Summary

The ELDISTRIBUTION function retrieves the forecasted scenarios of a portfolio or an instrument.

Examples

=ELDISTRIBUTION("pnl","positions", C11,D11,"quantity","EUR", 252, "historicalInnovations", "relative", FALSE)

Spans the distribution of asset C11 using the historical innovation model with a time horizon of 252 days. The quantity is in cell D11. The currency is EUR. The last parameter is set to FALSE hence the output will be a column (a row otherwise).

=ELDISTRIBUTION("pnl","portfolio",{"CHF","EUR"}, {1000,1000},"quantity","EUR", 252,"historicalInnovations", "relative", FALSE)

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

Syntax

ELDISTRIBUTION(measure, granularity, assetsIds[], amounts[], amountScheme, currency, riskHorizon, scenarioType, measureType, isRow)
Argument name Default Description
measure   “pnl” (Profit and Loss).
granularity   The granularity at which the results should be calculated (individual asset, portfolio).
assetsIds   Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID).
amounts   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”.
riskHorizon (Optional) 10 The time interval over which the risks are estimated (i.e. between now and now + risk-horizon).
scenarioType (Optional) historicalInnovations 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.
isRow (Optional) false If sets to true, the output is displayed as a row.