Summary

This function will be deprecated, instead make use of ELCUSTOMSTRESSCENARIO.

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.

Examples

=ELSTRESSDRIVER("pnl","portfolio","fx-USD-AUD", "relative",0.1,D11:D50,E11:E50,"quantity","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,granularity, driverId, shockType, shockValue, assetsIds[], amounts[], amountScheme, currency, measureType)
Argument name Default Description
measure   “pnl” (Profit and Loss).
granularity   The granularity at which the results should be calculated (individual asset, portfolio).
driverId   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).
amounts 1 (for quantitites) quantities or weights of the assets. Weights must sum up to 100%.
amountScheme (Optional) quantity quantity or weight
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.