ELDISTRIBUTION
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. |