Summary

After having defined a shock amplitude, the elStressDriver function retrieves on demand the profit and loss of a portfolio. This function supports only positions and portfolio as calculation levels.

The shortcut for this function is elStressDriverPnl that embeds the same parameters except for measure that is already accounted for when calling the function.

Examples

=elStressDriver("pnl","portfolio","fx-USD-AUD", "relative",0.1,D11:D50,E11:E50,"CHF","relative")

Calculates the P&L impact an interest curve stress would have on a portfolio of instruments defined in column C (with corresponding quantities in column D) expressed in CHF.

Syntax

elStressDriver(Measure,CalculationLevel, StressDriverID, ShockType, ShockValue, AssetsIDs[], Quantities[], Currency, MeasureType)
Argument name Default Description
Measure   pnl
CalculationsLevel   The granularity at which the results should be calculated (individual asset, portfolio).
StressDriverID   The ID of a pre-defined scenario to serve as the basis for the simulation.
ShockType   relative or absolute (Check the stress scenarios dedicated tables)
ShockValue   any number
AssetsIDs   Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID).
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.