Summary

The elVolatility function retrieves the volatility for a list of instruments.

Examples

=elVolatility("positions","US0378331005")

Retrieves the volatility of an Apple share.

=elVolatility("positions","US0378331005",,,"252d")

Retrieves the volatility of an Apple share over a period of 252 days.

=elVolatility("portfolio",A2:A10,,"CHF")

Retrieves the volatility of a portfolio in CHF whose positions are in cells A2 to A10.

=elVolatility("contributions",C11:C50,,"CHF","30d","historicalInnovation")

Retrieves the contribution of each position located in C11:C50 to the aggregated volatility of a portfolio in CHF using a risk horizon of 30 days, and historical innovation that is the model from which the assets’ risk factors are drawn.

Syntax

elVolatility(CalculationsLevel, AssetIDs[], Quantities[], Currency, 
	RiskHorizon, ScenarioType, 
	MeasureType, Annualized)
Argument name Default Description
CalculationsLevel   The granularity at which the results should be calculated (individual asset, portfolio).
AssetIDs   Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID).
Quantities (Optional) 1 Asset quantities in the same orders as the specified asset ids.
Currency (Optional) 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”.
RiskHorizon (Optional) 10d The time interval over which the risks are estimated (i.e. between now and now + risk-horizon).
ScenarioType (Optional) historicalInnovation How the possible scenarios for the asset prices are computed.
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.
Annualized (Optional) true Whether the result should be expressed as an annualized figure. True or False.