elStressDriverPnl
Summary
After having defined a shock amplitude, the elStressDriverPnl function retrieves on demand the profit and loss of a portfolio. This function supports only positions and portfolio as calculation levels.
Examples
=elStressDriverPnl("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
elStressDriverPnl(CalculationLevel, StressDriverID, ShockType, ShockValue, AssetsIDs[], Quantities[], Currency, MeasureType)
| Argument name | Default | Description |
|---|---|---|
| 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. |