ewrStressDriver
Summary
After having defined a shock amplitude, the ewrStressDriver 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 ewrStressDriverPnl that embeds the same parameters except for measure that is already accounted for when calling the function.
Examples
=ewrStressDriver("pnl","portfolio","fx-USD-AUD", "relative",0.1,D11:D50,E11:E50,"CHF")
Calculates the P&L impact an interest curve stress would have on a portfolio of instruments defined in column C (with corresponding weights in column D) expressed in CHF.
Syntax
ewrStressDriver(Measure,CalculationLevel, StressDriverID, ShockType, ShockValue, AssetsIDs[], Weights[], Currency)
| 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). | |
| Weights | Asset weights in the same orders as the specified asset ids and must sum up to 100%. | |
| 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. |