from a physical contract to a
financial contract, or from a financial contract to a physical contract, in the
Physical/Financial conversion of contracts frame. This represents an agreement
between counterparties to change a physical deal into a financial one, thereby
transferring the exposure of the deal.
To convert deals, do the following:
1 Select the row in the blotter pane that displays the deal amount.
This populates the fields above the blotter, as shown in figure 45-24.
Figure 45-24 Fields for converting deals back to contracts
2 To convert only a fraction of the deal, enter the amount in the field beside
the Converted field.
3 To convert the deal to a financial or physical contract, click Apply.
The contract is created with the same amount as the deal and appears in red
in the commodity pane as financial or physical exposure.
Powernext, VPP, and RTE Reports
This section describes the Powernext, VPP, and RTE functionality available from the
Power and Gas Scheduling window. It contains the following sections:
Powernext Order on page 672
Nomination VPP on page 673
RE-RE NEB (Seller) on page 675
RE-Site NEB (Seller) on page 676
RE-RE NEB (Buyer) on page 677
Note: To generate these reports, you must first select a delivery date.
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Powernext Order
The Powernext Order button generates a Powernext purchase order, as shown in
figure 45-25. The generated order data is automatically copied, enabling you to
paste it into another application, such as Excel.
Figure 45-25 Powernext Order window
Table 45-7 describes the button and check boxes of the Powernext Order window.
Table 45-7 Button and Check Boxes of the Powernext Order Window (Sheet 1 of 2)
Button/Check Box Description
Display saved nomination If selected, saved Powernext values are displayed in
the graph of this window.
Replace saved nomination Replaces the saved Powernext values with those in
this window. This button is only available if the
values in this window are different from the saved
values.
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Nomination VPP
The Nomination VPP button displays the VPP nomination values, as shown in
figure 45-26. The power quantities for each half hour are computed according to the
Powernext market analysis. For more information about importing market reports,
see Importing Scheduling Data on page 691.
Figure 45-26 Nomination VPP window
Show arbitrage quantities If selected, the quantities for arbitrage deals are
displayed in this window.
Table 45-7 Button and Check Boxes of the Powernext Order Window (Sheet 2 of 2)
Button/Check Box Description
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This manual VPP nomination must be performed for all child portfolios and the
aggregation portfolio. For more information about automatic VPP nomination, see
Power Physical Management on page 690.
Table 45-8 describes the columns of the Nomination VPP window.
To validate these nomination quantities select the Validate VPP Nomination check
box. This converts the daily status from sched. not confirmed to Scheduling. This
check box is only enabled for the aggregation portfolio.
The generated order data is automatically copied, enabling you to paste it into
another application, such as Excel.
Note: You must start the Power and Gas Scheduling analysis from the
aggregation portfolio. For more information about setting the aggregation portfolio,
see Setting Global Preferences on page 691.
Table 45-8 Nomination VPP window
Column Description
Price The prices for the following day, according to the
market analysis.
Position before VPP The value of the position before VPP nomination.
Market analysis The Powernext order according to the market
analysis.
Total VPP The total quantity nominated for each half-hour for
all of the VPP of the portfolio.
Position net after VPP The net position after VPP nomination. This should
be 0 for each row.
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RE-RE NEB (Seller)
The RE-RE NEB (Seller) button performs RTE nomination and shows all physical
deliveries by the granularity specified in the Power&Gas Physical Exposure
dialog, as shown in figure 45-27.
Figure 45-27 RE-RE NEB (Seller) window
The last line shows the sum in MWh of the nomination by counterparty and by
granularity. The generated data is automatically copied, enabling you to paste it into
another application, such as Excel.
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RE-Site NEB (Seller)
The RE-Site NEB (Seller) button performs RTE nomination and shows all physical
deliveries by the counterparty specified in the Power&Gas Physical Exposure
dialog, as shown in figure 45-28.
Figure 45-28 RE-Site NEB (Seller) window
The last line shows the sum in MWh of the nomination by counterparty and by
granularity. The generated data is automatically copied, enabling you to paste it into
another application, such as Excel.
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RE-RE NEB (Buyer)
The RE-RE NEB (Buyer) button performs RTE nomination and shows all physical
deliveries by the granularity specified in the Power&Gas Physical Exposure
dialog, as shown in figure 45-29.
Figure 45-29 RE-RE NEB (Buyer) window
The last line shows the sum in MWh of the nomination by counterparty and by
granularity. The generated data is automatically copied, enabling you to paste it into
another application, such as Excel.
Power and Gas Daily Strips Exercise
The Power and Gas Strips Exercise analysis displays the option strips within the
deals on a daily strip of options for a selected portfolio, within a specified time
period. A daily strip of options is an option on a swap with a daily pay frequency and
the expiry date of the option is after the settlement date of the last swap cash flow.
Option strips are the cash flows of the options underlying swap.
The date of maturity for option strips is listed in the Strip Maturity column of a
swap on the Received leg cash flow tab of the swap dialog. For more information,
see the Commodity Swaps chapter of the RISQUE Instrument Reference Guide.
To view the option strips of the swaps in a portfolio, do the following:
1 Select a portfolio in the Portfolio window.
2 Select PowerGas daily strips exercise from the Analysis menu.
The Power & Gas Daily Strips Exercise dialog is displayed, as shown in
figure 45-30.
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Figure 45-30 The Power & Gas Daily Strips Exercise dialog
3 Enter the beginning and end dates of the analysis in the Start Date and
End Date fields.
4 Click OK.
The Power and Gas Strips Exercise analysis is displayed, as shown in
figure 45-31.
Figure 45-31 The Power and Gas Strips Exercise analysis
All daily option strips that are part of the deals in your portfolio are displayed in the
Power and Gas Strips Exercise analysis. By viewing these option strips, you can
see your daily obligations throughout the time period of the analysis.
Any strips that are not to be exercised can be deleted from the list of cash flows on
the Received leg cash flow tab of the swap dialog.
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Power and Gas Financial Analysis
The Power and Gas Financial Exposure analysis displays aggregates for the cash
flows of the swaps in your portfolio with a power or gas commodity as the
underlying. This analysis helps you to identify the best hedging positions for a
selected portfolio.
The cash flows displayed in the analysis are based on whether the future contracts
contained in the swaps of the portfolio fall on the days within the start and end dates
of the analysis. You can then reduce the financial exposure of these contracts by
converting them to physical contracts in the Power and Gas Scheduling window.
To display the Power and Gas Financial Exposure analysis, do the following:
1 Select a portfolio.
2 Select PowerGas Financial Analysis from the Analysis menu.
The Power financial scenario definition dialog, as shown in figure 45-32,
is displayed.
Figure 45-32 The Power financial scenario definition dialog
3 Enter the start of the analysis in the Year start of analysis field.
4 Enter the end of the analysis in the Year end of analysis field.
5 Enter the reference of the commodity in the Ref. Commodity field to set
the calendar in which the analysis is displayed. This is especially useful if the
commodity defined in this field is a Power UK commodity. When a Power UK
commodity is specified, weeks are numbered and every third month consists
of five weeks.
The analysis is displayed from the first day of the year defined in the Year
start of analysis field to the last day in the year defined in the Year end
of analysis field. If the current date is after the first day of the starting
year, the analysis is generated from the current date.
Figure 45-33 shows the Power and Gas Financial Exposure analysis.
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Figure 45-33 The Power/Gas Financial Exposure analysis
For each day within the analysis duration, the Power and Gas Financial Exposure
analysis displays the cash flows of the power or gas commodity swaps in the
portfolio in terms of their physical exposure. The amount of exposure is calculated as
the nominal amount of the swap leg multiplied by the swap price.
The cash flows that are listed in the analysis appear either as a negative or a positive
amount. If a receiving leg is defined on a particular date, the financial exposure for
that date is included as a positive value. If a paying leg of a swap is defined for a
date, the exposure is included as a negative value for that date. The exposure for the
legs of a specific delivery period are then added together to give a total for that
delivery period.
The columns of the Power and Gas Financial Exposure analysis list the exposure
in terms of a match for each delivery load. In this analysis, a match is the amount
needed to reduce the financial exposure. Matches are listed as one of the following
two types:
Exact Match displays the financial exposure of swaps whose future
contracts all fall within the delivery period. The exposure for each day is
always displayed in the Exact Match column, regardless of the selected
view.
Approx Match displays swaps whose future contracts span more than one
delivery period.
These matches are displayed for each type of delivery load. For example, Baseload
Exact Match displays the exact matches for swaps with a Baseload delivery type
and GasDelivery Approx match lists the approximate matches for gas deliveries.
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The display toolbar menu, as shown in figure 45-34, enables you to change how the
Power and Gas Financial Exposure analysis displays matches.
Figure 45-34 Power and Gas Financial Exposure display toolbar menu
You can choose one of the following views:
Best Match Value on page 681
Average Value on page 682
Current Position on page 683
Best Match Value
Figure 45-35 The Best Match Value view of the Power and Gas Financial Exposure analysis
In the Best Match Value view, the Exact match column shows the average
number of contracts that have the smallest negative and positive values in the
Approx match column. The net value in the Approx match column is not usually
equal to zero.
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In other words, the average value helps to propose a hedge over the daily positions
by purchasing contracts which covers, on average, the financial exposure to the
period. However, power and gas prices are highly volatile and the hedge on the
period does not necessarily hedge the risk on the daily prices. As a result, the
Approx match column displays any remaining exposure.
This analysis view shows hedging positions that reduce both the positive and
negative daily risks.
Average Value
Figure 45-36 The Average Value view of the Power and Gas Financial Exposure analysis
In the Average Value view, the Exact match column shows the net value of the
contracts for the period. The Approx match column shows an aggregation of daily
exposures and is always 0 since the daily contracts have been subtracted. The daily
contracts are displayed within the brackets.
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Current Position
Figure 45-37 The Average Value view of the Power and Gas Financial Exposure analysis
In the Current Position view, the Approx match column shows the net value of
contracts for the period. This represents the number of contracts with financial
exposure within the period.
The value in the Approx match column is not a whole number since the aggregation
of daily exposure into the period is not exact. Financial exposure of one day is
calculated as 1/31 of the financial exposure of the month.
Hedging the Financial Exposure in Your Portfolio
From the matches displayed within the Power and Gas Financial Exposure
analysis, you can launch the Power and Gas Scheduling window to convert the
financial contracts into physical contracts. These converted contracts should reduce
the financial exposure of the swaps within your portfolio.
To convert the financial contracts of your swaps, do the following:
Double-click any delivery period that contains an exact or approximate
match.
Delivery periods that contain matches are displayed in bold and have values
in one of the match columns. Positions can be hedged for any delivery
period with a match, including a calendar year.
The Power and Gas Scheduling window is opened, displaying the future
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contracts for the selected delivery period. Each financial contract can be
converted to a physical contract. For more information, see Power and Gas
Scheduling on page 660.
Power and Gas Load Split
The PowerGas Load Split analysis displays the underlying risk for different load
combinations during a delivery period. For example, when you buy an offpeak future
the risk sources can be expressed as the baseload future minus a peakload future.
When you buy a baseload future, the risk sources can be expressed as a peakload
future plus an offpeak future.
The PowerGas Load Split analysis displays the risk sources, as the delta and MTM
values, for both of these combinations enabling you to identify the best method for
trading your power commodity.
To display the PowerGas Load Split analysis, do the following:
1 Select a portfolio in the Portfolio window.
2 Select PowerGas Load Split from the Analysis menu.
3 The PowerGas Load Split analysis is displayed, as shown in figure 45-38.
Figure 45-38 The PowerGas Load Split analysis
The MTM value represents the expected net value of future deliveries and cash flows.
For standard contracts, such as swap and listed futures, the MTM is, for each month
or balance-of-month, the difference between the market price and the deal price.
The deal price is the cash leg for a swap or the average price for a position on a listed
future.
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The probability values are indicators which represents a probability to exercise the
full month contract at the strike price. These values can be displayed in the Portfolio
window in the Power exercise prob. (with smile) and Power exercise prob.
(without smile) columns.
The baseload/offpeak toolbar menu, as shown in figure 45-39, enables you to
change the display of the PowerGas Load Split analysis between baseload and
offpeak.
Figure 45-39 PowerGas Load Split baseload/offpeak toolbar menu
This menu enables you to select one of the following delivery combinations:
Baseload/Peakload baseload deliveries are shown as peakload
deliveries plus offpeak deliveries.
Offpeak/Peakload offpeak deliveries are shown as baseload deliveries
minus peakload deliveries.
The risk for each of these combinations is displayed as follows:
The delta amount for the baseload, offpeak, and peakload delivery loads is
shown in the columns Baseload Delta, Offpeak Delta, and Peakload
Delta.
The MTM amount for the baseload, offpeak, and peakload delivery loads is
shown in the columns Baseload MTM, Offpeak MTM, and Peakload MTM.
The probability excluding smile for the baseload, offpeak, and peakload
delivery loads is shown in the columns Baseload Probability without
Smile, Offpeak Probability without Smile, and Peakload Probability
without Smile.
The smile amount for the baseload, offpeak, and peakload delivery loads is
shown in the columns Baseload Probability with Smile, Offpeak
Probability with Smile, and Peakload Probability with Smile.
Delta, Gamma, and Vega Future Analyses
The Future Analysis Delta, Future Analysis Gamma, and Future Analysis Vega
analyses display the delta, gamma, or vega analysis of the selected portfolio.
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Configuring the Delta, Gamma, and Vega Future Analyses
This section describes how to configure the Future Analysis Delta, Future
Analysis Gamma, and Future Analysis Vega analyses. It contains the following
sections:
Displaying the Future Analyses in Cash or Shares on page 686
Defining Future Analysis Weights on page 687
Displaying the Future Analyses in Cash or Shares
You can display the Future Analysis Delta, Future Analysis Gamma, and Future
Analysis Vega analyses in shares or cash by changing the Delta type in folio
preference on the Display tab of the Preferences dialog.
If Delta type in folio is set to shares, the delta and gamma are expressed
according to the conversion factor of the commodity. For example, in figure 45-40
the Delta Quotity is set to 1,000 and the Delta Unit is Tonnes at the commodity
level.
Figure 45-40 Scenario parameters
In the Future Analysis Delta the delta and gamma are expressed according to the
conversion factor, as shown in figure 45-41.
Figure 45-41 Future Analysis window (delta type share)
If Delta type in folio is set to cash, the delta and gamma are expressed in the cash
of the currency of the commodity, as shown in figure 45-42.
Figure 45-42 Future Analysis window (delta type cash)
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The delta is multiplied by the value of the futures. The gamma is multiplied by 0.5
times the square of the value of the futures.
Note: Delta and gamma are computed for conversion factors corresponding to those
of the futures.
Defining Future Analysis Weights
Future analysis weights are weights, similar to those defined for non-standard
periods, that are applied to the granular periods of the futures in the future analysis
analyses. These weights enable you to define specific risk factors that are applied to
the months displayed in the future analyses.
To define future analysis weights, do the following:
1 Select Future analysis weights from the Data menu.
The Future Analysis Weight window is displayed, as shown in
figure 45-43.
Figure 45-43 Future Analysis Weight window showing two defined sets of weights
2 Select an empty row and enter a name in the Name column.
3 Enter weights in the relevant months.
These weights will be applied to the monthly buckets in the future analysis.
You can define weights for each month in the next fifty years.
4 Select the set of weights in the dialog displayed when you press CTRL and
select a future analysis from the Analysis menu.
Viewing the Future Analysis Delta
To view the Future Analysis Delta, do the following:
1 Press CTRL and select Future Analysis Delta from the Analysis menu.
The Analysis Delta dialog is displayed, as shown in figure 45-44.
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Figure 45-44 Options dialog for Future Analysis Delta
2 Select the type of delta to be displayed, the commodity aggregation profile,
the commodity measure unit, and the weight curve. For more information
about commodity aggregation profiles, see the RISQUE Administration
Guide. For more information about future analysis weight curves, see
Defining Future Analysis Weights on page 687.
3 Click OK to launch the analysis.
The bucketed analyses in the selected portfolio are displayed monthly for the futures
in the portfolio over the next fifty years, as shown in figure 45-45.
Figure 45-45 Future Analysis Delta
Note: The Commodity Risk Split analysis, which is only available for LME
commodities, splits the delta risk on a possibly customised series of future. For more
information, see Commodity Risk Split on page 653.
Viewing the Future Analysis Gamma
To view the Future Analysis Gamma, do the following:
1 Press Ctrl and select Future Analysis Gamma from the Analysis menu.
The Analysis Gamma dialog is displayed, as shown in figure 45-46.
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Figure 45-46 Options dialog for Future Analysis Gamma
2 Select the type of delta to be displayed, the commodity aggregation profile,
the commodity measure unit, the weight curve, and whether to include
crossed gammas. For more information about commodity aggregation
profiles, see the RISQUE Administration Guide. For more information about
future analysis weight curves, see Defining Future Analysis Weights on
page 687.
3 Specify if the gamma values are calculated in the currency of the underlying
commodity using the Gammas In Commodity Currency check box.
Note: If the portfolio on which the Future Analysis Gamma analysis is
launched has multiple commodities with multiple currencies and the
Gammas In Commodity Currency check box is selected, a warning
message is displayed and the gamma values are calculated in the currency
of the portfolio.
The default setting of the Gammas In Commodity Currency check box is
defined by the GammasInCommodityCurrency global preference. For more
information, see the Administration Guide.
4 Click OK to launch the analysis.
The bucketed analyses in the selected portfolio are displayed monthly for
the futures in the portfolio over the next fifty years, as shown in
figure 45-47.
Figure 45-47 Future Analysis Gamma
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Viewing the Future Analysis Vega
To view the Future Analysis Vega, do the following:
1 Press Ctrl and select Future Analysis Vega from the Analysis menu.
The Analysis Vega dialog is displayed, as shown in figure 45-48.
Figure 45-48 Options dialog for Future Analysis Vega
2 Select the commodity aggregation profile and the weight curve. For more
information about commodity aggregation profiles, see the RISQUE
Administration Guide. For more information about future analysis weight
curves, see Defining Future Analysis Weights on page 687.
3 Click OK to launch the analysis.
The bucketed analyses in the selected portfolio are displayed monthly for the futures
in the portfolio over the next fifty years, as shown in figure 45-49.
Figure 45-49 Future Analysis Vega
Power Physical Management
Power Physical Management analysis involves the following:
Setting Global Preferences on page 691
Importing Scheduling Data on page 691
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Importing the Powernext Market Analysis on page 696
Importing the VPP Order on page 697
VPP Nomination on page 698
RTE Nomination on page 700
Power Nomination Status View on page 700
Setting Global Preferences
You should set the following global preferences in the RISKPREF table for power
physical management:
COMMO_VPP_MARKET_ANALYSIS_REF defines the prefix of the reference
of swaps containing data from the market analysis.
For example, execute the following SQL command:
insert into riskpref (prefnom, prefvaleur)
values('COMMO_VPP_MARKET_ANALYSIS_REF','PPM SWAP')
where PPM SWAP is the prefix of the reference of swaps containing data from
the market analysis.
COMMO_VPP_NOMINATION_AGGREGATION_PORTF defines the identifier
of the aggregation portfolio that contains all of the VPP options to be
nominated.
For example, execute the following SQL command:
insert into riskpref (prefnom, prefvaleur)
values('COMMO_VPP_NOMINATION_AGGREGATION_PORTF','2145')
where 2145 is the identifier of the aggregation portfolio.
COMMO_VPP_NOMINATION_COMMO_CODE defines the commodity used
for VPP nomination.
For example, execute the following SQL command:
insert into riskpref (prefnom, prefvaleur)
values('COMMO_VPP_NOMINATION_COMMO_CODE','6711456')
where 6711456 is the reference of the commodity used for VPP nomination.
Importing Scheduling Data
You can import scheduling data from a Excel file using the Excel add-in
RisqueImportPPM.xla, located in your RISQUE installation directory. This section
contains the following sections:
Configuring the PPM Templates on page 692
Viewing the Analysis on page 693
Importing the PPM Data on page 693
Validating the PPM Data on page 694
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Configuring the PPM Templates
To edit the template configurations and set the database to which the data is
imported click PPM Config. This displays the Edit PPM Addin configuration
dialog, as shown in figure 45-50.
Figure 45-50 Edit PPM Addin configuration dialog
To edit the configuration of a template select the template from the Template name
column. Table 45-9 describes the parameters you can configure for each template.
Table 45-9 Template Parameters (Sheet 1 of 2)
Parameter Description
Topleft cell Specifies the top left cell of the data array. Data is
read from left to right and top to bottom.
Date cell Specifies the cell that contains the delivery date. If a
report contains multiple dates, X;Y specifies the
delivery date cell, where X is the number of columns
to shift from the top left cell and Y is the offset in
days from today of the date.
Deals position Specifies the position of the deal identifiers and
hours. This can be set to on of the following:
C specifies that the deal identifiers are in
the column headers and, if applicable, the data
for each hour appears in the rows.
R specifies that the deal identifiers are in
the row headers and, if applicable, the data for
each hour appears in the columns.
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To set the database to which the data is imported edit the Risque DB connection
string field and click Save database configuration.
Viewing the Analysis
To open the data in Excel, click the Open PPM Document button on the
RisqueImportPPM toolbar and browse to the file that contains the data.
Importing the PPM Data
Some data must be imported into RISQUE everyday, as it is known only one or two
days in advance. To import this data into the RISQUE database, do the following:
1 Select the appropriate template from the Import PPM document menu on
the RisqueImportPPM toolbar, for example:
- GRD Dedit Confirmation for GRD Withdrawal deals.
- GRD options confirmation for GRD options.
Deals offset Specifies the location of the deals as an offset in
rows or columns from the top left cell position.
Columns definition Specifies what data is imported for each deal, at
each hour. This parameter can contain the following
field names, separated by a semi-colon:
Used this field is mandatory if
DealsOrdering is not specified. This field is
saved in the database.
Max if present, this field is saved into the
database.
NotUsed this field is ignored and never
saved in the database.
DealsOrdering used only with the Deals
Ordering document template.
Unit Specifies the measure unit of the data in the
worksheet.
Prices If specified, prices for each hour block are imported
and associated with the commodity specified in the
Commodity Ref parameter. This parameter
specifies the number of columns to shift from the top
left cell.
Commodity Ref Specifies the commodity associated with the prices
data that is imported when the Prices parameter is
filled.
Table 45-9 Template Parameters (Sheet 2 of 2)
Parameter Description
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- RTE grid loss compensation for RTE options.
Note: The Excel worksheet must contain the relevant delivery date and
external references.
Excel displays a summary of the data to be imported, as shown in
figure 45-51.
Figure 45-51 PPM Document - Summup before import window
2 Click Confirm Import.
The data is imported to the PPM_LINK table of the database.
You can also set a global preference, POWERSCHEDULING_IMPORT_CMD, to define a
batch command that is executed when data is imported into RISQUE. For example,
you can define a .bat file, which imports data from Excel into the RISQUE database.
You can then confirm the import, as described in Validating the PPM Data on
page 694.
Validating the PPM Data
Once the data is imported to the database, it must be imported from the
PPM_IMPORT table to the swaps and options of RISQUE using the Import Power
Scheduling Data dialog, as shown in figure 45-52.
To validate the imported PPM data, do the following:
1 Select Import Power Scheduling Data from the Data menu.
The Import Power Scheduling Data dialog is displayed, as shown in
figure 45-52.
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Figure 45-52 Import Power Scheduling Data dialog
2 Click Link External References.
RISQUE displays a confirmation message, as shown in figure 45-53.
Figure 45-53 Link External References Confirmation Message
3 Click Confirm & Update Instruments on the Import Power Scheduling
Data dialog.
The instruments are updated in RISQUE.
RISQUE displays a confirmation message, as shown in figure 45-54.
Figure 45-54 Update Instruments Confirmation Message
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You can double-click a line in the Import Power Scheduling Data dialog to open
the corresponding swap dialog. The Scheduling tab shows the imported scheduling
data, as shown in figure 45-55.
Figure 45-55 Scheduling tab of SWAP REF 006
Importing the Powernext Market Analysis
When Powernext receives a purchase order, Powernext computes the prices for each
hour of the following day. For more information about generating a Powernext
purchase order, see Powernext Order on page 672. Powernext returns a market
report with the prices for each hour and the quantity nominated hour by hour and
portfolio by portfolio. Figure 45-56 shows an example market report.
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Figure 45-56 Example Market Analysis
The received market analysis should be opened, imported, and validated as
described in Importing Scheduling Data on page 691, by selecting Import based
on : Powernext Market Analysis from the Import PPM document menu, as
shown in figure 45-56.
Powernext orders are represented as swaps in RISQUE. These swaps must have the
correct external reference in order to match them with the data stored in the
PPM_IMPORT table.
The external reference of swaps in a Powernext market analysis must be
XXX_MM_YYYY_IDENT, where:
XXX is the value of the global preference
COMMO_VPP_MARKET_ANALYSIS_REF. For more information about setting
this preference, see Setting Global Preferences on page 691.
MM is the month of the market analysis.
YYYY is the year of the market analysis.
IDENT is the identity of the portfolio for which a Powernext confirmation has
been received.
Clicking Confirm & Update Instruments on the Import Power Scheduling Data
dialog fills the swaps that represent the Powernext order. It also updates the last
value for the next day of hourly futures with the Powernext prices.
Importing the VPP Order
The VPP nomination is performed using an Excel template provided by EDF.
To import the template, do the following:
1 Open the template in Excel.
2 Select Deals ordering from the Import PPM document menu.
The order is saved in the PPM_VPP_SORT table.
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VPP Nomination
The PowerGas VPP Nomination analysis calculates the power quantities for each half
hour according to the Powernext purchase curve and the market analysis, as follows:
When the price is below the modified strike, the maximum quantity is
exercised.
When the price is higher than the modified strike plus 0.01, the quantity is
zero.
When the price is between the two plots corresponding to the modified
strike, the quantity is the ratio between the two corresponding quantities in
the purchase order.
The power quantities are displayed on the Scheduling tab of the underlying swap of
the option, as shown in figure 45-55. Dates for which the quantities have not been
validated are marked with Sched. not confirmed in the Curve. name field. Dates
for which the quantities have been validated are marked with Scheduling in the
Curve. name field. For more information about validating VPP Nomination
quantities, see Nomination VPP on page 673.
If previous data exists when VPP Nomination is performed, it is overwritten if that
date was marked sched. not confirmed. Existing data is not overwritten if it was
marked Scheduling.
To open the PowerGas VPP Nomination analysis, do the following:
1 Select a portfolio that contains a deal on either a power or a gas commodity.
2 Select PowerGas VPP Nomination from the Analysis menu.
RISQUE displays the PowerGas VPP Nomination analysis dialogue, as
shown in figure 45-57.
Figure 45-57 PowerGas VPP Nomination scenario dialogue
Note: An error message is displayed if the purchase order has not been sent
or the market analysis has not been received. For more information about
generating the purchase order, see Powernext Order on page 672. For
more information about importing the market analysis, see Importing
Scheduling Data on page 691.
3 Enter the delivery date for the VPP Nomination calculation in the Delivery
Date field.
4 Click OK to display the VPP quantities.
5 The Nomination VPP window, as shown in figure 45-58, is displayed.
The table is automatically copied to the clipboard, enabling you to paste it
into another application, such as Excel, for sending.
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RISQUE performs the PowerGas VPP Nomination analysis on the selected
portfolio and all of its sub-portfolios. For more information about manual
VPP nomination, see Power and Gas Scheduling on page 660.
Figure 45-58 PowerGas VPP Nomination Results
The columns of the Nomination VPP window are described in table 45-10.
Table 45-10 Columns of the Nomination VPP Window (Sheet 1 of 2)
Column Description
Price The prices for the following day, according to the
market analysis.
Position before VPP The value of the position before VPP nomination.
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To overwrite existing nomination data click Replace saved nomination.
To validate a nomination, by converting the status of the quantities of the day from
sched. not confirmed to Scheduling, select the Validate VPP Nomination check
box.
RTE Nomination
RTE nomination is performed at a high level, not at the level of each portfolio.
Nominate to RTE the long and the short positions by half-hour and select the filter
which is to be applied to the scheduling. For more information about setting the
granularity and counterparty filter, see Power and Gas Scheduling on page 660.
RTE nomination is performed by selecting a date in the Power and Gas Scheduling
window. For more information, see Powernext, VPP, and RTE Reports on page 671.
Power Nomination Status View
The Power Nomination Status View enables you to generate a report showing a
physical delivery summary.
To display this analysis, do the following:
1 Select the aggregation portfolio in the Portfolio window.
For more information about setting the aggregation portfolio, see Setting
Global Preferences on page 691.
2 Select Power Nomination Status View from the Analysis menu.
The Nomination VPP Scenario dialog is displayed, as shown in
figure 45-59.
Figure 45-59 Nomination VPP Scenario dialog
Market analysis The Powernext order according to the market
analysis.
Total VPP The total quantity nominated for each half-hour for
all of the VPP of the portfolio.
Position net after VPP The net position after VPP nomination. This should
be 0 for each row.
Table 45-10 Columns of the Nomination VPP Window (Sheet 2 of 2)
Column Description
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3 Enter a delivery date and click OK.
The Power Nomination Status View is displayed, as shown in
figure 45-60.
Figure 45-60 Power Nomination Status View
Table 45-11 describes the columns of the Power Nomination Status View.
Table 45-11 Columns of the Power Nomination Status View (Sheet 1 of 2)
Column Description
Portfolio Lists all child portfolios of the aggregation portfolio.
Powernext Nomination Indicates if the Powernext nomination was
successful. This column can contain the following
values:
(blank)
Not done
OK
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Click the Reset VPP Nomination button to erase all VPP nomination schedules for
the specified delivery date.
Market Analysis Indicates if the Powernext market analysis was
received. This column can contain the following
values:
blank
Not received
OK
error: instrument not found
VPP Nomination Indicates if the VPP nomination was successful and
can contain the following values:
blank
error: inconsistent status between VPPs
Not calculated
Calculated
Calculated and confirmed
Table 45-11 Columns of the Power Nomination Status View (Sheet 2 of 2)
Column Description
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Chapter 46 Inflation Hedge Analysis
This chapter describes the Inflation Hedge analysis. This analysis displays an
analysis of the inflation hedge by either zero-coupon maturities or by market point
analysis. This chapter consists of the following sections:
Configuring the Inflation Hedge Analysis on page 703
Viewing the Analysis Results on page 704
Configuring the Inflation Hedge Analysis
To launch the Inflation Hedge analysis, do the following:
1 Select a portfolio in the Portfolio window.
2 Choose Inflation Hedge from the Analysis menu. The Inflation Scenario
dialog is displayed, as shown in figure 46-1.
Figure 46-1 The Inflation Scenario dialog
3 Define the parameters for the inflation hedge analysis. The parameters are
described in table 46-1.
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Note: The settings of these parameters are remembered for the next time
you launch the analysis.
4 Click OK to launch the analysis.
Viewing the Analysis Results
The inflation hedge results display the inflation sensitivity and convexity for each
maturity date of the selected portfolio. This is shown in figure 46-2.
Table 46-1 Inflation Hedge Parameters
Name Description
Inflation Hedge Type The type of hedge analysis. This can be set to one of the
following:
Delta Zero Coupon
Market
Vega per maturity
Volatility Matrix Hedge displays the market
quotation of the volatility for individual inflation
indexes.
Analysis Currency The currency for which you want to display the inflation
hedge.
Inflation Index The index, for the selected currency, for which the analysis
is calculated.
Bump Value The amount, in percent, by which the inflation index is
bumped.
Quotation Grid The quotation grid used to calculate maturity zones. See
Defining Maturity Zones on page 651.
Detailed Results Displays detailed results for the inflation hedge.
Note: Detailed results can not be displayed for the
Volatility Matrix Hedge inflation hedge type.
Results in Analysis
Currency
The results of the analysis are displayed in the currency
chosen from the Analysis Currency drop-down list.
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Figure 46-2 The Inflation Hedge Results
The detailed inflation hedge results display the inflation sensitivity for each
instrument in the selected portfolio for each maturity date. This is shown in
figure 46-3:
Figure 46-3 The Detailed Inflation Hedge Results
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Chapter 47 Interest Rate Fixing Analysis
This chapter describes the Interest Rate Fixing analysis. This analysis displays a
diary of the future fixings by nominal and fixing date. This chapter consists of the
following sections:
IR Fixing Diary Scenario on page 707
Booking a Deal on a Debt Instrument on page 710
IR Fixing Diary Scenario
You can launch the IR Fixing Diary scenario on the positions of the following
instruments:
Floating ABS
Swapped Option with a floating leg
Swaps with a floating leg except range accrual swaps
Package and bonds basket with at least one instrument previously listed.
Important: These instruments must have an interest rate index as an
underlying.
Launching the IR Fixing Diary Scenario
You can launch the IR Fixing Diary scenario at any level of the folder hierarchy in the
Portfolio window. To launch the IR Fixing Diary scenario on a position, do the
following:
1 Select a folder or position from the Portfolio window.
2 Select IR Fixing Diary from the Analysis menu. The IR Fixing Diary
window is displayed as shown in figure 47-1.
The fixings price for the prices date and all future dates are displayed.
Table 47-2 describes the columns of the IR Fixing Diary window.
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Figure 47-1 IR Fixing Diary
IR Fixing Diary Window
The IR Fixing Diary window displays the contracts in hierarchical order. You can
expand or collapse the the contracts. You set the hierarchical order by clicking the
following radio buttons:
By Fixing Date displays the fixing by date, currency, yield curve, and
interest rate tenor. This is the default.
By Currency displays the fixing by currency, yield curve, term, and fixing
date.
Note: Clicking on a contract line opens the corresponding instrument.
The contracts are displayed in the following structure:
Table 47-1 Nested Order of Columns
Name Description
1 Currency The currency of the underlying rate
2 Yield Curve Family The yield curve family of the underlying rate. The yield
curve is needed for the forward value calculation.
3 Tenor The tenor of the underlying rate. The tenor of each
instrument is defined from the type of the interest rate
underlying of the position:
interest rate term for Monetary and CMS rate
interest rate types.
underlying interest rate term, as specified in the
set in the IR Index field.
4 Fixing date The fixing date.
5 Instrument name The instrument name.
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The contracts are ordered in the following structure:
1 The user preference currency followed by the other currencies in
alphabetical order.
2 The default yield curve for the given currency, followed by the other yield
curves in alphabetical order
3 The tenor in order of shortest to longest.
Table 47-2 describes the columns and buttons of the IR Fixing Diary Window.
Table 47-2 Columns and Buttons of the IR Fixing Diary Window
Name Description
Contract Name The contracts are displayed in hierarchical order in the
following structure.
Rate The IR Index of the instrument.
Notional The notional value of bonds and swap and the nominal value
of other instruments.
Forward value The forward value of the rate at the fixing date. This is
displayed for each tenor of the interest rate.
Lag from previous
fixing
The number of days between the current date and the next
fixing date.
Instrument Type The type of instrument.
Allotment The instruments allotment.
Start Date The forward start date of the flow of the fixing.
End Date The forward end date of the flow of the fixing.
Number of days The number of days in a the period.
Display Historic Displays all of the fixing dates of the position. That is, the
past and future fixing dates of the instrument are displayed.
Expands the hierarchical structure of a contract.
Hides the hierarchical structure of a contract.
Refreshes the data in the IR Fixing Diary window.
Books a deal on a debt instrument from the position
selected in the IR Fixing Diary window. For further
information, see Booking a Deal on a Debt Instrument on
page 710.
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Booking a Deal on a Debt Instrument
You can book a deal on a debt instrument from the IR Fixing Diary window. You can
book a deal on a debt instrument by selecting either the tenor, fixing date or the
position.
1 Select the tenor, fixing date, or position in the IR Fixing Dairy window.
- If By Fixing Date is selected, you can book a debt instrument by
selecting either the position or the tenor of the position.
- If By Currency is selected, you can book a debt instrument by selecting
either the position or the fixing date of the position.
2 Click the Book Debt Instrument button.
Note: If you select an incorrect row in the IR Fixing Diary window, the
Book Debt Instrument button is disabled.
The Commercial Paper Deal dialog is displayed.
For further information on booking a deal on a debt instrument, see Deals
on Debt Instruments on page 405.
Creating a Predefined Fund Portfolio Folder
You can create a default folder for booking debt instruments in the Portfolio
window. All deals booked on debt instruments from the IR Fixing Diary window are
automatically booked into the default folder.
To create a default folder, do the following:
1 Create a folder in your portfolio.
2 In the RISKPREF database table do the following:
- Select the FundingBookingFolio global preference.
Table 47-3 describes the columns of the FundingBookingFolio global
preference.
- Set the name of the PREFVALEUR field to the name of the folder you
created in the Portfolio window.
RISQUE now uses your debt instrument booking folder as the default
location for debt instrument booking.
Table 47-3 Values of the FundingBookingFolio Global Preference
Name Description
PREFNOM FundingBookingFolio
PREFVALEUR The user-defined name of the default debt
instrument booking folder.
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Note: You can manually select a different debt booking folder by selecting a different
portfolio from the Folio drop-down menu in the Commercial Paper Deal dialog.
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A
Adding
mirror rules ................................... 531
Analysis
Aggregate of Option Positions ... 565
Cash Delta ..................................... 553
Cega and Provision ...................... 650
Commodities ................................. 649
Commodity Risk Split .................. 653
Correlation/Maturity .................... 585
Credit (Recovery Rate) ............... 596
Credit Exposure............................ 595
Credit Scenarios ........................... 597
Crossed Greeks............................. 558
Crossed Indicators ....................... 558
Epsilon maturity ........................... 586
Evolution........................................ 559
Future Analysis ............................. 685
Future Maturity............................. 586
General analyses.......................... 551
Interest Rate Hedges .................. 566
IR Vega........................................... 587
LME Card........................................ 657
Options Position............................ 556
Portfolio Break-Up........................ 554
Power and Gas Financial Exposure.
679
Power and Gas Scheduling......... 660
Power and Gas Strips Exercise.. 677
Power and Gas VPP Nomination 690
Pricing Surfaces............................ 577
Repo................................................ 588
Scenario Lists................................ 551
Smile............................................... 588
Stock Loan components.............. 567
Stock Loan Reports...................... 569
Stress Test..................................... 561
Strike .............................................. 589
total loss ........................................ 598
Trend Scenario.............................. 553
Vega................................................ 591
Vol Matrix....................................... 592
Worst Case Scenario ................... 564
ZC Rho............................................ 592
Automatic Trades and Adjustments
Generating..................................... 218
B
Buckets
Criteria............................................ 139
Sets ................................................. 139
Slices............................................... 142
C
Cash balance
per Currency ................................. 249
Cega and Provision............................. 650
defining maturity zones .............. 651
launching........................................ 652
COMMO_VPP_MARKET_REPORT_REF...
691
COMMO_VPP_NOMINATION_AGGREGA
TION_PORTF ........................................ 691
COMMO_VPP_NOMINATION_COMMO_C
ODE........................................................ 691
Commodities
analyses ......................................... 649
tickets ............................................. 409
Consolidations ..................................... 118
by Business Sector....................... 120
Creating.......................................... 118
Deactivating .................................. 119
Deleting.......................................... 119
Conventions ........................................... 23
Corporate Action Types ..................... 301
Corporate Actions
Types .............................................. 301
D
Deal Mirroring...................................... 525
creating mirrored deals............... 532
Mirror Rules ................................... 525
Mirror Rules Definitions............... 525
Deals
Deal Input Reference Browser. . 287
Mirroring......................................... 525
Standard Deal input dialog. ....... 286
DRT Server Standalone Edition
Architecture................................... 525
Index
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E
exporting PowerGas scheduling data....
666
External References ........................... 112
Extractions
Pivot ................................................ 155
Position Link .................................. 162
Query Builder ................................ 148
F
Folio
Properties....................................... 103
Freezing the P&L................................. 178
Future Analysis.................................... 685
G
Greeks
Currency........................................... 67
Delta ................................................. 65
Epsilon.............................................. 65
Gamma............................................. 65
Rho.................................................... 67
Theta................................................. 67
Vega.................................................. 66
Guide
about................................................. 23
conventions ..................................... 23
Documentation ............................... 23
how to use ....................................... 23
L
Loading ................................................... 97
M
Menu
Analysis.............................................39
Audit ..................................................43
Customising .....................................46
Data...................................................32
Edit ....................................................31
Envir ..................................................44
File .....................................................30
Instruments .....................................34
Manager............................................43
Market ...............................................42
Parameters.......................................37
Portfolios...........................................38
Quotation..........................................39
Window.............................................45
Mirror Rules
creating...........................................528
deleting...........................................529
exercise options ............................381
Mirror Rules Selector ..........................529
adding mirror rules.......................531
removing mirror rules..................531
viewing............................................529
N
Nomination VPP.......................... 664, 673
P
P&L
Effect formulae. ............................193
Freezing..........................................178
Freezing by Batch.........................179
Frozen P&L Results.......................179
Greek effect formulae..................195
Notation..........................................196
Portfolio Result ..............................185
Reporting........................................237
Result Delta window.....................189
Result reporting ............................186
Result Variation.................... 187, 189
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P&L Attribution.....................................192
Calculations....................................193
Day Effect.......................................193
Dividend effect ..............................193
Finance Delta.................................193
Movement Delta............................193
Other Effects..................................193
Other Spot Effect ..........................193
Pure Spot Effect ............................193
Rate Delta ......................................193
Rate Effect......................................194
Repo effect.....................................194
Smile Effect....................................194
Spot Effect .....................................194
Treasury Delta...............................194
Viewing ...........................................194
Volatility Effect ..............................194
P&L Explanation...................................195
Delta Effect ....................................195
Forward Effect ...............................196
Gamma Effect................................195
Rho Effect.......................................196
Vega Effect.....................................195
P&L Notation ........................................196
P&L Variation........................................192
Parametric VaR
Commodities......................... 603, 611
Evaluating ......................................606
Pivot Extraction ...................................155
Fields...............................................155
Third Criterion ...............................161
Two Criteria ...................................158
Portfolio
Result Variation.............................187
Portfolio Column Editor ......................103
Column Expressions............ 105, 106
Expressions....................................105
Portfolio Columns
Scripting .........................................111
Portfolio Result
Breakdown .....................................185
Portfolio Window
Toolbar..............................................54
Portfolio window....................................53
Portfolios
Asset Value...................................... 68
Consolidations............................... 118
External References..................... 112
Folio Properties............................. 103
Greeks .............................................. 65
Loading............................................. 97
P&L Attribution ............................. 192
P&L Explanation............................ 195
P&L Notation ................................. 196
Pivot Extraction ............................ 155
Portfolio Column Editor............... 103
Portfolio window............................. 53
Reporting......................................... 98
Result Variation Columns ........... 197
Selective Loading........................... 98
Stock Loan Contract Modification ...
358
Stock loan with margin call........ 357
Toolbar ............................................. 54
Views ................................................ 55
Position Link
Defining.......................................... 162
Position Link Definition dialog. ........ 162
Position Linking................................... 162
Positions graph. .................................. 557
Power and Gas Financial Exposure . 679
Average Value............................... 682
Best Match Value ......................... 681
Current Position............................ 683
hedging exposure ........................ 683
Power and Gas Scheduling............... 660
creating deals ............................... 668
swap blotter .................................. 671
swap conversion........................... 671
tickets............................................. 670
viewing commodities................... 663
Power and Gas Strips Exercise........ 677
Powernext Order......................... 664, 672
POWERSCHEDULING_IMPORT_CMD ....
694
Prices Date........................................... 238
Q
Query Builder
Extractions..................................... 148
716
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R
Removing
mirror rules.................................... 531
Reporting........................................ 98, 237
FIFO .................................................. 99
FIFO Futures.................................... 99
LIFO................................................... 99
WAP................................................... 99
RE-RE NEB (Buyer) ....................664, 677
RE-RE NEB (Seller)..................... 664, 675
RE-Site NEB (Seller)................... 664, 676
Result Delta
P&L Attribution.............................. 194
Result Variation
Columns ......................................... 197
P&L Variations............................... 192
Saved EODs................................... 192
Results Frame
Financing.......................................... 64
Income ............................................. 64
Realized............................................ 64
Result................................................ 64
Treasury........................................... 64
Unrealized........................................ 64
Results frame......................................... 63
RTE ........................................................ 671
S
Sophis Script Editor............................ 111
T
Tickets
commodities .................................. 409
Listed Options ............................... 387
Power and Gas.............................. 418
TAPOs ............................................. 391
Toolbar
Portfolio............................................ 54
U
User Columns
Sophis Script Editor ..................... 111
V
VPP Status View.................................. 700