Summary

The ewrStressScenario function retrieves the profit and loss of a portfolio during a stress scenario event. This function supports only positions and portfolio as calculation levels. Since it is a ewr* function, the output will be expressed in relative terms.

Examples

In these example the chosen stress scenario is the 2007-2009 sub-prime crisis (scenario 3021).

=ewrStressScenario("pnl","portfolio", 3021, C11,D11,"EUR")

Calculates the P&L impact a market stress scenario would have on a portfolio (here one asset) defined by C11 and its corresponding weight defined by D11 that must be equal to 100%. Here, the currency is EUR.

=ewrStressScenario("pnl","portfolio", 3021, C11:C50,D11:D50,"EUR")

Calculates the P&L impact a market stress scenario would have on a portfolio whose instrument IDs are defined by C11:C50 and their corresponding weights are listed in D11:D50 that must sum up to 100%. The currency is still EUR.

=ewrStressScenario("pnl","portfolio", 3021, {"CHF","EUR"},{0.5,0.5},"EUR")

This example can be copied and pasted to Excel and will give an instantaneous result.

Syntax

ewrStressScenario(Measure, CalculationsLevel, ScenarioID, AssetsIDs[], Weights[], Currency)
Argument name Default Description
Measure   “pnl” (Profit and Loss).
CalculationsLevel   The granularity at which the results should be calculated (individual asset, portfolio).
ScenarioID   The ID of a pre-defined scenario to serve as the basis for the simulation.
AssetsIDs   Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID).
Weigths   Asset weights in the same orders as the specified asset ids and must sum up to 100%.
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”.