Asset identifiers

Assets identifiers are made of a type prefix and an identifiers. Edgelab supports ISIN, Cash ISO code and Edgelab ID as main main identifiers. For these types of identifiers, the prefix is optional.

Identifier type Description Examples
ISIN The ISIN code of the instrument US0231351067
isin/US0231351067
ISO code currency ISO code of the currency of risk-free cash instruments USD
cash/USD
Edgelab ID The unique Edgelab ID of the instrument 303bca1-ba20-43c6-b4a8-882411d1efa4
id/e303bca1-ba20-43c6-b4a8-882411d1efa4

The add-in also supports the following identifiers, for which the use of an explicit prefix is mandatory.

Identifier type Description Examples
FIGI The Financial Instrument Global Identifier of the instrument figi/BBG001S5PQL7
Bloomberg Ticker The unique identifier used in Bloomberg terminal bbg/AMZN UW
SEDOL Stock Exchange Daily Official List identifier sedol/2000019

Finally, the custom identifiers which are used in your organization can also be retrieved, using the explicit csid prefix

Identifier type Description Examples
CSID Customer specific identifiers csid/custom-001

Calculation level

Argument name Description
positions performs the calculation for each position of the portfolio. This calculation level will supersede “allocations” in the upcoming version of the Add-in.
portfolio performs the calculation at the portfolio level. This calculation level will supersede “aggregates” in the upcoming version of the Add-in.
contributions provides the contribution of a position to the aggregate risk of a sub-portfolio or portfolio.

Measures for ELASSETMEASURE

The keys in the next table presents the possible types of risk figures that can be drawn from the ELASSETMEASURE function. If the parameter normalized is set to True, when a position is a fund, then the yields are aggregated with the weights of the fund’s asset class that are renormalized. For instance a fund holds 50% bonds and 50% equities. To compute the current-yield (2%) of the bond part, if normalized is True, then the function retrieves 2%. If normalized is False then the yield is 2% * 50% which is 1 %.

Note: the letter case has no influence on the functions.

Key Description
autocall-on-next-observation provides the probability of the next autocall
current-yield represents the return on a bond if one purchases it and holds it for a year
expected-time-to-maturity the expected time to maturity
no-autocall returns the probability of no-autocall
ytc yield-to-call is the total return on an instrument if it is held until the call date (before maturity)
ytp yield-to-put is the total return on an instrument if it is held until the put date (before maturity)
ytm yield-to-maturity is the total return on a bond if it is held until maturity
barrier-hit returns the probability of hitting the barrier with an instrument
fund-total-yield-with-current-yield The total current yields of funds
fund-total-yield-with-yield-to-worst The total yield to worst of funds
current-yield The current yield of the position
yield-to-worst The current yield of the position
dividend-yield The current yield of the position
earnings-yield The current yield of the position

Measures for ELASSETMEASUREPORTFOLIO

The keys in the next table presents the possible types of risk figures that can be drawn from the ELASSETMEASUREPORTFOLIO function.

Note: the letter case has no influence on the functions.

Key Description
ytc Aggregates the yield-to-call of all instruments in the portfolio (when feasible). The ytc is the total yield on an instrument if it is held until the call date (before maturity).
ytp Aggregates the yield-to-put of all instruments in the portfolio (when feasible). The ytp is the total yield on an instrument if it is held until the put date (before maturity).
ytm Aggregates the yield-to-maturity of all instruments in the portfolio (when feasible). The ytm is the total yield on an instrument if it is held until the maturity date.
fund-total-yield-with-current-yield Aggregates the current yield (when feasible) of all funds in the portfolio.
fund-total-yield-with-yield-to-worst Aggregates the yield to worst (when feasible) of all funds in the portfolio.
current-yield Aggregates the current yield of all instruments (when feasible) in the portfolio.
yield-to-worst Aggregates the yield to worst of all instruments (when feasible) in the portfolio.
dividend-yield Aggregates the dividend yield of all instruments (when feasible) in the portfolio.
earnings-yield Aggregates the earnings yield of all instruments (when feasible) in the portfolio.
total-yield-with-current-yield Aggregates the total current yield of all instruments and taking the funds’ yields at the fund level (when feasible) in the portfolio.
total-yield-with-yield-to-worst Aggregates the total current yield of all instruments and taking the funds’ yields at the fund level (when feasible) in the portfolio.

Measures for ELBENCHMARKMEASURE

The keys in the next table present the possible types of risk figures which could be used in the generic ELBENCHMARKMEASURE function.

Note: the letter case has no influence on the functions.

Key Description
tracking-error returns the tracking error of a portfolio to a benchmark
l2-distance returns the euclidian distance between the portfolio and benchmark returns
beta returns the linear relationship between the portfolio and the benchmark returns. If the benchmark return increases by 1 unit, the portfolio return will increase by beta.
correlation returns the correlation between the portfolio and the benchmark.

Measures for ELCURRENTMEASURE

The keys in the next table presents the possible types of risk figures which could be used in the generic ELCURRENTMEASURE function.

Note: the letter case has no influence on the functions.

Key Description
NPV provides the net present value
Duration returns the duration of a bond
DV01 returns the dollar change for 1bp change in the yield curve of a bond
Convexity returns the convexity of a bond
CS01 returns the dollar change for 1bp change in the credit curve of a bond
CVA returns the market value of the counterparty credit risk
delta returns the change in the option price with respect to 1 unit of change of the underlying price
gamma returns the change of delta with respect to a change in the underlying prices
theta returns the change in the option price with respect to the time decay to the expiration date.
vega returns the change in the option price with respect to a change in the underlying volatility

Measures for ELPERFORMANCEMEASURE

The keys in the next table presents the possible types of risk figures which could be used in the generic ELPERFORMANCEMEASURE function.

Note: the letter case has no influence on the functions.

Key Description
expected-return The expected return
sharpe-ratio the excess return (with respect) to a risk free rate per unit of portfolio risk (volatility)

Measures for ELRISKMEASURE

The keys in the next table presents the possible types of risk figures which could be used in the generic ELRISKMEASURE function.

Note: the letter case has no influence on the functions.

Key Description
Volatility returns the volatility measures
VaR returns the value at risk measures
ES returns the expected shortfall
average-loss returns the average-loss

Measures for ELYIELDSOLVING

The keys in the next table presents the possible types of risk figures that can be drawn from the ELYIELDSOLVING function.

Note: the letter case has no influence on the functions.

Key Description
ytc yield-to-call is the total return on an instrument if it is held until the call date (before maturity)
ytp yield-to-put is the total return on an instrument if it is held until the put date (before maturity)
ytm yield-to-maturity is the total return on a bond if it is held until maturity
current-yield represents the return on a bond if one purchases it and holds it for a year

Risk horizon

Argument name Description
10 10 days
30 30 days
252 252 days

Scenario types

Key Description
historicalReturns The scenarios are obained from the last 2 years of prices changes (relative returns)
historicalInnovations The scenarios are obtained from the last 2 years of innovations (returns discounted by the volatility), multiplied by a forecast for the volatility up to the risk horizon. The volatilities are obtained from a long memory ARCH process.