Glossary
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.
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 |
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. |