elVolatility
Summary
The elVolatility function retrieves the volatility for a list of instruments.
Examples
=elVolatility("positions","US0378331005")
Retrieves the volatility of an Apple share.
=elVolatility("positions","US0378331005",,, 252)
Retrieves the volatility of an Apple share over a period of 252 days.
=elVolatility("portfolio",A2:A10,,"CHF")
Retrieves the volatility of a portfolio in CHF whose positions are in cells A2 to A10.
=elVolatility("contributions", C11:C50,, "CHF", 30, "historicalInnovations")
Retrieves the contribution of each position located in C11:C50 to the aggregated volatility of a portfolio in CHF using a risk horizon of 30 days, and historical innovation that is the model from which the assets' risk factors are drawn.
Syntax
elVolatility(CalculationsLevel, AssetIDs[], Quantities[], Currency,
RiskHorizon, ScenarioType,
MeasureType, Annualized)
| Argument name | Default | Description |
|---|---|---|
| CalculationsLevel | The granularity at which the results should be calculated (individual asset, portfolio). | |
| AssetIDs | Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID). | |
| Quantities (Optional) | 1 | Asset quantities in the same orders as the specified asset ids. |
| 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". |
| 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. |
| Annualized (Optional) | true | Whether the result should be expressed as an annualized figure. True or False. |