ELSTRESSDRIVER
Summary
This function will be deprecated, instead make use of ELCUSTOMSTRESSCENARIO.
After having defined a shock amplitude, the ELSTRESSDRIVER function retrieves on demand the profit and loss of a portfolio. This function supports only positions and portfolio as calculation levels.
Examples
=ELSTRESSDRIVER("pnl","portfolio","fx-USD-AUD", "relative",0.1,D11:D50,E11:E50,"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
ELSTRESSDRIVER(measure,granularity, driverId, shockType, shockValue, 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). | |
| driverId | 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). | |
| 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. |