Summary

The elScenarioPnl function retrieves the profit and loss of a portfolio during a stress scenario event. This function supports only positions and portfolio as calculation levels.

Examples

=elScenarioPnl(C11:C50,3021,"portfolio",D11:D50,"CHF")

Calculates the P&L impact a market stress scenario like the 2007-2009 sub-prime crisis (scenario 3021) would have on a portfolio of instruments defined in column C (with corresponding quantities in column D) expressed in CHF.

Syntax

elScenarioPnl(AssetsIDs[], ScenarioID, 
	CalculationsLevel, Quantities[], Currency, MeasureType)
Argument name Default Description
AssetsIDs   Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID).
ScenarioID   The ID of a pre-defined scenario to serve as the basis for the simulation.
CalculationsLevel positions The granularity at which the results should be calculated (individual asset, portfolio).
Quantities   Asset quantities in the same orders as the specified asset ids.
Currency local The ISO code of the reference currency for deriving the calculation results. Specify “local” to use the instruments native currency where appropriate. It is mandatory to specify a currency when the granularity is “portfolio”.
MeasureType (Optional) relative Whether the result should be normalized. The input should be “relative” or “absolute”. “True” or “False” are still supported for the moment.