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