ELCUSTOMSTRESSSCENARIO
Summary
After having defined a shock amplitude for each stress driver, the ELCUSTOMSTRESSSCENARIO function retrieves on demand the profit and loss of a portfolio. This function supports only positions and portfolio as calculation levels.
This function can be used instead of the pre-defined macro stress scenarios and =ELSTRESSDRIVER(). Indeed, it offers more reliable estimates and more customization.
The constraints:
- 50 custom stress scenarios per organization;
- Maximum 3 stress drivers per custom scenario;
- If the scenario hasn't been used in 10 days, it is no longer precomputed during our night run.
If you reach the limit on the number of custom stress scenarios per organisation and you would like to test new stress tests, please contact our support through our Edgelab support portal so that they can set the count back to 0.
Examples
=ELCUSTOMSTRESSSCENARIO("pnl","portfolio",D5:D7,E5:E7,F5:F7,G5:G7,H5:H7,"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
ELCUSTOMSTRESSSCENARIO(measure,granularity, driverIds[], shockTypes[], shockValues[], 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). | |
| driverIds | The IDs of a pre-defined scenario to serve as the basis for the simulation. | |
| shockTypes | relative | relative or absolute (Check the stress scenarios dedicated tables) |
| shockValues | 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. |