ewrDistribution
Introduced in version: 20.7
Last modified in version : -
Purpose : retrieve the returns' distribution of an instrument or a portfolio using one of the scenario type
Last modified in version : -
Purpose : retrieve the returns' distribution of an instrument or a portfolio using one of the scenario type
Summary
The ewrDistribution function spills the asset or portfolio returns over 500 cells. The only calculation level possible is portfolio.
Examples
=ewrDistribution("pnl","portfolio","historicalInnovation",252,C11,100%,"EUR",FALSE)
Spans the distribution of asset C11 using the historical innovation model with a time horizon of 252 days. The weight D11 must be equal to 100%. The currency is EUR. The last parameter is set to FALSE hence the output will be a column (a row otherwise).
=ewrDistribution("pnl","portfolio","historicalInnovation",252,"CH03994127",100%,"EUR",FALSE)
This example can be copied and pasted to Excel and will give an instantaneous result.
Syntax
ewrDistribution(Measure, CalculationsLevel, ScenarioType, TimeHorizon, AssetIDs[], Weights[], Currency, IsRow)
| Argument name | Default | Description |
|---|---|---|
| Measure | pnl | |
| CalculationsLevel | portfolio | |
| ScenarioType | How the possible scenarios for the asset prices are computed. | |
| TimeHorizon | The time interval over which the risks are estimated (i.e. between now and now + risk-horizon). | |
| AssetIDs | Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID). | |
| Weights | Asset weights in the same orders as the specified asset ids and must sum up to 100%. | |
| IsRow (Optional) | false | If sets to true, the output is displayed as a row |