RISQUE 5.3.5.17 Portfolio Management Guide

SophisRISQUE

Portfolio Management Guide

Version 5.3.5.17Document update July 2010

RISQUE Portfolio Management Guide

2010 Sophis Technology Ltd.

The accompanying software package is confidential and proprietary to Sophis Technology Ltd. or its respective licensors. No use or disclosure is permitted other than as set forth by written license with the authorized distributors of Sophis Technology Ltd.

Trademarks

Sophis and RISQUE are trademarks of Sophis Technology Ltd. or its respective licensors. All other company or product names used herein are trademarks of its respective owners.

Support

Sophis Technology Ltd. provides support for this software package according to the terms of your license agreement. For support, please contact us using one of the following methods:

Suggestions

Your suggestions and comments about the RISQUE functionality and its documentation are highly valued and can be used to further enhance our offerings available to you. We will be glad to receive your suggestions at:

Sophis SA10 Rue Castiglione75001ParisFrance

Additional Licenses

Please contact your Sophis Technology Ltd. sales representative to order additional licenses of RISQUE software. The Sophis home page, www.sophis.net, contains a complete overview of RISQUE sales offices and further contact details.

Contact Method Details

Telephone +33 (1) 44 55 37 73

Fax +33 (1) 42 60 32 54

E-Mail [email protected]


Table of Contents

Chapter 1 — Introduction

Chapter 2 — User Interface

The Interface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29

Menu Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30

File . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30

Edit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31

Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32

Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34

Parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37

Portfolios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38

Quotation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39

Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39

Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42

Audit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43

Manager . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43

Envir . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44

Window . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45

Customising the Interface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46

Creating a New Toolbar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46

Customise the Look and Feel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47

Customising the Buttons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48

Button Appearance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48

Reset . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49

Creating a New Menu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50

3


Part 1: Portfolio Management

Chapter 3 — Portfolio Interface

Portfolio Window . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53

Toolbar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54

Views . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55

Expand or Collapse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56

Consolidations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56

Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

Balance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

Arbitrage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

Positions views . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58

Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59

Freeze P&L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59

Blotters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60

One Deal Blotters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60

Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61

Portfolio Information Display . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61

Change the portfolio header . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62

Underlying and Operator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63

Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63

Realized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64

Unrealized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64

Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64

Treasury . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64

Financing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64

Result . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64

Greeks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

Delta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

Gamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

Epsilon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

Vega . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66

Theta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67

Rho . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67

Currency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67

4


Sample Customisable Portfolio Header . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .67

Asset Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .68

List of Portfolio Columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .71

Commodity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .71

Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .73

Greeks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .74

Instrument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .79

IR Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .83

Prices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .85

Result . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .87

Result (advanced) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .89

Total Return Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .91

No Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .93

Chapter 4 — Working with Portfolios

Loading the Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .97

Loading the Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .97

Selective Loading of Portfolios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .98

Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .98

FIFO and LIFO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .99

WAP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .100

FIFO Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .100

Line Picking . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .100

Reporting on Single Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .100

Managing Folios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .101

Creating a Folio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .101

Managing the Contents of a Portfolio Folder . . . . . . . . . . . . . . . . . . . . . . . .102

Displaying Folio Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .103

User Columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .103

Creating User Columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .103

Column Expressions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .105

User Column Keywords . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .106

Scripting User Columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .110

Configuration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .111

Using the Scripting Script Editor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .111

External References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .112

Database Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .112

5


Assigning References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113

Chapter 5 — Views

View Types . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115

Hierarchical View . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116

Flat View . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116

Underlying View . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117

Consolidation View . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118

Creating a Consolidation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118

Deleting a Consolidation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119

Deactivating a Consolidation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119

Consolidating Portfolios by Business Sector . . . . . . . . . . . . . . . . . . . . . . . 120

Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120

Chapter 6 — Extractions

Viewing Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121

Extractions List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121

Extraction Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122

Managing Criteria Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126

Displaying the Extraction Criteria Dialog Box . . . . . . . . . . . . . . . . . . . . . . . 126

Creating Criteria Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129

Managing Lookthrough Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129

Creating Lookthrough Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129

Viewing Lookthrough Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131

Creating Package Lookthrough Extractions . . . . . . . . . . . . . . . . . . . . . . . . 132

Creating Full Lookthrough Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134

Creating Lookthrough Extractions on External Funds . . . . . . . . . . . . . . . . 135

Managing Bucket Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139

Defining a Bucket Set . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139

Defining Bucket Criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144

Applying Bucket Criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144

Managing SQL Filter Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145

Manual SQL Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145

Dynamic SQL Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147

Managing Pivot Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155

Configuring Pivot Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155

Displaying Two Criteria Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158

6


Displaying Three Criteria Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .161

Linking Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .162

Defining Position Links . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .162

Merging Position Links . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .163

Deleting Position Links . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .163

Displaying Position Link Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .163

Chapter 7 — Fund Alerts

The Alert Window . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .165

Defining a User Alert . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .167

Defining Alert Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .167

The Alert Counter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .168

Alerts in Portfolio Extractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .169

Chapter 8 — P&L

Mark P&L Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .171

Instrument Types . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .173

Instrument Features . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .175

Creating a Rule Set . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .177

Freezing the P&L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .178

Dynamic P&L Freeze . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .181

Dynamic P&L for Alternate Business Week . . . . . . . . . . . . . . . . . . . . . . . . .185

Displaying the Portfolio Result and its Breakdown . . . . . . . . . . . . . . . . . . . . . .185

Multisite End of Day in the Results Reporting Window . . . . . . . . . . . . . . . .186

Result Variation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .187

Prerequisites . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .188

Running the Result Variation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .189

Multisite End of Day Results in the Results Variation Window . . . . . . . . . . .191

Saved EODs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .192

P&L Variations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .192

P&L Attribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .192

Calculations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .193

Viewing the P&L Attribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .194

P&L Explanation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .195

P&L Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .196

Database Field and Table Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . .196

Result Variation Columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .197

7


Chapter 9 — Electronic Trades

Managing Electronic Trades . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209

Chapter 10 — Automatic Tickets

Generating Automatic Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 213

Launching Forecasts for All Portfolios . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214

Launching Forecasts for Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214

Alert Book . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 215

Alert Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 217

Forecast on Individual Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218

Automatic Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218

Automatic Trades Buttons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219

Ticket Icons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 220

Filtering Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 221

Grouping Entries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 224

Pre-generation Checks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 224

Global Preferences . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 224

Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225

Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225

Caps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225

Expiry Tickets for Packages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225

Futures on Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225

Inflation Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 226

Stock Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 226

Automatic Tickets for Stock Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . 226

Share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227

New Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227

Market Delivery . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228

Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228

Cash and Apply . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229

Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230

Currency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230

Future . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 231

Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 232

Floating Rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 232

Commodity Leg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 232

Equity Leg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233

8


Payment Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .233

Fixings For Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .233

Forward Forex . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .234

Debt Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .234

Unpackaged Debt Instrument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .234

Packaged Debt Instrument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .235

Stock Loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .235

Stock Loan without Margin Calls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .235

Stock Loan with Margin Calls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .236

Chapter 11 — Portfolio Valuation

Creating the Accounting Period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .237

Loading Market Prices for Specific Dates . . . . . . . . . . . . . . . . . . . . . . . . . . . . .238

Selecting Currency and Other Position Histories for Pricing . . . . . . . . . . . .241

Analysing the Result and its Breakdown . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .241

Evaluating the Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .242

Evaluating through Arbitrage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .242

Dealing with Funding Costs and Financing Calculation . . . . . . . . . . . . . . . . . .243

Calculating the Cash Balance and Physical Stock . . . . . . . . . . . . . . . . . . . . . .244

Cash Balance Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .244

Detailed Cash Balance Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .246

Cash Balance Per Currency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .249

Margin Calls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .251

Calculating Risk Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .251

Viewing Greek Values in the Portfolio Window . . . . . . . . . . . . . . . . . . . . . .252

Recalculating the Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .253

Calculations on New Deals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .253

Performing Calculations on Individual Positions . . . . . . . . . . . . . . . . . . . . . . . .254

Chapter 12 — Fast P&L

Enabling Fast P&L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .255

Configuring Fast P&L Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .257

Fast P&L Categories Buttons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .258

Fast P&L Categories Columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .258

Defining Fast P&L Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .265

Viewing Deleted Fast P&L Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . .266

Applying a Fast P&L Category . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .266

9


Performing Fast P&L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 267

Fast P&L Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 268

Chapter 13 — Simulation Mode

Activating Simulation Mode . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 271

Creating a Deal in Simulation Mode . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 271

Deactivating Simulation Mode . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272

Viewing a Simulated Modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272

Approving a Simulated Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272

Modification Behaviour in Simulation Mode . . . . . . . . . . . . . . . . . . . . . . . . . . . 273

Chapter 14 — Derivative and Option Lists

Derivative List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 275

Adding a Derivative List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 275

Displaying Derivatives Lists . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 276

Deleting a Derivatives List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 278

Deleting a Derivative from the Derivative List . . . . . . . . . . . . . . . . . . . . . . . 278

Option List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 278

Adding an Option List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 279

Displaying an Option List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 280

Editing Values in the Option List Window . . . . . . . . . . . . . . . . . . . . . . . . . . 281

Content of the Option List Window . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 282

Part 2: Deal Management

Chapter 15 — Deals

Creating Deals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 285

Creating a New Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 285

Creating a Deal on an Instrument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 287

Using the Deal Input Dialog . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 288

Changing Currency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 290

Viewing the Underlying . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 291

Viewing Depository Details . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 291

Setting the Price Type . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 292

Business Events . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 294

Movements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 296

10


Workflow . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .297

Chapter 16 — Corporate Actions

Creating a Corporate Action . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .299

Corporate Action Types . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .301

Generating Corporate Actions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .301

Automatic Tickets linked to Corporate Actions . . . . . . . . . . . . . . . . . . . . . . . . .302

Dividend and Tax Credit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .303

Dividend . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .303

Tax Credit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .304

Split of a Share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .305

Free Attribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .306

Listed Split - Split of a Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .308

Listed Closing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .309

Demerger . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .310

Merger . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .311

Right Demerger . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .313

Renaming . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .314

Redemption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .316

Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .317

Merger Average Price . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .318

Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .318

Dividend Technical considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .318

Split Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .318

Free Attribution Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . .320

Tax Credit Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .320

Demerger Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .320

Merger Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .321

Right Demerger Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . .322

Renaming Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .322

Listed Split Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .322

Listed Closing Technical Considerations . . . . . . . . . . . . . . . . . . . . . . . . . . .322

Chapter 17 — Deals on Cash Instruments

Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .325

Automatic Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .326

Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .326

11


Automatic Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 328

Partial Redemption Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 329

ABS Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 330

Automatic Tickets for ABS Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 331

Baskets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 332

Manually Creating a Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 332

Movements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 333

Basket Ticket Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 334

Commissions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 334

Blocking a Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 335

Crossings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 336

Chapter 18 — Deals on Swaps

Asset Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 337

Bond Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 337

Total Return Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 338

Creating a Deal on a Total Return Swap . . . . . . . . . . . . . . . . . . . . . . . . . . 338

Booking a Deal on TRS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 339

Payment Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 340

Dividends on Total Return Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 340

Basket Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 341

Booking a Deal on a Basket Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 341

Business Events for Basket Adjustment Coupons . . . . . . . . . . . . . . . . . . . 344

Basket Adjustment Ticket . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 345

EQUITY_SWAP_FINAL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 346

Automatic Tickets for Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 346

Floating rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 347

Equity leg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 347

Payment Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 347

Payment Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 348

Chapter 19 — Deals on Stock Loans

Booking a Stock Loan using the Deal Input Window . . . . . . . . . . . . . . . . . . . . 352

Booking a Stock Loan using Drag&Drop to Portfolio . . . . . . . . . . . . . . . . . . . . 352

Booking a Stock Loan Using the Tickets Menu . . . . . . . . . . . . . . . . . . . . . . . . 353

Template Selector Window . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 355

Stock loans with Margin Calls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 357

12


Commission Modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .357

Collateral/Repo Spread Modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .358

Stock Loan Deal Modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .358

Maturity Modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .359

Spot Modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .360

Partial Return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .362

Repricing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .366

Automatic Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .369

Stock Loan without Margin Calls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .369

Stock Loan with Margin Calls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .370

Chapter 20 — Deals on Stock Derivatives

Standard Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .371

Barrier options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .372

Automatic Tickets for Stock Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .373

Automatic Tickets for Stock Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . .374

Share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .374

New Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .375

Market delivery . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .375

Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .376

Cash and Apply . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .377

Currency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .377

Future . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .378

Early Exercise of an Option . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .379

Booking an Early Exercise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .381

Capturing a Movement on an OTC Option . . . . . . . . . . . . . . . . . . . . . . . . . . . .382

Digital, Look-Back, Two-Underlying and Average Options . . . . . . . . . . . . . . . .382

Chapter 21 — Deals on Listed Options

Booking a Listed Option . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .385

Booking Deals on Listed Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .387

Chapter 22 — Deals on TAPOs

Booking Deals on TAPOs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .391

Chapter 23 — Deals on Futures and Forwards

13


Futures Spread Transaction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 395

Chapter 24 — Forex Deals

The Foreign Exchange Deals Dialog . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 397

Booking a Spot Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 402

Booking a Forex Forward Outright Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 403

Booking a Forex Non-Deliverable Forward . . . . . . . . . . . . . . . . . . . . . . . . . . . 403

Booking a Forex Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 404

Forex Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 404

Chapter 25 — Deals on Debt Instruments

Booking a Loan on Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 405

Automatic Tickets for Debt Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 406

Unpackaged Debt Instrument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 407

Packaged Debt Instrument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 407

Chapter 26 — Deals on Commodities

Standard Commodities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 409

Deals on Standard Commodities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 409

Automatic Tickets for Standard Commodities . . . . . . . . . . . . . . . . . . . . . . . 413

LME Commodities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 416

Deals on an LME Commodities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 416

Automatic Tickets for LME Commodities . . . . . . . . . . . . . . . . . . . . . . . . . . 417

Power and Gas Commodities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 418

Deals on Power and Gas Commodities . . . . . . . . . . . . . . . . . . . . . . . . . . . 418

Automatic Tickets for Power and Gas Commodities . . . . . . . . . . . . . . . . . . 418

Asian Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 430

Chapter 27 — Deals on Inflation Instruments

Inflation Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 431


Inflation Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 433


Inflation Caps/Floors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 435


Inflation Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 437

14


Automatic Tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .438

Chapter 28 — Deals on Packages

Booking Packages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .439

Generating Automatic tickets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .439

Chapter 29 — Creating Deals on External Funds

Creating Deals on External Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .441

Lock-up Status in Redemption Deals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .444

Chapter 30 — Multiple Deals

Capturing a Series of Trades via Spreadsheet . . . . . . . . . . . . . . . . . . . . . . . . .445

Column Names . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .446

Entering Multiple Deals with the Trade Blotters . . . . . . . . . . . . . . . . . . . . . . . .448

Cross-Asset Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .449

Asian/Swaption Trade Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .451

Fixed Swap Trade Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .453

Float Swap Trade Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .454

LME Daily Future Trade Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .456

Power and Gas Asian/Swaption Trade Blotter . . . . . . . . . . . . . . . . . . . . . . .458

Power and Gas Float Swap Trade Blotter . . . . . . . . . . . . . . . . . . . . . . . . . .459

Power and Gas Trade Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .459

Credit Default Event Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .461

Credit Default Swap Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .462

Forex Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .464

Vanilla FX Option Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .466

Forex Basis Swap Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .468

Tenor Basis Swap Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .470

Interest Rate Swap Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .472

Variance Swap Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .473

Chapter 31 — One Deal Blotters

Asian/Swaption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .478

Asian / Swaption Contract Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .478

Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .479

Asian/Swaption in Lots . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .480

15


Fixed Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 480

Swap Contract Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 481

Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 482

Float Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 483

Swap Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 484

Leg 1 Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 485

Leg 2 Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 485

Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 485

LME Daily Future . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 486

Forward Contract Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 487

Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 487

Power&Gas Asian/Swaption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 488

Asian / Swaption Contract Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 489

Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 490

Power&Gas Float/Float . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 491


Leg 1 Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 492

Leg 2 Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 493

Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 493

Power&Gas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 494


Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 496

Credit Default Event . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 496

Contract Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 497

Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 498

Credit Default Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 499

Cross-Asset . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 501

Instrument Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 502

Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 503

Forex Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 503

Forex Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 504

Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 505

Vanilla FX Option . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 506

Option Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 507

Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 508

Calculation Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 508

Hedge (optional) Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 509

16


Forex Basis Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .509

Swap Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .510

Receiving Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .511

Paying Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .511

Forex Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .512

Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .512

Calculation Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .513

Tenor Basis Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .513

Swap Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .514

Receiving Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .515

Paying Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .515

Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .515


Interest Rate Swap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .516

Swap Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .517

Floating Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .518

Fixed Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .518

Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .519


Variance Swap Blotter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .519

Swap Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .520

Variance Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .521

Fixed Leg Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .521

Deal Frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .522


Chapter 32 — Deal Mirroring

Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .525

Mirror Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .525

Mirror Rules Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .525

Creating Mirror Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .528

Deleting Mirror Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .529

Viewing Previously Deleted Mirror Rules . . . . . . . . . . . . . . . . . . . . . . . . . . .529

Mirror Rules Selector . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .529

Viewing the Mirror Rules Selector . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .529

Adding a Mirror Rule to Mirror Rules Selector . . . . . . . . . . . . . . . . . . . . . . .531

Removing a Mirror Rule from the Mirror Rules Selector . . . . . . . . . . . . . . . .531

17


Creating Mirror Deals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 532

Creating Multiple Mirror Deals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 533

Modifying Mirror Deals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 534

Mirror Deal Identification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 534

Automatic Mirroring . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 535

Creating Automatic Mirroring Deals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 536

Chapter 33 — Line Picking

Viewing the Line Picking on Position window . . . . . . . . . . . . . . . . . . . . . . . . . 538

Line Picking on Position Header . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 538

Line Picking on Position Frames . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 539

Line Picking on Position Frames Column Configuration . . . . . . . . . . . . . . . 540

Performing Line Picking . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 542

Picking Part of a Sell Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 542

Picking All of a Sell Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 543

Deleting Line Picking . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 544

Part 3: Portfolio Analysis

Chapter 34 — Portfolio Analysis

Chapter 35 — General Analysis

Scenario Lists . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 551

Defining Scenarios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 552

Running the Scenario . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 553

Running by batch . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 553

Viewing the Cash Delta with the Trend Scenario . . . . . . . . . . . . . . . . . . . . . . 553

Viewing the Break-Up of the Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 554

Viewing the Position Of Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 556

Viewing the Crossed Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 558

Viewing the Crossed Greeks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 558

Evaluating the Evolution of the Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 559

Running A Stress Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 561

CSV file . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 561

Stressable data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 562

Selector Columns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 563

18


Viewing Worst Case Scenario . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .564

Viewing the Aggregate of Option Positions by Maturities and Strikes . . . . . . . .565

Displaying Interest Rate Hedges . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .566

Viewing the Components of Stock Loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . .567

Stock Loan Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .569

Viewing the Stock Loan Components for an Instrument . . . . . . . . . . . . . . .569

Viewing the Positions of Stock Loans by Portfolio . . . . . . . . . . . . . . . . . . . .571

Cash Flow Diagram . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .572

Chapter 36 — Analytical Graphs

Clauses Effect Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .575

Displaying the Pricing Surface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .577

Adjusting the Pricing Surface 2D Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .579

Adjusting the Pricing Surface 3D Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .579

Exporting Graphs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .582

Viewing the Monte Carlo Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .583

Chapter 37 — Maturity Analysis

Correlation/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .585

Detailed Correlation Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .586

Epsilon maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .586

Family Rho/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .586

Future Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .586

IR Vega maturities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .587

Repo/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .588

Smile/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .588

Strike/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .589

Vega Maturity/Spot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .589

Vega/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .591

Vol Matrix/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .592

ZC Rho/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .592

Chapter 38 — Credit Analysis

Credit Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .595

Credit (Recovery Rate) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .596

Credit Zero Coupon, Credit Market and Credit Hedging Scenarios . . . . . . . . .597

Credit Hedging . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .597

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Credit total loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 598

Chapter 39 — Parametric Analysis

Parametric VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 601

Creating a .csv File . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 602

Including Commodities in the Parametric VaR . . . . . . . . . . . . . . . . . . . . . . 603

Calculating the Parametric VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 606

Viewing the Parametric VaR Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 610

Viewing Additional Parametric VaR Displays . . . . . . . . . . . . . . . . . . . . . . . 611

Parametric Volatility Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 613

Chapter 40 — Historic Correlations

Configuring Historic Correlations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 615

Extraction Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 618

Generating the Historic Correlations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 618

Correlation Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 618

Sequences . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 619

Volatility . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 619

Correlations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 620

Generating the Correlation Output . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 620

Correlation Matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 620

CSV file . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 620

The Report Log File . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 622

Oracle Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 623

Chapter 41 — IR Delta Analysis

Selecting the IR Hedge Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 625

Viewing IR Hedge Delta Breakdown Analysis . . . . . . . . . . . . . . . . . . . . . . . . . 626

Viewing IR Hedge Delta Forward Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . 627

Viewing IR Hedge Delta Swap Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 628

Running IR Delta Swap analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 629

Viewing IR Hedge Delta Reset Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 629

Viewing IR Hedge Delta Zero Coupon Analysis . . . . . . . . . . . . . . . . . . . . . . . 630

Running IR Hedge Delta Zero Coupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . 631

Viewing IR Hedge Vega Swaption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 631

Interest Rate Hedge — Cash Forward . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 632

Launching the Cash Forward Scenario . . . . . . . . . . . . . . . . . . . . . . . . . . . . 633

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Exposure Maturity List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .636

Chapter 42 — Risk Matrix Analysis

Viewing the Risk Matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .637

Working With Scenarios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .639

Saving settings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .639

Loading settings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .639

Deleting settings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .640

Chapter 43 — Counterparty Analysis

Counterparty Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .641

Counterparty Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .642

Full Extraction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .643

Chapter 44 — Forex Analysis

FXVolMatrix/Maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .645

Delta Adjustment Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .646

P&L Jump Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .647

Chapter 45 — Commodity Analysis

Cega and Provision . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .650

Defining Maturity Zones . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .651

Launching the Cega and Provision Analysis . . . . . . . . . . . . . . . . . . . . . . . .652

Commodity Risk Split . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .653

Commodity Crossed Gamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .655

Commodity Index Delta Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .655

LME Card . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .657

Power and Gas Scheduling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .660

Viewing Commodities in the Commodities Pane . . . . . . . . . . . . . . . . . . . . .663

Viewing the Exposure Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .667

Creating Deals to Convert Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .668

Converting the Swap Deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .671

Powernext, VPP, and RTE Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .671

Power and Gas Daily Strips Exercise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .677

Power and Gas Financial Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .679

Power and Gas Load Split . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .684

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Delta, Gamma, and Vega Future Analyses . . . . . . . . . . . . . . . . . . . . . . . . . . . 685

Configuring the Delta, Gamma, and Vega Future Analyses . . . . . . . . . . . . 686

Viewing the Future Analysis Delta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 687

Viewing the Future Analysis Gamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 688

Viewing the Future Analysis Vega . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 690

Power Physical Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 690

Setting Global Preferences . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 691

Importing Scheduling Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 691

Importing the Powernext Market Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . 696

Importing the VPP Order . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 697

VPP Nomination . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 698

RTE Nomination . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 700

Power Nomination Status View . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 700

Chapter 46 — Inflation Hedge Analysis

Configuring the Inflation Hedge Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 703

Viewing the Analysis Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 704

Chapter 47 — Interest Rate Fixing Analysis

IR Fixing Diary Scenario . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 707

Booking a Deal on a Debt Instrument . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 710

22


Preface

About this Guide

This guide is written for anyone that uses RISQUE 5.3.5.17.

How to use this Guide

This guide provides information about the Portfolio and Analyses provided by RISQUE 5.3.5.17.

Conventions

This section describes the typographical conventions used in this document.

• Courier New font is used for code, parameters, and screen output.• Courier Bold font is used for filenames, directory structures, URLs and

user input.• Italics are used for names of guides and references to other sections.

• Verdana Bold is used for items on the Graphical User Interface.

RISQUE Documentation

This guide forms part of RISQUE documentation which comprises the following:

Document Description

Back Office Installation Guide

Describes the Back Office Services that support the Back Office functionality in RISQUE, and provides procedures for installing the services.

23


Back Office User Guide Describes the modules that comprise the Back Office functionality and provides procedures for configuring and using them. The modules include:

• Back Office Kernel• Confirmations and Payments (OTC)• Settlements (Securities)• Accounting

In addition, it describes the Back Office user rights.

Back Office Programming Guide

Describes the Sophis Markup Language Tags and how to use them in Back Office document templates.

Core Installation and Configuration Guide

Describes the CORBA services and architecture that support RISQUE and Back Office Services, and provides procedures for installing and configuring the CORBA services.

Collateral Management User Guide

Describes the Collateral Management module and provides instructions for installing, configuring, and using it.

Administration Guide Describes the RISQUE architecture and provides information for administering or configuring the following:

• System preferences and general administration tasks

• User rights and security logs• Reference futures• End of Day and Year procedures• Portfolio calculation and valuation• Pre-calculations and night batches• Tax credits• Currencies, Interest Rates, Interest Rate Curves• Exchanges• Market Data Category and Pricer Category• Swaption and Cap/Floor Volatility• Third Parties• Real-time and historical prices.

Installation Guide Describes the RISQUE architecture, and provides procedures for installing the RISQUE application.

Instrument Reference Guide

Describes working with instruments in RISQUE and provides procedures for the following:

• Creating instruments • Editing instruments• Referencing instruments• Configuring Listed Markets• Instrument Lists


24


:


Describes the aspects of managing trades in RISQUE and provides procedures for the following:

• Creating deals and automatic tickets• Managing portfolios• Analysing portfolios, through reporting and creation

of scenarios• Auditing the history of changes and updates and

providing guidelines for interpreting the results


25


26


Chapter 1 Introduction

This guide describes user tasks.

These tasks are broken down into the following parts:

• Introduction to the interface — This chapter describes starting RISQUE, the interface and gives a listing of the functionality of each menu.

• Part 1:, Portfolio Management — This part describes the use of the portfolio. The following topics are described:

- The portfolio interface- Working with portfolios- Creating specific views and extractions- Creating deals and multiple deals- Profit and Loss- Electronic Trades- Automatic Tickets- Valuation

• Part 2:, Deal Management — This part describes the deals you can make on the varying types of instrument.

• Part 3:, Portfolio Analysis — This part describes the analyses you can perform on your deals and instruments. The following types of analysis are described:

- General analyses- Maturity-based analyses- Credit-based analyses- Parametric analysis- Risk matrices- Future-based analyses- Counterparty analysis

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Chapter 2 User Interface

This chapter describes the graphical user interface (GUI). It contains the following sections:

• “The Interface” on page 29• “Menu Overview” on page 30• “Customising the Interface” on page 46

The Interface

The main RISQUE User Interface is shown in figure 2-1:

Figure 2-1 Application interface.

29


The following describes the menu options that appear at the top of the window.

• File• Edit• Data• Instruments• Parameters• Portfolios• Quotation

• Analysis• Market• Audit• Manager• Envir

Important: The Back Office menus are not described in this book. They are described in the Back Office User Guide, which is delivered with this installation set. If you have not purchased and installed the Back Office Module, the Back Office menus are inactive. For more information on the Back Office and its functionality, consult your Sophis Sales contact.

Menu Overview

Note: The menus available are dictated by the rights assigned to you. For more information on your user rights, consult your system administrator.

File

Table 2-1 describes the File menu items.

Table 2-1 File menu items (Sheet 1 of 2)

Menu Option Description

Activate the Reuter Link

Activates the link to Reuters.

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Edit

Table 2-2 describes the Edit menu items.

Activate the Simulation

Activates the Simulation Mode. In this mode, modifications made are not automatically saved - new positions are displayed only in the Simulation Mode. When deactivating the Simulation Mode, all modifications made during the simulation are displayed. The user can then choose to save them or not.

Close Closes the active window.

Events Window Opens the Events window. This window displays the warnings generated for specific events. For example, when a volatility is negative, a warning message is displayed in the Events Window.

Find Opens the Find window, which allows you to search for a reference code or name in a portfolio.

Information Displays detailed information or a graph in relation to the selected item.

Lock Workstation Locks this session. You must enter your password to unlock the application.

New Creates a new instrument or deal, depending on which window has focus.

Open Opens the selected instrument or deal, depending on which window has focus.

Page Set-up Defines your printing preferences.

Pre-defined printing Opens the Ready-to-Print Reports window.

Preferences Manager Opens the Preferences Manager window. You can load or save a set of preferences using the Preferences Manager

Preferences... Opens the Preferences window. You can use this dialog box to define all of your user preferences. For more information on the Preferences, see the Administration Guide.

Print Prints the information contained in the selected window.

Quit Closes the application.

Reconnection Reconnects the system to the Real-Time server.

Save Saves the current instrument or deal, depending on which window has focus.

Table 2-1 File menu items (Sheet 2 of 2)


31


Data

Table 2-3 describes the Data menu items.

Table 2-2 Edit Menu


Clear Clears the selected field.

Copy Copies the selected item to the clipboard.

Cut Cuts the selected item to the clipboard.

Delete Deletes the selected item.

Downward Copy Populates fields specified by the user with a selected value from an above field.

Insert Inserts the item held in the clipboard at the position of the cursor.

Insert Worksheet Opens the worksheet window.

Move Ticket Moves a deal from one movement line to another.

Paste Pastes the item held in the clipboard to the selected position.

Segment Ticket Segments a deal in to smaller movements.

Solve Calls the optional Solver module. Note: Please refer to the Solver User Guide for more

information.

SQL Query Opens the SQL Query composition window.

Undo Undo your last action.

XML Copy Copies the details of instrument to XML, which may then be saved as a file.

Table 2-3 Data Menu items (Sheet 1 of 3)


Access History Opens a window displaying the history, as a table, of market prices for a given instrument.

Arbitrage Rule Opens a window that displays the Arbitrage Rule for a selected security.

Bucketed Criteria Opens the Bucket criteria dialog.

Bucket Sets Opens the Bucket Sets list.

Calendar Opens the calendar of working days and settlement dates.

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Change Owner Allows you to change the owner of deal tickets.

Commissions Opens a window displaying the commissions.

Commodities Correlations Builder

Opens the Commodity Correlations Builder window, which allows you to compare the volatility of futures within specified commodity baskets.

Compliance Rule Builder Opens the Built rule properties window, which allows you to build compliance rules.

Compliance Rules Opens a window displaying compliance rules.

Contract Opens Microsoft Word in order to write a description of an Over-the Counter contract, which will then be associated with a security.

Corporate Action Opens a window that allows you to view and key-in corporate actions on shares.

Correlations Opens the Correlation window.

Currencies Opens a window displaying the list of currencies.

Default Event Opens the Default Event List window, which enables you to define the events that may cause creditors to fail to honour their debts.

Dividends Taxation Rules Opens the Dividends Taxation Rules window.

Dividends Taxation Selector Opens the Dividends Taxation Selector list.

External References Opens the External References window for a highlighted instrument.

Future analysis weights Opens the Future Analysis Weight window.

Global RIC’s Prefix Opens the General Prefix Name window.

History Opens a window displaying the history of market prices for a given instrument.

Hull and White Model Data Opens a window that allows you to set data for the Hull and White model for swaptions.

Interest Rates Opens a window listing interest rates.

Issuers Opens the Issuer definition window.

Measure Unit Opens the Measure Unit window, which is used to define new measure units and edit values of existing units.

Power & Gas Delivery Profiles

Opens the Commodity Periodicity Profiles window, which allows you to define non-standard profiles and periods for commodity swaps.

Rating Displays the Rating Agencies window. For more information, see the Credit Derivatives information in the Instrument Reference Guide.



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Instruments

Table 2-4 describes the Instruments menu items.

Real-Time Parameters Opens a window that displays the Real-Time configuration for a selected instrument.

RIC List Opens a window displaying the list of RICs.

Sectors Displays the Business Sectors window. For more information, see the Credit Derivatives information in the Instrument Reference Guide.

Seniorities Opens the Seniority List window.

SL Instrument Status Displays all the stock loans for a selected instrument.

Third Parties Opens a window displaying the third parties.

Universal References Opens the Universal Reference list.

User Columns Opens the Edit user column window. This dialog box enables you to define a column that you can then display in the Portfolio window.

Table 2-4 Instrument Menu items (Sheet 1 of 3)


Add a Sub-List Opens a dialog that allows you to create a new, user-defined selection option in the Instruments menu.

Asset Swaps Opens a window containing all of the asset swaps in the system.

Bond Baskets Opens a window containing all of the bond baskets in the system.

Bonds Opens a window containing all of the bonds in the system.

Caps and Floors Opens a window containing all of the caps and floors in the system.

Commodities Opens a window containing all of the commodities in the system.

Commodity Baskets Opens a window containing all of the commodities baskets in the system.

Commodity Derivatives Opens a window containing all of the commodities derivatives in the system.



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Commodity Futures Opens a window containing all of the commodities futures in the system.

Commodity Swaps Opens a window containing all of the commodities swaps in the system.

Commodity Swap Templates Opens a window containing all of the commodities swap templates in the system.

Contracts for difference Opens a window containing all contracts for difference in the system.

Convertibles and Indexed Opens a window containing all of the convertibles and indexed items in the system.

Credit Default Swaps Opens a window containing all of the credit default swaps in the system.

Cross Currencies Swaps Opens a window containing all of the cross currency swaps in the system.

Debt Instruments Opens a window containing all of the debt instruments in the system.

Delete a Sub-List Opens a dialog that allows you to delete any user-defined selection options from the Instruments menu.

Equity Swaps Opens a window containing all of the equity swaps in the system.

Exchange Rate Futures Opens a window containing all of the exchange rate futures in the system.

Exchange Rate Options Opens a window containing all of exchange rate options in the system.

General List Opens a window that contains a list of all of the instruments in the system.

Index Futures Opens a window containing all of the index futures in the system.

Indexes and Baskets Opens a window containing all of the indexes and baskets in the system.

Interest Rate Derivatives Opens a window containing all of the interest rate derivatives in the system.

Interest Rate Futures Opens a window containing all of the interest rate futures in the system.

Interest Rate Swaps Opens a window containing all of the interest rate swaps in the system.

Loans on Stock Opens a window containing all of the loans on stock in the system.



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Packages Opens a window containing all of the packages in the system.

Repos Opens a window containing all of the repos in the system.

Shares Opens a window containing all of the shares in the system.

Singled legged swaps Opens a window containing all of the single-legged swaps in the system.

Stock Derivatives Opens a window containing all of the stock derivatives in the system.

Swapped Options Opens a window containing all of the swapped options in the system.



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Parameters

Table 2-5 describes the Parameters menu items.

Table 2-5 Parameter Menu items


CDO Implied Correlation

Opens a window that allows you to define the implied correlation for instruments that have the CDS model defined.

Credit Risk Curve Opens the Credit Risk Data window for the selected instrument.

Default Probabilities Opens the default probabilities for the selected instrument.

Dividends Opens the Dividends window for the selected instrument.

Market Categories Opens the Market Categories window, which allows you to group up to three types of instruments and display specific curve families for the group.

Option Pricer Categories

Opens the Options Pricer Categories window, which enables you to control the pricing models without parameterising individual Financial instruments.

Parameters Set Opens a window that allows you to change the Oracle table used for a specific task.

Parametric Credit Spread

Opens a window that allows you to define the parametric credit spread for instruments that have the CDS model defined.

Parametric Volatility Opens the parametric volatility dialog for the selected instrument.

Power and Gas Volatility

Opens the volatility window for Power and Gas commodities.

Prices Date Opens a window that allows you to specify price values associated with dates other than the system date.

Rating Opens the rating definition window.

Repo Curves Opens the Repo Margin window for the selected instrument.

Sector Opens the Business Sector definition window.

Specific Volatility Matrix

Opens the Swaptions Volatility Matrix window if you have selected a cap or floor.

Volat Graph Opens the Volatility window for a selected instrument.

Volat Matrix Opens the matrix volatility for a selected instrument.

Worksheet list Opens the list of worksheets for power, gas, etc.

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Portfolios

Table 2-6 describes the Portfolios menu items.

Table 2-6 Portfolio menu items (Sheet 1 of 2)


Add a Consolidation Opens a window that allows you to add a user-defined consolidation.

Alert Book Opens the Alert MANAGER window which displays all future events (such as Dividends & Maturity of Options) that may impact on the portfolio.

Alert Portfolio Opens the Alert Portfolio window which displays all portfolios that contain movements linked to events that occur within the period defined for an alert.

Automatic Tickets Opens a window that lists all of the automatic tickets.

Calculate Baskets Re-calculates the baskets.

Calculate Implied Spot Re-calculates the implied spot.

Calculate Now (F9) Recalculates the underlyings of the selected portfolio.

Fast Calculation (F10) Applies a selected fast P&L mode to specific different types of instruments and triggers to recalculate theoretical values using the last values from the Calculate Now operation as the quotation. For more information, see “Fast P&L” on page 255.

Delete a Consolidation Opens a window that allows you to delete any user-defined consolidations.

Electronic Tickets Opens a window that lists all of the electronic trades.

Extraction Opens a window that lists all of the report extraction types.

Instrument Book Displays a list of all Instruments that have been created or modified today.

Launch Forecasts Launch Forecasts allows you to exercise options and forecast cash flows for certain types of tickets.

Load Load the portfolios.

Movement History Opens a dates dialog box and a window that displays the trade history for a given folder.

Pivot Extraction Opens the Pivot Extraction List window.

Refused Deals BO Opens a dates dialog box and a window that displays all of the refused back office trades for a given folder.

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Quotation

Table 2-7 describes the Quotation menu items:

Analysis

This section describes the Analysis menu items:

Reporting Opens the Reporting window, which defines how positions are to be recalculated, for a correct Profit & Loss value.

For more information on Reporting, see “Reporting” on page 98.

Result Reporting (F8) Opens the Result Reporting window which displays the result of a portfolio and its breakdown.

For more information on Reporting, see “Reporting” on page 98.

Result Variation Opens a window displaying portfolios and their result variations.

For more information on the Result Variation, see “Result Variation” on page 187.

Status Counter Blotter Opens the status counter for the selected portfolio.

Trading Book Opens the Trading Book for either the selected deal, or, if no deal is selected, for the entire portfolio.

Table 2-7 Quotation menu items


Add a Derivative List Opens the Add a Screen window, which allows you to add a derivative list to the Quotation menu.

Add an Option List Opens the Model window, which allows you to add an option list to the Quotation menu.

Delete a Derivative List Opens the Add a Screen window, which allows you to delete a user-defined derivative list from the Quotation menu.

Delete an Option List Opens the Record to Delete window, which allows you to delete an option list from the Quotation menu.

Table 2-6 Portfolio menu items (Sheet 2 of 2)


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Table 2-8 Analysis menu items. (Sheet 1 of 3)


Break-Up Opens the Split window, which displays the portfolio breakdown by underlying, in table format.

Cash Flow Diagram Displays the cash flow in terms of K units.

Cega and Provision Displays the P&L variation of a portfolio produced in relation to the portfolio’s cega.

Clauses’ Effect Produces a graphic representation of the prices for each clause.

Collateral Schedule Opens the Collateral Schedule window.

Commodity Risk Split Commodity Risk Split, which is only available for the LME commodities, splits the delta risk on a possibly customised series of futures.

Correlation/Maturity Runs the Correlation Maturity analysis, either displaying the results or saving them to a text file.

Credit (Exposure) Opens the Credit Risk Exposure window.

Credit Hedge Opens the Credit Risk Hedging window.

Crossed Greeks Opens the Crossed Greeks matrix for the portfolio.

Crossed Indicators Generates a graph that displays crossed gamma and crossed vega between portfolio underlyings.

Detailed Correlation/Maturity Opens the Correlation/Maturity results window.

Epsilon/Maturity Opens a graph that illustrates the dividend risk relative to maturity.

Evaluation Opens the Evaluation window, for generating a graph of the evolution of a dividend’s theoretical characteristics.

Forex Analysis Opens the Forex Analysis of the open portfolio.

Future Analysis Delta Opens a window displaying the delta analysis for the selected portfolio.

Future Analysis Gamma Opens a window displaying the gamma analysis for the selected portfolio.

Future Analysis Vega Opens a window displaying the vega analysis for the selected portfolio.

Future/Maturity Opens the Future/Maturity window, which calculates the sensitivity of an instrument price, given simulated scenarios.

Generic Card Displays a read-out of the position of each tradable date from the current day until the longest dated position the bank has.

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Option Position Generates a graph that displays positions based on prices, quantities or the greeks for various options.

Parametric Volatility Analysis Opens the parametric VAR configuration dialog.

PowerGas daily strips exercise

Displays the strip maturities for a selected portfolio within a specified time period.

PowerGas Financial Analysis Displays Power and Gas Financial Exposure report, which aggregates for the cash flows of the swaps in your portfolio with a power or gas commodity as the underlying

PowerGas Physical Scheduling

Allows you to quickly identify this physical exposure for the power and gas commodities within a portfolio.

Pricing Surface Opens a dialog box, allowing you to select a 2D or 3D visualisation of a selected item’s pricing surface.

Repo/Maturity Opens the Repo/Maturity results window.

IR Hedge Opens a dialog box and a scenario window that calculates the number of instruments needed to hedge a position.

Repo/Maturity Opens a window that displays the sensitivity according to the repo rates per underlying and per maturity.

Risk Matrix Opens a Simulation Parameters window, which defines the parameters for a resulting table which displays the Profit & Loss or a Greek.

Scenario lists Displays a list of hedging scenarios.

SL Position Displays the SL Position window for viewing stock loans.

Smile/Maturity Opens the Smile Risk window, which displays a volatility skew risk analysis matrix.

Stress Test Opens a dialog box which requests a .csv file, on which to perform a ‘worst case scenario’ stress test for a portfolio.

Strike/Maturity Opens a Matrix window, that displays the Strike Maturity results.

Vega/Maturity Opens a scenario that displays the Vegas of a portfolio according to maturities.

Trend Opens the Trend window, displaying a cash delta view of all the positions in your portfolio.

Vega Maturity Opens the Vega/Maturity Risk graph relative to maturity.



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Market

Table 2-9 describes the Market menu items.

VolMatrix/Maturity Opens a Matrix window, which displays a volatility risk analysis matrix by time-bucketing and strike-bucketing.

Worst Case Opens the Parameters for Worst Case window, which defines the parameters for a resulting table, which calculates the worst market conditions possible for a given underlying.

ZCRho/Maturity Opens the Zero Coupon window, which displays an interest rate risk analysis matrix, by time-bucketing and by currency.

Table 2-9 Market menu items (Sheet 1 of 2)


Contango Opens the Contango window, which displays the components of the basis and future spreads. The Contango table is calculated using the rate curve, the dividends of the index, the tax credits of the index, the repo cost of the index and the settlement rules of the market to which the index belongs.

You can open the Contango window without selecting a listed market. Press Alt + click on Contango in the Market menu to open the Contango window without selecting a listed market.

Dividend Opens the Dividends window, which displays the dividends for each component of the market reference index.

List Opens the List window, which displays all of the underlying stocks and indices in the market. If you select an underlying in this window and click Information in the File menu, a new window detailing that underlying will be displayed.

New Market... Opens a dialog that allows you to define the characteristics of a standard market, such as specific trading and management rules for listed options.

Quotation Opens the Quotation window, which displays a listed market Real-Time quotation index, including market prices for all Calls and Puts according to the listed market settings.

Square Opens the Square window, which displays the current market prices (last, bid & ask), all components and futures in the reference index and the variation since the last saved prices.



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Audit

Table 2-5 describes the Audit menu items.

Manager

The Manager menu and functionality is described in the Administration Guide. Table 2-11 describes the Manager menu items.

Strategy Opens the Strategy window, which displays a theoretical quotation grid for listed options. The window displaying prices, Greeks, and implied volatilities for all Calls and Puts, using the templates defined in the listed market. To open the window, you must first select and underlying.

Table 2-10 Audit menu items


Correlation History Opens the Correlation History window, which displays changes in the correlations.

De-activate Audit Trail Activates or de-activates the current audit trail.

Deleted Instruments Opens the Deleted Instruments window.

Deleted Third Parties Opens the Deleted Third window.

Deleted Trades Opens the Audit Trail on Deleted Trades window.

History Opens the History window for a selected instrument or trade.

Table 2-11 Manager menu items (Sheet 1 of 2)


Users Opens the Users window, which displays all of the defined users in the system.

Security Log Opens a dialog box and a window that displays a log of all activity during a specified time period.

End of Day Elements Opens the End of Day window.

End of Day Procedure Opens the Save on Database dialog box that allows you to configure the End of Day procedure, and launches the End of Day procedure.

Table 2-9 Market menu items (Sheet 2 of 2)


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Envir

Table 2-12 describes the Envir menu items.

Create Ticket Archive Opens the Archive Status window which allows you to define and update the archive of deals.

Save Today’s Prices Opens a dialog that allows you to confirm the request to save the current day’s prices.

Load Implied Volatilities Loads the Market-Implied Volatilities.

Night Batch Launch a pre-configured Night Batch.

Pre-calculations Parameters Opens the Overnightly Pre-calculations window, which can be used to configure the pre-calculations.

Run Pre-calculations Opens a dialog that allows you to confirm the request to run all previously defined pre-calculations.

Reference Futures... Opens the Reference Futures window, which can be used to replace underlyings in portfolios.

Reporting Start Date... Opens a window in which you can define the start date and report type to be used in the reporting process.

Computation Conventions... Opens the Computation Conventions window, which you can use to define your calculation preferences.

Update from Foreign Bases

Auxiliary Ledger Opens the Auxiliary Ledger Results window.

Check Index Spot Opens the Calculation Spot window, which displays the calculated index value.

Check compliance Opens the Compliance Checking Session window.

LMS File Generator Generates the LMS File.

Run Balance Engine before P&L

Apply balance rules before the Profit & Loss Engine.

Run Balance Engine after P&L Apply balance rules after the Profit & Loss Engine.

Run P&L Engine Run the Profit & Loss Engine.

Send to GL Sends the current status to the General Ledger.

Table 2-11 Manager menu items (Sheet 2 of 2)


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Window

Table 2-13 describes the Window menu items.

Table 2-12 Envir menu items.


Delete Deletes a pre-defined configuration of windows.

Save Saves the current configuration of windows.

Table 2-13 Window menu items


Cascade Aligns any open windows in a typical cascade formation.

Full Screen Extend the frame of the workspace to fill the entire screen.

Organise Icons Arranges any minimised windows or dialogs in formation at the bottom of the application window.

Tiles Aligns any open windows in tiled formation.

Tool Bars Allows you to choose which toolbars are displayed.

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Customising the Interface

It is possible to define your own toolbars, buttons and so on, using the Customise function.

The following actions are possible:

• Create a new toolbar.• Add buttons from any of the existing menus to the new, or existing toolbar.• Customise the look and feel of the new or existing menus.• Reset the toolbars

Creating a New Toolbar

To create a new toolbar, do the following:

1 Select Customize from the Envir menu, or right-click on the toolbar and select Customize from the context menu.

The Customize dialog is displayed:

Figure 2-2 Customize dialog.

2 Select Toolbars. The Toolbars tab is displayed:

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Figure 2-3 Toolbars tab.

3 Click on New to create a new toolbar. You are prompted to enter a name for the toolbar:

Figure 2-4 New toolbar name dialog.

4 Enter the name and click OK.

The new toolbar appears above the Customize dialog. If you want it to remain as a floating toolbar, you can do so. This allows you to position it anywhere on the screen. You can also dock it to the existing toolbar by dragging it to the toolbar and releasing the mouse button when the new toolbar is over the existing toolbar.

5 To add functionality to the new toolbar, return to the Commands tab of the Customize dialog.

6 Select the commands you want to add to the new toolbar and drag and drop them onto the new toolbar.

Customise the Look and Feel

It is possible to change the look and feel of the menus in the following ways:

• Menu animations. The following menu animations are available from the Menu tab of the Customize dialog.

- None- Unfold — Menus unfold from their origin.- Slide — Menus slide down from their origin.- Fade — Menus fade in from the background.

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• Menu shadows — Enabling this option makes the menus appear three dimensional by casting a shadow beneath them.

• Tooltips — Associates your new toolbars and buttons with the existing tooltips. When you place your cursor over one of your customized buttons, a tooltip describing the button appears next to the cursor.

• Adopt the look and feel of Windows 2000, if you are using Windows XP, or another version of Windows.

Customising the Buttons

You can customise the appearance of the buttons using the Button Appearance dialog. To customise a button, do the following:

1 Right-click on the button and select Customize. The Customize dialog opens.

2 While the Customise dialog is open, right-click on the button again. The Button Appearance context-menu opens. This context menu contains the following options:

- Reset to default — Resets the button’s appearance to the default.- Copy Button Image — Copies the image used in the button.- Delete — Deletes the button.- Button Appearance — Opens the Button Appearance dialog. See “Button

Appearance” on page 48 for more information.- Image — Sets the button to display the image only.- Text — Sets the button to display text only.- Image and Text — Sets the button to display both Image and Text.

Button Appearance

The Button Appearance dialog allows you to define and edit the look and feel of your buttons, and create new buttons.

Figure 2-5 Button Appearance dialog.

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Note: Selecting Text only deactivates all image-related functionality in the dialog.

The Image only and Image and Text buttons allow you to add an image to your button. You can use either a default image, or create one of your own.

To create a new button, do the following:

1 Click New. The Edit Button image dialog opens:

Figure 2-6 Edit Button Image.

2 This dialog contains a painting grid, which allows you to define the image for your new icon, using the tools and colour palette provided. A preview of your image is shown in the bottom of the dialog.

Reset

If you want to return your interface to its original default state, press the Reset button in the Menu tab. This removes all changes made to the menu bar.

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Creating a New Menu

To create a new menu, do the following:

1 Open the Customize dialog, by right-clicking on the menu, or toolbar and selecting Customize. The Customize dialog opens:

Figure 2-7 Customize dialog.

2 Scroll through the Categories list of the Command tab and select New Menu.

3 Drag and drop the New Menu entry from the list of Commands, to the desired location in the existing menu bar.

4 You can now drag and drop Commands, or Categories into the new menu.

5 You can change the name of the Menu using the Button Appearance menu.

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Part 1: Portfolio Management

This part describes:

Managing portfolios

Alerts, Forecasts and Reporting

Electronic and Automatic Tickets

Calculations and Consolidations


Chapter 3 Portfolio Interface

The portfolio is the area in which you manage your deals and view and analyse your results. It also enables you to produce full reports and analyses on all movements in your portfolio.

This chapter introduces the Portfolio window and describes the following:

• “Portfolio Window” on page 53• “Underlying and Operator” on page 63• “Results” on page 63• “Greeks” on page 65• “Sample Customisable Portfolio Header” on page 67• “Asset Value” on page 68• “List of Portfolio Columns” on page 71

Portfolio Window

The Portfolio window displays summaries of all positions and allows you to manage multiple products and currencies. It is also possible to run a wide variety of analyses and scenarios on your portfolio. These analyses enable you to see the performance of your positions.

Important: Opening the portfolio window does not load all the portfolios it contains, unless specified otherwise in your preferences. For more information on preferences, see the Administration Guide.

To display the Portfolio window:

• From the Portfolio menu, select Open. The Portfolio window is displayed, as shown in figure 3-1.

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Figure 3-1 Portfolio Window

The Portfolio window is composed of the following areas:

• “Toolbar” on page 54• “Underlying and Operator” on page 63• “Results” on page 63• “Greeks” on page 65• “List of Portfolio Columns” on page 71

Toolbar

Figure 3-2 shows the Portfolio window toolbar.

Figure 3-2 Portfolio Window Toolbar

This toolbar contains the following, from left to right:

• View type — allows you to specify the type of view. Hierarchical, Flat or Underlying. For more information, see “Views” on page 55.

• Expand folders — opens all folders.• Collapse folders — closes all folders. • Consolidations — allows you to create personalised, aggregated folders. For

more information, see “Consolidations” on page 56.• Create folders — allows you to create new folders.• Tickets — allows you to create and modify deals. For more information, see

“Tickets” on page 57.

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• Balance — allows you to display the balance of your cash and stocks. For more information, see “Balance” on page 57.

• Arbitrage — allows you to specify arbitrage. For more information, see “Arbitrage” on page 57.

• Position filter — allows you to filter results based on the position. For more information, see “Positions views” on page 58.

• Positions — displays the position of the selected underlying. For more information, see “Positions” on page 59.

• Delete — allows you to delete folders or deals.

• Freeze P&L — allows you to freeze the P&L for comparison with later results. For more information, see “Freeze P&L” on page 59.

• Blotters — allows you to create multiple deals for a variety of instruments using one window. For more information, see “Blotters” on page 60.

• One Deal Blotters — allows you to create an instrument and book a deal on that instrument using one window. For more information, see “One Deal Blotters” on page 60.

• Swaps — allows you to open the swap dialog to create a new swap instrument. For more information, see “Swaps” on page 61.

• Portfolio Information — adds an extra totals column to the Portfolio window. For more information, see “Portfolio Information Display” on page 61.

• Data Integrity — enables you to view a saved set of data messages in the Portfolio window. For more information, see the RISQUE Administration Guide.

• Change the portfolio header — allows you to select the header for the Portfolio window. For more information, see “Change the portfolio header” on page 62.

Views

The following types of view are available:

• Hierarchical• Flat• Underlying• Consolidation

These views are available from the View toolbar menu, as shown in figure 3-3.

Figure 3-3 View Button with Options Menu

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Hierarchical

Shows the portfolios contained in the portfolio. This view is similar to viewing the contents of a harddrive on a computer.

Flat

Shows each position at the same level. Deals on the same instrument are aggregated together.

Underlying

Lists all positions with respect to each available underlying. It is also possible to group the results using the Index Consolidation preference in the Model tab of the Preferences.

The following groupings are available:

• Arbitrage — The arbitrage underlying, first expressed in cash and then converted in terms of the underlying. Using the underlying view in the portfolio, the position is listed at the arbitrage underlying level.

• Market — The index of the place of the instrument. Using the underlying view in the portfolio, the position is listed at the index level.

• Currency — The index of the currency of the instrument. Using the underlying view in the portfolio, the position is listed at the index level.

• Sector — You can categorise instruments by business sector. Each Business Sector defined is available from the drop down list in the Model tab.

Consolidation

The Consolidation view enables you to view the positions with respect to their underlying but on an individual position basis.

Expand or Collapse

These buttons enable you to expand or collapse the folders you are viewing.

Consolidations

This menu, as shown in figure 3-4, enables you to create a consolidation. Consolidations act as personal views of the portfolio. They allow you to create a portfolio called a Consolidation portfolio, in which you can store the folios you are interested in working with. Consolidations are described in “Consolidation View” on page 118.

Figure 3-4 Consolidation Button

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Tickets

This menu, as shown in figure 3-5, enables you to create new deals directly in the portfolio without dragging and dropping actual instruments from the instrument list windows. You can create new deals, using new instruments, or you can create deals based on those which exist in the portfolio.

Figure 3-5 Ticket Menu

Balance

This menu, as shown in figure 3-6, enables you to display the balance of your cash and stocks. The Physical Stocks options are as follows:

• Detail — Allows you to see all your physical stocks with all relevant details.• Dates — Allow you to display the behaviour of your stocks across a series of

dates. All the fields available in the Detail option are available in the Dates option.

Figure 3-6 Balance Menu

Arbitrage

This menu, as shown in figure 3-7, enables you to define an arbitrage rule on a position. You must define an arbitrage on the instrument using the Arbitrage item of the Data menu.

If you select a position and click on this icon, the arbitrage is taken into account within the folio.

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Figure 3-7 Arbitrage Button

Positions views

This menu, as shown in figure 3-8, enables you to filter the view of the Portfolio window.

Figure 3-8 Position View Menu

You can filter the positions and portfolios in the Portfolio window as follows:

• Hide Closed Positions — hides all closed positions.• Show Everything — does not hide anything.• Hide All Positions — hides all positions.• Hide Closed Positions and Portfolios — hides closed portfolios, all positions in

these portfolios, including open positions, and all closed positions in all portfolios. This filter is available only in the Hierarchical View of the portfolio.The Closed checkbox of the Portfolio Entry dialog, as shown in figure 3-9, enables you to manually define a portfolio as closed even if it contains positions with a non-zero number of securities, such as forex positions that transfer the P&L.

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Figure 3-9 Portfolio Entry Dialog
Closed portfolios are shown in the Portfolio window with a red x.

Positions

This button, as shown in figure 3-10, displays the position report of the selected underlying. The listed information includes strikes, call and put volatility, and so on.

Figure 3-10 Positions Button

Pre-selecting an underlying of a listed market displays the positions traded on this underlying. It is then possible to create a new position on a listed option.

Pressing the Ctrl key when selecting this icon, displays the list of all underlyings on the selected listed market. The position window described above is displayed when you select an underlying

Freeze P&L

This menu, as shown in figure 3-11, enables you to store the portfolio P&L values for future comparison. These values can either be stored to memory or saved to the database. A maximum of three separate records of a portfolio's P&L can be saved to the database.

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Figure 3-11 Freeze P&L Menu

For more information on Freezing the P&L, see “P&L” on page 171 on page 171

Blotters

The trade blotters menu, as shown in figure 3-12, enables you to submit multiple deals simultaneously.

Figure 3-12 Trade Blotter Menu

For more information on trade blotters, see “Multiple Deals” on page 445.

One Deal Blotters

The One Deal Blotters menu, as shown in figure 3-13, enables you to create a swap or option on an existing instrument and book a deal on that swap or option from within one dialog.

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Figure 3-13 One Deal Blotters Menu
For more information about one deal blotters, see “One Deal Blotters” on page 477.

Swaps

The Swaps toolbar menu, as shown in figure 3-14, enables you to open a dialog to create one of the following swap instruments:

• Interest rate swap• Total return swap• Commodity swap• Credit default swap

Figure 3-14 Swaps Menu

Portfolio Information Display

The Portfolio Information toolbar menu, as shown in figure 3-15, enables you to add an extra information row to the Portfolio window.

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Figure 3-15 Summary Line Menu

This menu has the following options:

• Classical Display — the columns of the Portfolio window are shown as standard, with no extra summary line.

• Portfolio Information Display — an extra summary line, as shown in figure 3-16, is displayed in the Portfolio window. This line shows the same values that are displayed in the Hierarchal View of the portfolio.

Figure 3-16 Portfolio Information View of the Portfolio Window

Note: The Portfolio Information view is not available for the ROOT Portfolio window, extractions, or result variation.

Change the portfolio header

The Change the portfolio header toolbar menu, as shown in figure 3-17, enables you to change the header of the Portfolio window.

Figure 3-17 Change the Portfolio Header Toolbar Menu

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The Change the portfolio header toolbar menu has the following options:

• Same as parent — the Portfolio window of the portfolio displays the same portfolio header as the parent portfolio. This is the default setting.

• P&L — the Portfolio window of the portfolio displays the classic results and greeks portfolio header.

• Customizable — the Portfolio window of the portfolio displays the sample customised portfolio header. For more information about customising the header of the Portfolio window, see “Sample Customisable Portfolio Header” on page 67.

You can also create your own headers for the Portfolio window using the RISQUE toolkit. For more information, see the RISQUE toolkit documentation.

Underlying and Operator

The Underlying and Operator pane, as shown in figure 3-18, shows the following:

• The name of the folder you are currently working in.In this example the user is working in the ROOT of the portfolio.

• Username of the Operator.In this example, the user is Edward.

• The name of the underlying of the folderIn this example, the underlying is the Hang Seng Index.

• The current spot price of the underlying.

Figure 3-18 Underlying and Operator Pane

Results

The Results frame, as shown in figure 3-19, displays the measurements of the following:

• Realized• Unrealized• Income• Treasury• Financing• Result

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Figure 3-19 Results Frame

Realized

The realized is the calculated Profit and Loss (P&L) on all closed positions.

Unrealized

P&L on the opened positions calculated as the difference between the average price and the last or the theoretical, according to the specified preferences, multiplied by the number of securities.

Income

Amount of commissions, cash flows, and call margins on listed futures. For exchange tickets, the first leg is in the income and the second one is in the treasury. The income also integrates all incomes such as dividends and so on.

Treasury

Treasury is a measure of the cost to keep a position opened. It is calculated using all opened positions and investing the total amount at a risk free rate (defined at the currency level, in the funding box). The treasury is the sum of all interests.

Financing

The Financing displays the forecast of the financing cost. Financing is calculated using the interest rate curve and taking into account the difference between the value date, the negotiation date of a ticket and its mirror ticket, that is, the ticket that closes the position.

The financing is then the cost to close the position today due to the lag between negotiation dates and value dates.

Result

The result is the sum of the following:

Realised + Unrealised + Income + Financing + Treasury

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Greeks

The Greeks, as shown in figure 3-20, are calculations of risk sensitivity, which can affect the price of your financial instruments.

Note: For more information on the algorithms used to calculate the Greeks, see the Financial Modelling documentation provided with this release.

Figure 3-20 Greeks Pane

Clicking the link for each Greek displays a pop-up window showing the variation in value for each.

Important: If the portfolio has no underlying, the Greeks pane is not present for that portfolio.

Delta

A measurement of the change in price of a call option for every one-point move in the price of the underlying security. The delta is also referred to as the hedge ratio.

The delta can be expressed in cash or according to the underlying of the portfolio depending on the preference chosen in the display panel for 'delta cash in folio'.

Gamma

A measurement of how fast delta changes, given a unit change in the underlying futures price.

Epsilon

The epsilon is equal to the average daily price change divided by the difference between the 52-week high and low prices.

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Vega

Vega is the change in the price of an option that results from a 1% change in volatility.

Applying Weights to the Vega

You can define a curve of weights that RISQUE applies to the vega to display the Weighted Vega value in the Portfolio window, the Option dialog and so on.

Create a curve of weights as follows:

1 Choose Vega Weights from the Data menu.

The Vega Weights Curves window opens, as shown in figure 3-21.

Figure 3-21 Vega Weights Curves Window

2 Create a new curve by pressing Ctrl+N.

3 Replace the default name.

4 Save the curve by pressing Ctrl+S.

5 Edit the curve by double clicking on the line of the curve.

The Vega Weights List window opens, as shown in figure 3-21.

Figure 3-22 Vega Weights List Window

6 Add weights by maturity by adding a maturity and the corresponding weight.

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Theta

Theta is the variation of the P&L one day ahead of the current date. The Theta of the portfolio is the sum of the Theta of all positions contained in that portfolio.

Rho

Rho is the measurement of a theoretical change in a given option's price that results from a 1% change in interest rates.

Currency

The Currency pane lists all the currencies used in the portfolio and their associated Greek values.

Sample Customisable Portfolio Header

To customise the information shown in the header of the Portfolio window, choose Customizable from the Change the portfolio header toolbar menu. This enables a customised view of the results of your portfolio. For more information about the Change the portfolio header toolbar menu, see “Change the portfolio header” on page 62.

The customisable portfolio header included with RISQUE enables you to display a combination of the portfolio column values in the header of the Portfolio window. These results are displayed instead of the results and greeks sections of the standard header of the Portfolio window.

The customisable header, as shown in figure 3-23, contains 12 cells, each of which can display the portfolio results for any portfolio column.

Table 3-1 Currency pane columns.

Field Description

Delta Result of the sum of positions expressed in this currency, corresponding to an exposition in this currency.

Rho Rho of the currency.

Conv. Convexity, or the second derivatives of the positions in this currency according to the rates.

Index Total delta expressed in this currency.

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Figure 3-23 Customisable Portfolio Header

You can configure the value displayed in each cell of the portfolio header by right-clicking on a cell, choosing a value, and clicking Apply.

You can also copy and paste portfolio header configurations by clicking Configure in the header. This opens the Configuration menu, as shown figure 3-24.

Figure 3-24 Portfolio Header Configuration Menu

The Configuration menu has the following options:

• Copy current configuration — copies the current configuration of the cells of the portfolio header.

• Paste current configuration — pastes a copied configuration to the cells of the portfolio header.

• Clear current configuration — resets the cells of the portfolio header.

Note: You cannot paste or clear the header configuration of a child portfolio that is set to Same as parent.

Asset Value

You can define how the asset value of each instrument is calculated in the Portfolio window by configuring rules in the Asset Value Parameterisation dialog. This dialog is displayed by choosing Asset Value Parameterisation from the Parameters menu. The Asset Value Parameterisation dialog is shown in figure 3-25.

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Figure 3-25 The Asset Value Parameterization Dialog

You can define how your asset value is calculated by configuring rules for any number of instruments. Rules are created in categories, usually according to instrument type, and each category contains rules that determine a set of criteria and an asset value calculation type. Once an instrument satisfies this criteria, its asset value will be calculated according to the defined calculation method.

To create a new category, click the New toolbar button or press Ctrl-n. The Category dialog is displayed, as shown in figure 3-26.

Figure 3-26 The Category Dialog

To define an asset value calculation category, enter the name of the category in the Name field and any comments in the Comments field. This category is displayed in the list of asset value categories and you can configure rules for each category.

To configure an asset value rule, click the Version Currently Used line under your category and click the New toolbar button or press Ctrl-n. A new line is created allowing you to define the criteria for the asset value configuration. Once the criteria is met, the calculation method defined by the Asset Value Calculation column is applied to that instrument.

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Note: You can also choose a rule to calculate the global asset value of your portfolio. To do this, choose the relevant rule from the Asset value category drop-down list on the Model tab of the Preferences dialog. For more information, see Preferences in the RISQUE Administration Guide.

Table 3-2 describes the columns in the Asset Value Parameterisation dialog that are used to define your asset value criteria.

Table 3-2 Columns in the Asset Value Parameterisation dialog

Column Description

Instrument Type The type of instrument to which the asset value calculation is applied.

Instrument Feature 1Instrument Feature 2

The configuration items of the instrument for which you are defining criteria. This allows you to define the calculation method for specific types of your instrument.

These columns are optional and do not need to be set for all instruments. For example, if you want to apply the calculation for all bonds you can choose bonds from the Instrument Type column and not choose anything from these columns.

Asset Value Calculation The calculation method that is applied to instruments that satisfy your criteria. You can choose one of the following asset value calculation methods:

• Default — The asset value is calculated as follows:

• 0 for Commission or forex instruments.• The unrealised amount for forex futures and

CFDs.• Equal to With Coupon for all other instruments.

• Null — The asset value is always 0.• Unrealized — The asset value is equal to the

unrealised amount. • With Coupon — The asset value is the price plus

accrued coupon multiplied by the number of securities and the quotity.

• Without Coupon — The asset value is the price multiplied by the number of securities and the quotity.

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List of Portfolio Columns

Portfolio columns can be displayed or hidden in the Configuration dialog. In this dialog, you can choose portfolio column subsets that are grouped by the type of information the columns display. The columns in these groups are defined in the following sections:

• “Commodity” on page 71• “Fund” on page 73• “Greeks” on page 74• “Instrument” on page 79• “IR Swaps” on page 83• “Prices” on page 85• “Result” on page 87• “Result (advanced)” on page 89• “Total Return Swaps” on page 91• “No Group” on page 93

The column group, Freeze P&L, that displays frozen P&L results is described in “Freezing the P&L” on page 178.

Columns that you have defined are contained in the User Defined group. This is only displayed if user columns have been defined. For more information defining user columns, see “User Columns” on page 103.

Commodity

Table 3-3 describes the columns in the Commodity column grouping.

Table 3-3 Commodity Portfolio Columns (Sheet 1 of 3)

Name Description

Cash leg Displays the cash leg value of commodity swaps when the cash leg is the second leg.

Commo Result by Underlying

Displays the position of commodity swaps minus the cash leg.

Commodity Fixing Type Indicates the fixing type of the commodity. For example, Standard, Power Swing, LME Cash, and so on.

Commodity Maturity The commodity maturity date.

Commodity Name The name of the underlying commodity.

Contract size Displays the contract size of commodity futures. The value is always displayed in black.

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Delivery End Indicates the end date of the Delivery Period using the Baseload delivery load. This value does not depend on the actual delivery load of the instrument.Note: Displayed for commodity derivatives on power or gas

commodities only.

Delivery Load For example, Baseload, Peakload 8-20, and so on.Note: Displayed for commodity derivatives on power or gas

commodities only.

Delivery Period For example, Dec 2007, Cal 2008, Q4 2007, and so on.Note: Displayed for commodity derivatives on power or gas

commodities only.

Delivery Start Indicates the start date of the Delivery Period using the baseload delivery load. This value does not depend on the actual delivery load of the instrument. For example, a Peakload December 2007 deal, where December 1st is a Saturday and December 2nd is a Sunday. The actual delivery starts on 3/12/2007, however, the Delivery Start column shows 1/12/2007.Note: Displayed for commodity derivatives on power or gas

commodities only.

Delta Hedge The number of units of the underlying that must be bought to hedge the Delta P&L. This column is identical to Delta Quantity but may differ for LME commodities when a forward position is hedged with a forward at a difference delivery date.

Delta P&L The price variation for a bump of the underlying, expressed in the measure unit of the underlying. For more information, see the Delta column.

Delta Quantity The undiscounted value of the Delta P&L column. This is the actual position, in measure unit, determined by removing the yield curve discount factor. This column is identical to the Delta P&L column for futures with margin calls but not for forwards.

Fixed Coupon First Leg Displays the value of the fixed coupon of the first leg of the commodity swap.

Fixed Coupon Second Leg Displays the value of the fixed coupon of the second leg of the commodity swap.

Global Delta Hedge This is the number of securities multiplied by the amount of the Delta Hedge column.

Global Delta Quantity This is the number of securities multiplied by the amount of the Delta Quantity column.

Number of remaining hours

The number of hours remaining in the commodity delivery period.

Power Exercise Probability

Displays the exercise probability


Name Description

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Fund

Table 3-4 describes the columns in the Fund column grouping.

Power MTM This column displays the mark-to-market value of underlyings for power swaps. According to the selected portfolio view, this new column shows the following:

• In Flat View, this column shows the swap instrument’s mark-to-market value.

• In Hierarchical View, this column shows the global mark-to-market.

• In Underlying View, this column shows the global mark-to-market for the underlying of the swap.

Underlying Contract Size Displays the contract size of the underlying commodity.


Name Description

Table 3-4 Fund Columns (Sheet 1 of 2)

Name Description

Estimated NAV An estimation of the NAV. This value can be modified or derived from the rate of return.

Estimated NAV date The date of the Estimated NAV value.

Estimated NAV RoR The rate of return between the estimated NAV and the latest reference NAV.

Expected Return The average possible returns of the assets in the fund.

Expected Volatility The expected volatility of the assets in the fund.

Firm AUM The firm’s assets under management, shown in the fund’s currency.

Fund AUM The fund's assets under management, shown in the fund’s currency.

Gross Long Position The gross amount of the fund’s assets held in long positions.

Gross Short Position The gross amount of the fund’s assets held in long positions.

Inception Fund The inception fund for share series.

Gross Short Position The gross amount of the fund’s assets held in short positions.

Market Capitalization

The average market capitalization of the assets in the fund, weighted for each asset's value (Large, Mid, Small).

Minimum S/R Amount

The minimum amount that can be invested in the fund or redeemed from the fund in a single deal.

Official NAV The latest value retrieved from the D column in the HISTORIQUE table. This is the same as the LAST value.

Official NAV date The date of the Official NAV value.

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Greeks

Table 3-5 describes the columns in the Greeks column grouping.

Valuation NAV This value is based on the theoretical value of the fund. If the fund is benchmark-linked, the performance of the benchmark is applied to the theoretical to calculate the Valuation NAV.

Valuation NAV date The date of the Valuation NAV value.

Table 3-4 Fund Columns (Sheet 2 of 2)

Name Description

Table 3-5 Greeks Portfolio Columns (Sheet 1 of 6)

Name Description

Credit Risk Convexity Displays the credit risk sensitivity from the second order calculated according to the settings defined in the Credit tab of the preferences.

Credit Risk Sensitivity Displays the Credit Risk Sensitivity calculated according to the settings defined in the Credit tab of the preferences.

Delta Price variation for a centred 10 basis points variation of the price of the underlying. Refer to the Financial Models Reference Manual for smile effects and preferences in the Volatility tab, to take these effects into account.

Delta Cash Price of the Delta-hedge. The delta cash calculation takes the differed payment date of the securities and the contract size of the options into account:

cash = x Q x q x U(t0) x A

Where: • is the delta for one option• Q is the contract size of the option • q is the number of traded options• U(t0) is the Spot of the underlying at t0• A is a discount factor, depending on the differed payment

date of the hedging shares

Delta curr. global Delta cash expressed in the default currency.

Delta in percent A percentage of the Maximum Delta.

delta*Proportion/Conversion Ratio

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Delta in portfolio underlying

Number of folio index (reference security defined on the portfolio to sell in order to hedge the position).

Where:

• fi = folio index• UT = Unit of trading• B = beta

Delta Long/Delta Short In the underlying view:• The Delta Long is equal to the Delta Cash, if the Delta Cash

is greater than zero. If the Delta Cash is less than zero, the Delta long is equal to zero.

• The Delta Short is equal to the Delta Cash, if the Delta Cash is less than zero. If the Delta Cash is greater than zero, the Delta Short is equal to zero.

At the portfolio level, the Delta Short or Long is not calculated by positions, but by underlying. This means:

• The delta cash is calculated for each position and summed by underlying.

• If the sum is positive, it is added to the delta long of the portfolio.

• If the sum is negative, then the opposite of this negative value is added to the delta short of the portfolio.

Epsilon Price sensitivity to a ten percent variation of the dividends

Epsilon curr. global Epsilon expressed in the default currency.

Epsilon curr. portfolio Epsilon expressed in the portfolio reference currency.

Epsilon long/Epsilon short Epsilon for both long and short positions.

Equity crossed Gamma Price variation for a variation of each underlying price, except the one the user looks at. Available through the view by underlying only.


Name Description

**UTLast fi

cashfi

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Financing Theta FX deals, which were previously calculated in the income column, are now calculated into a new column FX treasury and into another one for financing. Total treasury and total financing do the sum of both columns.

There are new columns for the theta (theta Treasury and theta FX financing). These columns are saved by the EOD to the ReportFlatHier table in the FX treso and FX financing fields.

For result variant, the columns yesterday, Delta combined with FX/total and treasury/FX has been added (in total 8).

The FX-financing in Preference the P&L tab allows you to take into account the settlement for FX spot is D+2 (usually) and not today when aggregating P&L in different currencies. The values are stored in Application context during the calculation of the book and you can retrieve it using the Getdayforex method.

See also the Financial Models Guide.

Forex Financing Theta See Financing Theta above.

Theta Treasury and Forex financing Theta - the EOD stores these column values in the table REPORTFLATHIER (fields TRESO_FOREX and FOREX_FINANCING).

Forex Treasury Theta See Financing Theta above.

Gamma Price variation from the second order variation of the spot. Three calculation methods are available in the Model tab of the Preferences menu. You can also specify whether you want Gamma to include the smile effect in the Volatility tab.

Gamma cash Global gamma multiplied by the last market value of the underlying:

Where DF is the discount factor from today to value date.

Gamma curr. global Gamma expressed in the default currency.

Gamma in percent Corresponds to a percentage of the Maximum Gamma.


Name Description

.** DFLastUnderlyingglobalcash

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Gamma in portfolio underlying

Gamma expressed in options on index.

To hedge the position you have to sell the number of options on index, which have Gamma in global index gamma.

Where: gi = global index

UT = Unit of Trading

B = beta of the underlying of the option with regard to the reference instrument of the security.

Gamma long/Gamma short

The gamma displayed for long and short positions.

Global Delta Delta * Number of securities * contract size.

Global Delta Adjustment Displays the delta adjustment for the position. For more information, see “Delta Adjustment Report” on page 646.

Global Epsilon Epsilon * Number of securities * contract size.

Global Equity crossed Gamma

Equity crossed gamma * Number of securities * contract size.

Global Gamma Gamma * Number of securities * contract size.

Global Paid PV01 The sensitivity of price with respect to the underlying rate of the paying leg of swap positions in a portfolio.

Global PV01 The sensitivity of price with respect to the underlying rate of positions in a portfolio, multiplied by the quantity and quotity.

Global Received PV01 The sensitivity of price with respect to the underlying rate of the receiving leg of swap positions in a portfolio.

Global Rho Rho * Number of securities * contract size.

Global Theta Theta * Number of securities * contract size.

Global Vanna Vanna * Number of securities * contract size.

Global Vega Vega * Number of securities * contract size.

Global Vega Market Vega Market * Number of securities * contract size.

Global Volga Volga * Number of securities * contract size.

Global Weighted Vega Weighted Vega * Number of securities * contract size.

Global Weighted Vega Market

Weighted Vega Market * Number of securities * contract size.

Income Theta Variation in time one day ahead of the Income.

Inflation convexity Convexity of the inflation swap or bond.


Name Description

**UTLast gi

cashgi

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Inflation sensitivity Sensitivity of the inflation swap or bond.

Leverage Delta Percentage of delta - dP/dS * S/P Where P is the price of the option and S the spot of the underlying.

Leverage Gamma Percentage of gamma - this is the first derivative with regard to the spot price of the above formula.

Paid PV01 The sensitivity of price with respect to the underlying rate of the paying leg of a swap.

PV01 The variation of the dirty price in percent if the underlying rate moves by 1 basis point.

Received PV01 The sensitivity of price with respect to the underlying rate of the receiving leg of a swap.

Recovery Rate Sensitivity Displays the Recovery Rate Sensitivity according to the settings defined in the Credit tab of the Preferences.

Result Theta Variation in time of the P&L one day ahead.

Defined as:

Result Theta = Theta + Income Theta + Financing Theta + Treasury Theta.

Rho Price variation for a N percent variation of the interest rate (defined in the Rho tab of the Preferences menu).

Rho curr. global Rho expressed in the default currency.

Rho curr. portfolio Rho expressed in the portfolio reference currency.

Rho Long/Rho Short Rho value for long and short positions.

Theta Price variation for a one day variation of the pricing date. Refer to the Theta tab in the Preferences menu.

Theta curr. Global Theta expressed in the default currency.

Theta curr. portfolio Theta expressed in the portfolio reference currency.

Theta Financing Total Financing Theta + Forex Theta (expressed in the currency of the instrument)

Theta Treasury Total Treasury Theta + Forex Theta (expressed in the currency of the instrument)

Theta Long/Theta Short Theta displayed for long and short positions.

Total IR convexity Displays the total rho convexity for interest rate futures.

Total IR sensitvity Displays the total rho sensitivity for interest rate futures.

Treasury Theta Displays the variation of the Treasury one day ahead, if the other market data are unchanged.

Vanna The first derivative of the delta with respect to the volatility. This value is obtained by finite difference bumping the volatility of the option.


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Instrument

Table 3-6 describes the columns in the Instrument column grouping.

Vega The first order derivative of the theoretical value with respect to the volatility of the instrument.

Vega (average) The average vega.

Vega curr. Global Vega expressed in the default currency.

Vega curr. portfolio Vega expressed in the portfolio reference currency.

Vega long/Vega short Vega displayed for long and short positions.

Vega Market Vega obtained by finite difference bumping each market plot of the volatility surface, if the volatility smile is defined with Strike in delta. If smile points are defined in Delta Volatility, it is obtained by bumping each ATM volatility plot.

Volga The first derivative of the vega with respect to the volatility. This value is obtained by finite difference bumping the volatility of the option.

Weighted Vega The Vega computed using the defined curve of weights by maturity associated with the underlying of the option. For more information about defining a curve of weights see “Vega” on page 66

Weighted Vega Market The Vega Market computed using the defined curve of weights by maturity associated with the underlying of the option.


Name Description

Table 3-6 Instrument Portfolio Columns (Sheet 1 of 5)

Name Description

Alert Component Displays the package component for which there is an alert.

Alert date Date of the Automatic tickets alert. Filled by the Launch the forecast option in the Portfolio menu.

Alert Ex-Date The ex-coupon or ex-dividend date of the position is displayed in this column 40 days prior to the coupon date or dividend date and is displayed until the coupon or dividend date is reached.

Alert type Type of the alert.

Alert value Value of the alert.

Allotment The allotment of the deal ticket.

Beta Beta of the security. For shares, it is the user input (default value = 1), but this beta can be calculated for different types of baskets.

CDS Rate Lists the CDS rate for Bonds (At the money)

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CDS Strike Lists the CDS Strike for Swaps

Conversion Ratio Displays the number of shares received when converting a bond.

Current Critical Errors Contains an alarm symbol, if any error messages with Critical Error severity, as displayed in the Sophis Data Integrity Messages window, occur.

Calculation Errors The number of error messages with Error severity, as displayed in the Sophis Data Integrity Messages window. This number is displayed in red.

Calculation Warnings The number of error messages with Warning severity, as displayed in the Sophis Data Integrity Messages window. This number is displayed in orange.

Date to Best MTMDate to Best Theo

The call or put clause end date of the best YTM result.

Date to Call MTMDate to Call Theo

The next call clause end date.

Date to Put MTMDate to Put Theo

The next put clause end date.

Date to Worst MTMDate to Worst Theo

The call or put clause end date of the best YTM result.

Default event of first leg Displays the default event of the first leg of a swap.

Default event of second leg

Displays the default event of the second leg of a swap.

Derivative type Displays the type of option. For example, this column displays Call for call options.

Discount Family Rate curve family.

Dividend Yield The dividend yield of the instrument.

Duration The duration of a basket.

Duration to Best MtMDuration to Best Theo

The duration to the end date of the call or clause with the highest YTM.

Duration to Call MtMDuration to Call Theo

The duration to the end date of the first call clause.

Duration to Put MtMDuration to Put Theo

The duration to the end date of the first put clause.

Duration to Worst MtMDuration to Worst Theo

The duration to the end date of the call or clause with the lowest YTM.

External Operation Reference

Displays the user defined external reference of the deal. This is usually a client reference code.

External reference External reference of the deal.

Forex Underlying The forex of the underlying currency vs the deal currency.


Name Description

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Ident ID for instruments and folders. Linked to the MVTIDENT field in the HISTOMVTS table.

Instrument code ID of the instrument, linked to the SICOVAM field in the TITRES table. For portfolios, the instrument ID is linked to the SICOVAM field of the underlying belonging to the portfolio.

Instrument type Type of instrument.

Internal Operation Reference

Displays the user defined internal reference of the deal. This is usually a code unique to RISQUE.

Issuer For a credit derivative, this column displays the name of the basket if the basket is in index, or the name of one issuer of the basket if the basket is in components.

Issuer of the first leg The credit issuer of the first leg of a swap.

Issuer of the second leg The credit issuer of the second leg of a swap.

Kind of share The security type, denoted by the following:• A = shares• B = interest rate cap/floor• C = commissions• D = derivatives• E = foreign exchange• F = futures• I = index• L = stock loan• M = listed option• N = package• O = bonds• P = stock repo• Q = commodity• R = interest rate• W = swapped option

Market Name The market in which the deal ticket is dealt.

Maturity Maturity date of the instrument.

Measure Unit Measure unit of the instrument. Used mainly for commodity instruments.

Mnemo Mnemonic of the product.

Mod. Duration to Best MtMMod. Duration to Best Theo

The modified duration to the end date of the call or clause with the highest YTM.

Mod. Duration to Call MtMMod. Duration to Call Theo

The modified duration to the end date of the first call clause.


Name Description

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Mod. Duration to Put MtMMod. Duration to Put Theo

The modified duration to the end date of the first put clause.

Mod. Duration to Worst MtMMod. Duration to Worst Theo

The modified duration to the end date of the call or clause with the lowest YTM.

Next Paid CouponNext Received Coupon Rate

The rate of the next coupon for the paying and receiving legs of the following instruments:

• Swaps• Fixed and floating bonds• onvertible bonds• Swapped options• Caps and floors• NCDs

Nominal Nominal of the bond * the number of bond traded (Deal nominal).

Nominal rate Nominal rate for bonds and CBs.

Notional (bonds) Displays the notional of bonds.

Notional (swaps) Displays the notional of swaps.

Option Type Option type (European, American, Bermuda or Asian). The column displays a flag corresponding to the type of the option.

Previous Critical Errors Contains an alarm symbol, if any error messages with Critical Error severity, as displayed in the Sophis Data Integrity Messages window, occurred on the previous day.

Previous Errors The number of error messages with Error severity, as displayed in the Sophis Data Integrity Messages window, that occurred on the previous day. This number is displayed in red.

Previous Warnings The number of error messages with Warning severity, as displayed in the Sophis Data Integrity Messages window, that occurred on the previous day. This number is displayed in orange.

Quotation Type Price type of the deal.

Rating (agency) Displays the rating agency’s rating for the underlying instrument.

Ref. Entity first leg Reference of the entity of the first leg of a swap.

Ref. Entity second leg Reference of the entity of the second leg of a swap.

Reference Reference of the instrument (this is the user-defined ID of the product).


Name Description

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IR Swaps

Table 3-7 describes the columns in the IR Swaps column grouping of the Portfolio window.

Right There are three possible values for this column:

‘Cum’ means that you are entitled to dividends for shares and coupons for bonds.

‘Ex’ means that you are not entitled to dividends or coupons depending on the type of product traded.

‘MIXED’ means that some of the traded securities give the right to dividends against the remaining securities.

Sector (sector) Displays the sector of the deal.

Seniority The credit risk seniority level.

Seniority of the first leg The credit risk seniority level of the first leg of a swap.

Seniority of the second leg

The credit risk seniority level of the second leg of a swap.

Share Outstanding Displays number of shares outstanding on the market.

Spread type The bond spread type.

Strike Strike of the option.

Yield To Best MTMYield To Best Theo

The highest YTM of all the call and put clauses.

Yield To Call MTMYield To Call Theo

The YTM of the bond if the redemption date was same as the next call clause end date.

Yield To Put MTMYield To Put Theo

The YTM of the bond if the redemption date was same as the next put clause end date.

Yield To Worst MTMYield To Worst Theo

The lowest YTM of all the call and put clauses.


Name Description

Table 3-7 IR Swaps Portfolio Columns of the Portfolio Window

Name Description

Paying Break Even The break even amount of the paying leg of an interest rate swap.

Receiving Break Even The break even amount of the receiving leg of an interest rate swap.

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Swap Paying Basis The name of the calculation basis. • Fixed leg

If the basis is not defined, undefined is displayed in the column

• Floating legIf the basis is not defined, the default basis is displayed in the column.

Swap Paying End Date The end date of the current coupon

Swap Paying Fixing Date The fixing date of the current coupon for a floating-rate leg.

Swap Paying Frequency The name of the swap paying frequency leg.

Swap Paying Mode The name of the calculation mode, or if it is the floating-rate leg, it is the mode of the floating-rate leg.

Swap Paying Rate The fixed rate in percentage for the fixed-rate leg.

Swap Paying Spread The spread in percentage for a floating-rate leg. The spread is displayed in the colour of the leg currency.

Swap Paying Start Date The start date of the current coupon.

Swap Rate The break even amount of the fixed leg of an interest rate swap.

Swap Receiving Basis The name of the calculation basis. • Fixed leg

If the basis is not defined, undefined is displayed in the column

• Floating legIf the basis is not defined, the default basis is displayed in the column.

Swap Receiving End Date The end date of the current coupon.

Swap Receiving Fixing Date

The fixing date of the current coupon for a floating-rate leg.

Swap Receiving Frequency

The name of the swap receiving frequency leg.

Swap Receiving Mode The name of the calculation mode, or if it is the floating-rate leg, it is the mode of the floating-rate leg.

Swap Receiving Rate The fixed rate in percentage for the fixed-rate leg.

Swap Receiving Spread The spread in percentage for a floating-rate leg. The spread is displayed in the colour of the leg currency.

Swap Receiving Start Date The start date of the current coupon.

Table 3-7 IR Swaps Portfolio Columns of the Portfolio Window

Name Description

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Prices

Table 3-8 describes the columns in the Prices column grouping.

Table 3-8 Prices Portfolio Columns (Sheet 1 of 3)

Name Description

Accrued coupon Calculated for the period between the previous coupon date (or the issue date, if the first coupon date has not occurred) and today or the value date.

If the bond is quoted on a market (d+2 for example), the accrued coupon is calculated until today or the value date according to what is defined in the currency or place. A preference can be set to force the calculation up to the trading day. The accrued coupon column is expressed in percentage.Note: The number of decimals in this column is determined by

the Theoretical field of the Preferences dialog. The Theoretical field is located in the Number of Decimals Displayed frame on the Display tab.

Ask The position’s asking price.

Bare Value The dirty value of the bond attached to the convertible bond.

Bid The position’s bid price.

Close price Closing price of the security on the last day of EOD procedure. This price can be any of the price types sent by your TR system (settlement price, historical close, last…). This is part of the RT setup for each instrument.

Convexity Price variation from the second order variation of the interest rate.

Dirty price Price of the instrument - also equal to the clean price plus the accrued amount.

Duration (modified) The modified duration of a basket.

First leg The swap first leg NPV

Global convexity Convexity * Number of securities * contract size.

High The position’s high price.

Interest days Number of days elapsed since the issue date or the last coupon payment date.

Last Last market price quoted. Displays the selected type of price with Ctrl+J.

Last (time) The last spot price as updated by real-time. The time of the update is displayed in brackets.

Last curr. global Last price expressed in the default currency.

Last curr. portfolio Last price expressed in the portfolio reference currency.

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Last for ascot Displays the last quoted CB price (if this quotation is a price Today) of an ascot CB. It can also be used to change the CB market price. This will change the column Last in the CB historic list.

Low The position’s low price.

Parity change For convertibles — change of parity between yesterday and today

Parity change in percent For convertibles — change of parity between yesterday and today in percentage

Parity close For convertibles — this column shows the value of yesterday’s closing price, with the parity included.

Parity last Like Parity Close, but this value is calculated with the last price instead of the closing price of the day before.

Performance The performance payoff amount displayed for the following time periods:

• 1 day• 1 week• 1 month• 3 months• 1 year• absolute date (dd/mm/yy)• beginning of the year

Point value Notional for bonds and swaps. Contract size for options and futures Index point value for indices.

Price change Difference between the spot price and the Last.

Price change in percent Difference between the spot price and the Last expressed in percentage.

Second leg Second instrument for a swap.

Spot Volatility Displays the equity spot volatility for convertible bonds. If the instrument is not a convertible bond, 0 is displayed in this column.

Spread The position’s spread amount.

Spread Forward Rate The spread forward rate.

Theoretical Theoretical price of the security updated from the last of the underlying and/or the yield curve for IR instruments.

Theoretical curr. global Theoretical expressed in the default currency.

Theoretical curr. portfolio Theoretical expressed in the portfolio reference currency.

Volatility Volatility of the position’s underlying.

YTM MToM The mark-to-market amount of the yield to maturity value.

YTM sensitivity The sensitivity of a bond to its yield-to-maturity.


Name Description

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Result

Table 3-9 describes the columns in the Result column grouping.

Yield to Maturity The position’s yield to maturity amount.

Zero coupon rate Zero coupon from today to the option maturity


Name Description

Table 3-9 Result Portfolio Columns (Sheet 1 of 3)

Name Description

Accrued Amount Global accrued interest up to the computation date:

AM = AC * N

Where: N is the nominal of the bond, AC the accrued coupon.

Asset value Number of securities * Theoretical or Number of securities * Last (depending on the P&L preferences).

Average Price A weighted sum of Sell/Buy prices of deals.

Balance The balance is the sum of all cash flows (received cash flows minus paid cash flows) at the last reporting start date.

Balance per ccy The settled balance for cash positions.

Balance Total Balance + Forex Balance (expressed in the currency of the instrument)

Book The column 'Book' indicates in which folder, or folio, each listed product can be found. This column only appears in the Hierarchical view.

Broker Fees The amount of broker fees calculated for the position.

Commission Displays the commission amount when commissions are traded in the portfolio. Commissions can only be viewed with closed positions.

Counterparty The counterparty of the position.

Counterparty fees The amount of counterparty fees calculated for the position.

Currency Payment currency of the securities

Day Result The value of the instrument at the end of the day.

Delta Result The delta amount between the date of the last end of day and the current date.

Entity The entity of the position.

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Financing The financing amount for differed payment. If a security, which has a value date in the future, is sold, the amount of the deal and the financing amount is the difference between the actual amount and the value of the deal at its payment date.

Financing F = n.Sp (1-B(t0,t1))

where: • n is the number of securities• Sp is the purchase price

• B(t0,t1) the zero coupon from trading date to value date.

If nothing changes, the P&L is 0. Therefore, the financing for the mirror trade is calculated. If the spot or the yield curve changes, the financing of the mirror trade changes.

Tomorrow, the calculation period of the mirror trade remains the same (market rules) whereas the calculation period of the real trade is one day less.

Forex Balance The balance of the forex of the position.

Forex Financing See Financing Theta in “Greeks” on page 74.

Forex financing takes into account the settlement date for Forex spot (which is normally D+2) when aggregating P&L in different currencies.

Forex Treasury See Financing Theta in “Greeks” on page 74.

FX Rate The forex rate used to convert the currencies of the position.

Income Includes coupons for bonds or dividends, tax credit for shares and margin calls for futures

Margin Call The margin call of a stock loan position.

Market fees Market fees calculated from the market window (for listed options) or from the fees rule attached to the depository.

Number of securities Number of securities in position.

Realized Increase or drop in value for a closed position (including all types of fees).

Realized long The amount realised by selling a long position for the defined time period.

Realized short The amount realised by selling a short position for the defined time period.


Name Description

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Result (advanced)

Table 3-10 describes the columns in the Result (advanced) column grouping.

Receivable coupon Coupons, dividends or tax credits to be received in the future by this position.

For example, there will be some receivable coupons on a long position on an English stock if a dividend falls the day after the deal is committed, as you need to physically have the stock to get the dividend.

Result Result = Realized + Unrealised + Income + Treasury + Financing.

Tax credit Tax credit received until the reporting date.

Total income Income + Market fees + Broker fees.

Treasury Funding cost of all positions until the reporting date. The treasury is calculated by using a ‘treasury’ rate on each currency.

Unrealised Realized if the position is closed today at the Price P.

The calculation of the unrealized depends on the valuation type. If the valuation type is set to ‘M’, the price P is the last market value. If the valuation type is set to ‘T’, the price P is the theoretical price calculated from the last market price of the underlying. Finally, if the valuation type is set to ‘A’, the price P is the arbitrage value:

Where: • Q is the quantity of securities in open position• P1 is the average price• P2 is the Theoretical 1, Market or Arbitrage value

Unsettled Balance The unsettled balance for cash positions.

Valuation type Valuation type used for the spot price of the instrument.• M = using market price.• T = using theoretical price.• A = using arbitrage price calculated from Arbitrage rule in

the Data menu.


Name Description

)12(* PPQUnrealized

Table 3-10 Result (advanced) Portfolio Columns (Sheet 1 of 3)

Name Description

Accrued Commission The accrued commission amount, to the current date.

Accrued Interest The accrued interest, to the current date.

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Asset value curr. folio Asset value expressed in the default currency.

Asset value curr. global Asset value expressed in the portfolio reference currency.

Asset value long/Asset value short

The asset value of long and short positions.

Average price curr. global Average Price expressed in the default currency.

Average price curr. portfolio

Average price expressed in the currency of the portfolio reference instrument.

Balance curr. global Balance expressed in the default currency.

Balance curr. portfolio Balance expressed in the portfolio reference currency.

Balance long/Balance short

The balance for long and short positions.

Commission Rate Displays the last commission rate used in the pricing.

Cum div Number of securities giving right to dividends or number of bonds giving right to coupons. You may have to Tick the ‘Coupon Lag’ option in the Profit and Loss tab of the Preferences sub-menu (File menu)

Deposit The initial deal deposit + the margin call deposit.

Financing curr. global Financing expressed in the default currency.

Financing curr. portfolio Financing expressed in the portfolio reference currency.

Financing Total Financing + Forex Financing (expressed in the currency of the instrument)

Income curr. global Income expressed in the default currency.

Income curr. portfolio Income expressed in the portfolio reference currency.

Initial Deposit The amount of the initial deposit.

Loss limit Loss limit authorized by the manager. This value is input in the access rights of each user and is applied on each position of the user.

Margin Call Deposit The risk amount * the margin call haircut in %.

Margin Rate Displays the last margin rate used in the pricing.

MTM Unrealised – Theo Unrealised

Unrealised calculated with the last price of the instrument – unrealised calculated with the theoretical price of the instrument.

Nominal cum div Sum of the nominals of Cum Div deals.

Number of securities long/ Number of securities short

Number of securities in long and short positions.

Principal Option type (European, American, Bermuda or Asian). The column displays a flag corresponding to the type of the option.

Realized curr. global Realised expressed in the default currency.


Name Description

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Total Return Swaps

Table 3-11 describes the columns in the Total Return Swaps column grouping.

Realized curr. portfolio Realised expressed in the portfolio reference currency.

Result curr. global Result expressed in the default currency.

Result curr. portfolio Result expressed in the portfolio reference currency.

Result freeze (memory) The frozen P&L value stored in the memory cache. This value is not saved between sessions.

Result freeze currency folio (memory)

Frozen P&L value converted into the root portfolio currency and stored in the memory cache. This value is not saved between sessions.

Result freeze currency global (memory)

Frozen P&L value converted into the global currency and stored in the memory cache. This value is not saved between sessions.

Result since freeze (memory)

Difference between the current P&L value and the frozen P&L value. This value is stored in the memory cache and is not saved between sessions.

Resultx freeze Frozen P&L value.

Resultx freeze currency folio

Frozen P&L value converted into the root portfolio currency.

Resultx freeze currency global

Frozen P&L converted into the global currency.

Resultx since freeze Difference between the current P&L value and the frozen P&L value.

Resultx since freeze currency folio

Difference between the current P&L value and the frozen P&L value, converted into the root portfolio currency.

Resultx since freeze currency global

Difference between the current P&L value and the frozen P&L value, converted in to the global currency.

Settled The number of securities settled.

Treasury Total Treasury + Forex Treasury (expressed in the currency of the instrument)

Treasury curr. global The treasury amount in the global currency.

Treasury curr. portfolio The treasury amount in the portfolio currency.

Unrealized curr. global Unrealized expressed in the default currency.

Unrealized curr. portfolio Unrealized expressed in the portfolio reference currency.

Unsettled Balance ccy The unsettled balance for cash positions in the portfolio currency.

Unsettled Balance global The unsettled balance for cash positions in the default currency.


Name Description

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Table 3-11 Total Return Swap Columns (Sheet 1 of 2)

Name Description

SFAccrued Dividend The accrued dividend of the total return swap.

SF Accrued Equity Performance

The TRS equity performance and cash equity unrealized for TRS.

SF Accrued Interest Rate

The contribution of the floating to the accrual funding.

SF Accrued Total Interest

The accrued floating plus the accrued spread on TRS, cash equity and stock loan.

SF Accrued Spread The contribution of the spread to the accrued interest.

SF Realized Dividend The sum of cash equity dividend and dividend rebate cash flows.

SF Realized Equity The sum of cash equity and synthetic equity P&L.

SF Realized Floating The contribution of the floating to the sum of paid interest.

SF Realized Funding The realized floating plus the realized spread.

SF Realized Spread The contribution of the spread to the sum of paid interest.

SF Value Dividend The realized dividend plus the unrealized dividend.

SF Value Equity Performance

The realized equity plus the accrued equity. Calculated as:

Result Equity = (realized equity) + (accrued equity). Where:

Accrued equity = spot(today) - spot (period start)

SF Value Interest Rate The realized floating, plus the accrued floating, plus the unrealized floating. Calculated as:

Result Floating = (realized floating) + (accrued floating) + (unrealized floating)

SF Value Total Interest The realized funding, plus the accrued funding, plus the unrealized funding. Calculated as:

Result Funding = (realized funding) + (accrued funding) + (unrealized funding)

SF Value Spread The realized spread, plus the accrued spread, plus the unrealized spread. Calculated as:

Result Spread = (realized spread) + (accrued spread) + (unrealized spread)

SF Unrealized Dividend The clean PV of forecasted dividends and corresponding dividends rebate. Calculated as:

Unrealized Dividend = PV(TRS Dividend rebate, tax credit) - PV(tax credit, tax credit)

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No Group

Table 3-12 describes the columns in the No Group column grouping.

SF Unrealized IR Fixing The clean present value of the current period floating leg and funding positions. Calculated as:

Unrealized Fixing = PV(Floating rate fixed) - PV(Floating rate until next reset)

SF Unrealized Settlement Lag

The unrealized equity is the TRS equity performance from now to the next reset date taking into account the forward spot. Calculated as:

Unrealized others = (unrealized total) - (unrealized dividend rebate + unrealized funding)

SF Unrealized Spread The clean present value of the spread. Calculated as:

Unrealized Spread = PV(TRS spread, repo margin) - PV(repo margin, repo margin

Table 3-11 Total Return Swap Columns (Sheet 2 of 2)

Name Description

Table 3-12 Miscellaneous Portfolio Columns (Sheet 1 of 3)

Name Description

Barrier Crossed This column displays CROSSED for any barrier option having a barrier that has been crossed.

• On a position row for deals on a barrier option, the column displays nothing if no barrier has been crossed or Barrier [n] if a barrier condition is satisfied, where n is the index of the crossed barrier (starting from 1).

• On a portfolio row, the column displays nothing or Crossed, if any of the barrier option contained in the portfolio has one of its barrier conditions satisfied.

• On an underlying row, the column displays nothing.

Barrier Near Threshold Displays the value of the first barrier that will be crossed, according to the current underlying spot value.

This column is populated for Position rows only and displays the value of the barrier having the minimum value according to:

Abs(Ln(Barrier / Underlying.Last))

Business Line Displays the business line of portfolios. This could be an assigned business line or one that has been inherited from a parent portfolio. This allows you to quickly identify the portfolios that will be included in multisite end of day calculations.

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Fast P&L Calculation Displays the current status of fast P&L calculation. The following values are possible:

• Full P&L[hh:mm:ss] — data is available for a fast calculation from a full calculation performed at the time displayed.

• EOD — data is available for a fast calculation from the EOD calculations.

• Fast P&L[hh:mm:ss] — a fast P&L calculation was performed based on data from a full calculation performed at the time displayed.

• Fast P&L [EOD] — a fast P&L calculation was performed based on data from the EOD calculations.

• Fast - No Fast P&L conf [hh:mm:ss] — a fast P&L calculation was performed based on data from a full calculation performed at the time displayed. This fast calculation was performed by default because the position does not match any of the mappings in the selected fast P&L category or no Fast P&L category is selected on the Model tab of the Preferences dialog.

• Recompute needed[hh:mm:ss] — a fast P&L calculation was performed based on data from a full calculation performed at the time displayed. Manual fast P&L mode was triggered, indicating that a full calculation is required.

• No data — no data is available to perform fast P&L calculation from an EOD or F9 calculation.

• N/A — fast P&L calculation is not supported for this instrument type.

For more information about fast P&L calculation, see “Fast P&L” on page 255.

Fast P&L Spot Variation Displays the difference of the spot in percent between the current market data spot and the spot stored in the fast P&L buffer. This value corresponds to the delta(Spot) triggers, which you can select in the Fast P&L Categories window.Note: This value is only displayed in underlying view.

For more information about fast P&L calculation, see “Fast P&L” on page 255.

Days to Barrier Displays the number of days to a defined barrier on a Barrier Option. This column is specific to Barrier Options and displays nothing for any other type of position.

Global Delta Agreement Displays the delta agreement for the position. For more information, see “Delta Adjustment Report” on page 646.

Line Picking Displays LP if line picking was performed on the position.


Name Description

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MtM Spread Displays the following spread information for bonds: • The zero coupon spread amount when the bond’s pricing

model is set to MtM greeks MtM. • The historical spread amount for all other pricing models.

This is the same as the Spread column.• The historical spread amount for negotiable contracts of

difference and convertible bond instruments.

Strategy Asset Value Displays the sum of the Asset value of all positions, including positions in sub portfolios, that have the same underlying as the underlying of the portfolio or a TRS on this underlying.Note: This column displays the same values as the Asset Value

column for each position but displays the specific Strategy Asset Value in the hierarchical view of a portfolio.

Strategy Nb of Securities Displays the sum of the Number of securities of all positions, including positions in sub portfolios, that have the same underlying as the underlying of the portfolio or a TRS on this underlying.Note: This column displays the same values as the Number of

securities column for each position but displays the specific Strategy Nb of Securities in the hierarchical view of a portfolio.

Universal Reference Columns

The references defined in the Universal Reference window are displayed as columns. The columns display the data retrieved by the universal reference for the portfolio entry.

The column names take the following format:

REF: Universal Reference Name

Note: Univalves reference names that exceed 36 characters in length are not displayed as columns in the Portfolio window.


Name Description

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Chapter 4 Working with Portfolios

This chapter describes the basic user tasks involved in setting up, configuring and using your portfolios.

The following topics are described:

• “Loading the Portfolio” on page 97• “Reporting” on page 98• “Managing Folios” on page 101• “User Columns” on page 103• “Scripting User Columns” on page 110• “External References” on page 112

Loading the Portfolio

This section describes the following:

• “Loading the Portfolio” on page 97• “Selective Loading of Portfolios” on page 98

Loading the Portfolio

Loading the portfolio activates its contents. Prior to loading, the portfolio’s contents can not be viewed or modified in any way.

If you have selected the Do Not Load All Portfolios preference in the General tab of the Preferences dialog, opening the portfolio window does not immediately grant you access to the contents of the portfolio. It simply lists the folders contained in the portfolio. This option is particularly useful if you have complete access to your organisation’s portfolio, or a large subset of it. Loading large portfolios can take a long time.

If the Do Not Load All Portfolios preference is not selected, loading the portfolio loads all folders and their contents. Depending on the size of the portfolio you have access to, this can be a time-consuming action.

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Selective Loading of Portfolios

Using the Preferences dialog box, you can specify whether you want to automatically load all of the portfolios, when opening the Portfolio window. If you chose not to load all portfolios automatically, you can load each folio individually, as required, when working in the Portfolio window.

To load an individual portfolio in the Portfolio:

1 In the Portfolio window, select one or more portfolios.

2 Right-click to open the context menu.

3 Select Load.

4 The selected portfolios load.

Important: If the Root of your portfolio contains positions, deals or movements, selectively loading the portfolio does not load these movements. In order to load these, you must run the reporting, using F8, or from the Portfolio menu.

Reporting

Reporting reports on all movements that match the criteria specified in the reporting dialog, and if your portfolio is not loaded, loads the portfolio.

All deals are loaded to calculate the average price, the realised, the costs of treasury, the income, and the part of financing due to the amount paid in the future. It also manages the coupons to be received when the market is ex and the position cum. For stock loans, CFDs and equity swaps with increase of nominal, it also calculates the costs of commission and interest.

Depending on the number of transactions in the selected folio, the reporting can be time-consuming. The first time the reporting is run, the instruments in open position or closed recently are all loaded, which can also take a long time.

Run the reporting by selecting Run Reporting from the Portfolio menu, or pressing F8. The Reporting dialog is displayed:

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Figure 4-1 Reporting dialog

The following reporting methods are available:

• First In First Out — FIFO• Last In First Out — LIFO

For more information, see “FIFO and LIFO” on page 99.• Weighted Average Price — WAP

For more information, see “WAP” on page 100.• First In First Out for Futures — FIFO Futures

For more information, see “FIFO Futures” on page 100.• Line Picking

For more information, see “Line Picking” on page 100.

Note: The reporting methods are described in detail in the Financial Models Documentation delivered with your installation set.

The following additional parameters can be specified:

• End date — Date at which Reporting stops. Positions after this date are not reported on.

• Grouping — The menu allows you to group the movements at the server level in order to optimize calculation time. The average prices may then be different to those expected, but the results are always correct.

- Detailed - All movements- Two trades per day - All the buy and sell movements- Two trades per payment day- One trade per day- One trade per payment day

• Unrealized Reset Date — Date to reset the unrealized to.

FIFO and LIFO

The FIFO method calculates the Average Price using the remaining number of securities already traded, while the LIFO method calculates the Average Price using the remaining number of securities lastly traded.

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WAP

The WAP method takes into account the proportional relevance of each deal, rather than treating each component equally.

FIFO Futures

The FIFO Futures method allows you to do a reporting with Futures in FIFO and WAP for the other Instruments. This reporting type is not available in the Auxiliary Ledger.

Important: It is necessary to run Reporting only once a day, unless more is required. You can then use the F9 or F10 to update the P&L and Greeks. For more information, see “Recalculating the Position” on page 253 and “Fast P&L” on page 255.

Running the Reporting during the day can be useful for distributing the P&L between the Unrealised and Realised, updating the treasury costs in the even of modification of overnight or deal history, assessing the need for future financing with new rate curves, and for any modifications of Bonds which affect the P&L and Greeks.

Line Picking

The Line Picking method calculates the realized of the portfolio based on the content saved in the Line picking on position window of the positions in the portfolio. For more information about line picking, see “Line Picking” on page 537.

Reporting on Single Positions

It is also possible to perform the reporting on individual positions or a selection of positions. To do this, select the position(s) you want to perform the reporting on and right-click to open the context menu. Select Reporting to perform the reporting on each position of this instrument in all the loaded folios.

Important: Selecting an individual position and pressing F8 does not perform the reporting on the selected position. It performs the reporting on every position in all the loaded folios.

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Managing Folios

This section describes how to create and manage folders. It comprises the following sections:

• “Creating a Folio” on page 101• “Managing the Contents of a Portfolio Folder” on page 102

Creating a Folio

This section describes how to create a folder. To Create a Folio, do the following:

1 Select the location in which you want to create a Folio.

For example, select Folio1 to create a Folio in the Folio1 directory.

2 To create a Folio, click the New Folio icon.

The Portfolio Entry dialog box opens:

Figure 4-2 New folder dialog

3 Enter values in the dialog box as described in table 4-1:

Table 4-1 New Folder Parameters (Sheet 1 of 2)

Field Description

Name Enter the name of the folder to be displayed in the Portfolio window.

Security The security or currency to use as the underlying of the folder.

Currency Allows you to define the underlying of the folio as a currency pair, such as EUR versus GBP.

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4 Click OK.

Important: You must specify an underlying for the portfolio to display the results and risk parameters of the portfolio.

Managing the Contents of a Portfolio Folder

This section describes how to manage the contents of a folder. The following table describes possible procedures.

Displaying the Folder’s Contents

To display the composition, result & risk parameters of a Portfolio, do the following:

1 Double-click the required folder.

A second Portfolio window opens displaying the contents of the selected folder.

Displaying a Summary of a Deal

To display the summary of a deal’s movements, do the following:

1 Double-click the deal you want to view.

The Movement window opens, displaying the movements of the selected

Entity Default entity for all deals entered in this folder.

Folio Currency Allows you to display the contents of the folio in a currency other than the currency of the underlying. All results in this folio are expressed in the currency defined here.

Business Line The business line to which the portfolio belongs. All portfolios in a business line are included in the End of Day procedure when it is run on site that includes the business line.

Customizable Header

The customizable header option. See

Comments Text field. This field can store up to 250 characters.

Locked Check to store the P&L of the Portfolio in database if an EOD procedure is launched.

Closed

Table 4-1 New Folder Parameters (Sheet 2 of 2)

Field Description

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deal.

Displaying Folio Properties

To display, or modify the properties of a folder, do the following:

1 Select the folder you want to examine, or modify.

2 Select Information from the context menu or File menu, or press Ctrl+f.

This displays the Folder Entry window. See figure 4-2 for more information.

User Columns

The portfolio column editor provides dynamic specification of portfolio columns, given an associated expression and a display style. This is fully data-driven because the column expression is defined in conventional language.

User columns are described in the following sections:

• “Creating User Columns” on page 103• “Column Expressions” on page 105• “User Column Keywords” on page 106

Creating User Columns

To display the user column list, choose User Columns from the Data menu. The Edit User Column window is displayed, as shown in figure 4-3.

Figure 4-3 Edit User Columns dialog

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To add a new portfolio column, click Add. To edit an existing portfolio column, select a column from the list and click the Edit. In both cases, the Column Editor is displayed, as shown in figure 4-4.

Note: When editing a column you can not change its name.

To delete a portfolio column, select the column from the list and click Delete. The column is removed and but you will not see the deletion until RISQUE is restarted.

Figure 4-4 Column Editor dialog

To create a portfolio column, enter the details of the column and define an expression to be used to calculate the contents of the column. You can define expressions for the portfolio, underlying, and position lines of the Portfolio window.

If you are creating a user column that displays a value for each position line in your portfolio as well as the total for the portfolio, you will need to create the column with the position expression, save the column, and then create the portfolio expression using the Sum function. Column expressions are described in “Column Expressions” on page 105.

Table 4-2 describes the fields of the Column Editor dialog.

Table 4-2 Column Editor field descriptions (Sheet 1 of 2)

Item Description

Column Name Name of the portfolio column

Column Group The portfolio column configuration group in which the user column will appear.

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Column Expressions

The following constructs and expressions can be used when defining portfolio columns:

• Arithmetic constructors + - / *• Comparisons > < = <> <= >=

Portfolio Expression The expression used to calculate the values of the column for the folio lines of the Portfolio window.

Underlying Expression The expression used to calculate the values of the column for the underlying lines of the Portfolio window. The underlying lines are only displayed when you have selected the underlying view.

Position Expression The expression used to calculate the values of the column for the position lines of the Portfolio window.

Style The font style.

Alignment The cell alignment.

Color The colour of the cell: • Position CCY - colour is the same as the position

currency colour • Underlying CCY - colour is the same as the positions

underlying currency colour • Portfolio CCY - colour is the same as the portfolios

currency colour • Global CCY - colour is the same as the global

currency colour • Fixed CCY - the currency colour can be chosen from

the list • Top Portfolio CCY - colour is the same as the top

portfolio currency colour (as displayed in the current window).

Type The column data type. This can be defined as:• Short• Long• Float• Double

Null Value This value will be neither displayed nor conceded during the processing: Zero, Zero or not Defined, Not Defined, None

Number of Decimals The number of decimals displayed in the column.

Table 4-2 Column Editor field descriptions (Sheet 2 of 2)

Item Description

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• Conditional statement Decode. For example:DECODE(condition1, value1, condition2, value2, ... , defaultvalue)Or:if (condition1 is true), then value1else if (condition2 is true), then value2else ...else defaultvalueNote: The default value must be an integer. You can also use AND OR operators in the Decode statement.

• Conditional statement DecodeString. The Decode expression with a string as the second or third argument.

DecodeString([Instrument Type]='A',"string1", "string2"

• Minimum or maximum of two or several expressions: Min(a,b,…), Max(a,b,…)

• Mathematical functions: Log(a), Exp(a), Power(a,b)• Numerical constants

Note: The decimal point is used as a decimal separator. The comma is used only to separate the arguments of a function.

• The function Last(code) returns the last price of a security from its internal code

• The function Theoretical(code) returns the calculated theoretical value of an instrument from its internal code. Note that this function is only defined on the position of a deal on the instrument

• The function Forex(ccy1, ccy2) to retrieve an exchange rate• The construct [ Column Name ] to retrieve the value of any other portfolio

column on this position / underlying / portfolio. For example [Asset Value] or [Delta cash]

• The construct Sum[ Column Name ] to calculate the sum of an indicator over the current portfolio (over the current underlying in the ‘per underlying’ view)

• The construct Consolidate[ ] is similar to Sum[ ] except that the FX rate between the position’s currency and the portfolio currency is applied before calculation.

• The function ATOL(string) converts ascii characters to a long integer. For example, ATOL(123.456) returns 123 and ATOL(123ABC) returns 123.

• The function ATOF(string) converts ascii characters to a floating integer. For example, ATOF(123.456) returns 123.45 and ATOF(123.45ABC) returns 123.45.

User Column Keywords

Table 4-3 describes the user column keywords that you can use when defining column expressions.

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Table 4-3 User Column Keywords (Sheet 1 of 4)

Value Description

AverageCol[column] Calculates average of the column specified. (Does not take differing currencies into account.)

AverageFX[column] Calculates average of the column specified over a portfolio using the currency of the portfolio.

EF.VAL.fieldnameEF.DES.fieldname

Returns the value or description of external fund indicators from the Indicators, Analysis, and Investment Rules tabs of the Fund Edition dialog. EF.VAL returns the value of the indicator and EF.DES returns the indicator description.

The following list shows the value keywords that are created for the fund indicators. The description keywords are defined in the same way but with DES instead of VAL.

• EF.VAL.REDEMPTIONNOTICE• EF.VAL.CUTOFFTIME• EF.VAL.NOTICEALERTDAYS• EF.VAL.INVESTMENTTYPE• EF.VAL.ACCEPTEDINVESTORTYPE• EF.VAL.INVESTORBASEBREAKDOWN• EF.VAL.LARGESTINVESTORS• EF.VAL.MAXIMUMCAPACITY• EF.VAL.MANAGEMENTSTAKES• EF.VAL.RISKMANAGER• EF.VAL.LIQUIDITYRISK• EF.VAL.HEDGERISKS• EF.VAL.MAXIMUMLEVERAGE• EF.VAL.AVERAGELEVERAGE• EF.VAL.LISTEDINSTRUMENTSINVESTMENTIN• EF.VAL.OTCINSTRUMENTSINVESTMENTIN• EF.VAL.LIMITS• EF.VAL.INSTRUMENTSUSED• EF.VAL.MAXIMUMEXPOSURE• EF.VAL.AVERAGEHOLDINGPOSITION• EF.VAL.CASHMANAGEMENTPOLICY• EF.VAL.STRUCTUREDESCRIPTION• EF.VAL.ADMINISTRATIVEFEE• EF.VAL.LATEREDEMPTIONFEE

Whenever you add a custom indicator for your fund, a keyword is automatically added to this list. The keyword is created by capitalising the indicator and removing all spaces and non-alphabetical characters. For more information, see Editing Funds in RISQUE Instrument Reference Guide.

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CCString Returns ISO string of the currency code

Count[column] Counts number of deals in a folder which have a non-zero entry for the column.

GLOBAL.CORRELATIONDATE Returns the correlations date.

GLOBAL.CREDITRISKDATE Returns the credit risk date.

GLOBAL.DIVIDENDDATE Returns the dividend date.

GLOBAL.FXDATE Returns the forex date.

GLOBAL.INSTRUMENTDATE Returns the instrument date.

GLOBAL.POSITIONDATE Returns the positions date.

GLOBAL.RATEDATE Returns the interest rate date.

GLOBAL.REPODATE Returns the repo date.

GLOBAL.SPOTDATE Returns the spot date.

GLOBAL.SRDATE Returns the subscription/redemption date.

GLOBAL.TODAY Returns the current date.

GLOBAL.VOLATILITYDATE Returns the volatility date.

GLOBAL.CCY Returns the name of the global currency.

GLOBAL.currency_name Returns the reference code for currency_name.

GLOBAL.TODAY The number of days since 01/01/1904

Global.isoccy Returns the reference code of the global currency.

MinCol[Column] Returns minimum of the column in the portfolio. (Does not take differing currencies into account.)

MaxCol[Column] Returns maximum of the column in the portfolio. (Does not take differing currencies into account.)

MinFx[Column] Returns minimum of the column in the portfolio, taking the currency of the portfolio into account.

MaxFx[Column] Returns maximum of the column in the portfolio, taking the currency of the portfolio into account.

PORTFOLIO.CCY Currency of the portfolio

PORTFOLIO.CODE For a portfolio expression, returns the portfolio internal code.

For a position expression, returns the code of the portfolio that the position is in.

For an underlying expression, returns the code of the portfolio that the position is in hierarchical view.

Portfolio.isoccy Returns ISO code for portfolio underlying currency

Portfolio.OpenPositionsCount Returns number of open positions in the portfolio.

Portfolio.ClosedPositionsCount Returns number of closed positions in the portfolio


Value Description

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POSITION.CCY Currency of the Position

POSITION.INSTRUMENT_TYPE A char that identifies the type of instrument

Position.isoccy Returns ISO code for position currency

POSITION.UNDERLYING_TYPE A char that identifies the instrument underlying

POSITION.UNDERLYING_REFERENCE

Returns the reference number of the underlying of a position.

POSITION.UNDERLYING_CODE Returns the code of the underlying of a position.

POSITION.TYPE Returns a value for the type of position. The values are:• 0 = standard position,• 1 = blocked,• 2 = arbitrage,• 3 = borrowed / lent,• 4 = simulation,• 5 = basket,• 6 = brokerage,• 7 = virtual forex,• 8 = simulated virtual forex (virtual forex associated to a

simulated position).

PREF.RHOUNIT Uses the value specified in the Rho Unit field of the Rho tab of the Preferences dialog. Rho Unit specifies the number of yield curve basis points, to which the rhos displayed in the positions correspond.

PREF.PNLMONETARYUNITFACTOR

If the preference P&L in monetary unit is ticked, the contents of your column are multiplied by 1000.

PREF.ISGAMMAINPCT Applies the preference Gamma in % to the contents of your column.

PREF.ISCONVRATIOINSHARES Applies the setting specified by the ConvertionRatioInShares preference of the RISKPREF table. If ConvertionRatioInShares is set to 1, the Conversion Ratio is expressed in Shares instead of in prices.

PREF.ISSIMULATIONMODE Specifies the conditions for what should occur in your column if Simulation Mode is active.

PREF.ISRTACTIVE Specifies what occurs in your column if Real-Time connection is active.


Value Description

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Scripting User Columns

The user columns can also be defined using scripts written in C# or VB.NET.

This functionality must be configured and requires the following:

• A valid license for the Sophis .NET Financial Integration Toolkit.• SophisSCR.dll — The scripting library.• Configuration — A section in the risk or global.ini file to activate and

configure the scripting functionality.

Important: The .NET Toolkit is also accessible for your scripts, if it is enabled. For more information on obtaining a license for the .NET Toolkit, consult your Sophis Sales advisor.

SQLQUERYdatatype Defines an SQL query that returns a value to be used in the user column. The datatype of this keyword is the variable that is included in the SQL. This keyword is defined as follows:sqlquerystring("select reference from titres where sicovam=%1",position.underlying_code)

In this example, the string contained in the position.underlying_code column of the titres table is used in the SQL command in place of the %1 variable.

This keyword can be defined for different datatypes in the SQL command as follows:• sqlquerystring

• sqlqueryint

• sqlqueryfloat

• sqlqueryvar

• sqlqueryvarchar

• sqlquerynumber

• sqlquerydate

SumFx[column] Same as consolidate function

Underlying.isoccy Returns ISO code for deal underlying currency

UNDERLYING.CCY Currency of the underlying (in the underlying view)

UNDERLYING.LAST Last price of the underlying


Value Description

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Configuration

To configure the scripting functionality, do the following:

1 Ensure the SophisSCR.dll is present in the root of your RISQUE installation directory.

2 Add the following section to your risk.ini or global.ini file:

[SophisSCR]activated=yesrepository=d:\ScriptFiles

where:

- activated — defines whether or not the functionality is available for use. If this parameter is set to no, or any other value, the User Column Scripting functionality is unavailable.

- repository — defines the location of your script repository. This is the directory to which your scripts are saved, or from where they are loaded.

Using the Scripting Script Editor

To use the Scripting Interface, do the following:

1 Open the Sophis Script Editor by clicking the Scripted Columns item of the data menu.

The Sophis Script Editor is displayed, as shown in figure 4-5.

Figure 4-5 Sophis Script Editor

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2 To add a script, select Portfolio Column, the entry beneath Scriptable Object in the tree view, and right-click it.

The context menu is displayed, showing the following entries:

- Add Script C# — Adds a C# scripting template to the edit pane.- Add Script VB.NET — Adds a VB.NET scripting template to the edit pane.

3 Define your script and click Apply when finished. Compilation errors are displayed in the Error pane in the bottom of the dialog.

4 If no compilation errors occur, the script is added to the tree view and is available in the portfolio column list. If compilation errors occur, the script is not added to the tree view and is not accessible in the portfolio.

External References

External References are used to allow you to define your own references to an instrument instead of referring to an instrument using only the Mnemo or the system-defined reference. These references are known as external references.

Each external reference has a name to identify it. Each instrument has for each external reference an external reference value defined for it. The external reference value is the external reference for a particular instrument.

For example, there are a number of Spanish and German operators working in the system. They refer to instruments in Spanish or German. The external reference ExRef_Spanish and ExRef_German can be set up where for all instruments that are referenced by these operators an external reference value can be set. An external reference can accept redundancies. The external reference can then be associated with the same external reference value for different instruments.

To create external references, you must first define the references in the database. Only then can they be associated with instruments.

Database Tables

A database administrator (DBA) can define any number of external references. Each external reference has a name, an ID and a redundancy value. Table 4-4 shows the contents of a sample EXTRNL_REFERENCES_DEFINITION table.

Table 4-4 Contents of EXTRNL_REFERENCES_DEFINITION

REF_IDENT REF_NAME RENDUNDANCY

1 External_ReferenceSpanish 1

2 External_ReferenceGerman 0

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Table 4-5 shows the contents of a sample EXTRNL_REFERENCES_INSTRUMENT table.

3456234623 is the instrument reference of IBM in the database and the table column VALUE holds the external reference value.

The union of the table columns SOPHIS_IDENT and REF_IDENT must be unique.

Assigning References

To Assign External References for an Instrument:

1 Open the window in which the instrument is found.

2 Select the instrument.

3 Select External References from the Data menu.

4 Enter the values for each External Reference.

5 Click OK to save.

To Assign External References for Multiple Instrument:

1 Hold the Shift key, then select the instrument at the top of the group.

Note: If the instruments are not grouped, use the Ctrl key to individually select the instruments that you want to assign references to.

2 Select the instrument at the bottom of the group.

This highlights all instruments in the group.


4 Enter the values for each External Reference for each instrument.

5 Click OK to save.

To Assign External References for an Instrument in the Portfolio

1 Select the instrument


3 Enter the values for each External Reference.

4 Click OK to save.

Table 4-5 Contents of EXTRNL_REFERENCES_INSTRUMENT

SOPHIS_IDENT

REF_IDENT VALUE

3456234623 1 IBM GBP

3456234623 2 IBM FR

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Note: Assigning or viewing the External References of more than one instrument in the portfolio is not possible.

Old External References

Previously set External References can still be used (shown here in the blue box).

• This is shown separately from the External Reference Values, as it is not associated with an External Reference name.

• It is also not saved in the table EXTRNL_REFERENCES_DEFINITION but in the TITRES table.

• It is not also shown when the External Reference for more than one instrument is opened.

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Chapter 5 Views

Views are subsets of the contents of the portfolio. You can use views to filter the movements that you see.

This chapter contains the following sections:

• “View Types” on page 115• “Hierarchical View” on page 116• “Flat View” on page 116• “Underlying View” on page 117• “Consolidation View” on page 118• “Positions” on page 120

Note: It is possible to filter the positions and portfolios listed in the Portfolio window using the options in the Preferences dialog. For more information about these preferences, see the RISQUE Administration Guide.

View Types

The Portfolios window can display positions in four ways:

• “Hierarchical View” on page 116• “Flat View” on page 116• “Underlying View” on page 117• “Consolidation View” on page 118

These views are available from the Views menu, as shown in figure 5-1.

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Figure 5-1 Views Menu

Hierarchical View

The Hierarchical View displays portfolios and positions by directory. Each trade is shown in a containing folder, as shown in figure 5-2.

Figure 5-2 Hierarchical View

Flat View

The Flat View displays all instruments at the same level. Deals on the same instrument are aggregated, as shown in figure 5-3.

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Figure 5-3 Flat View

Underlying View

The Underlying view displays positions grouped by underlying, as shown in figure 5-4. It is also possible to group the results using the Index Consolidation preference in the Model tab of the Preferences.

The following groupings are available:

• Arbitrage — the arbitrage underlying, first expressed in cash and then converted in terms of the underlying. Using the underlying view in the portfolio, the position is listed at the arbitrage underlying level.

• Market — the index of the place of the instrument. Using the underlying view in the portfolio, the position is listed at the index level.

• Currency — the index of the currency of the instrument. Using the underlying view in the portfolio, the position is listed at the index level.

• Sector — you can categorise instruments by business sector. Each Business Sector defined is available from the drop down list in the Model tab.

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Figure 5-4 Underlying View

Consolidation View

This section describes the procedures for working with consolidations.

• “Creating a Consolidation” on page 118• “Creating a Consolidation Folder” on page 119• “Deleting a Consolidation” on page 119• “Deactivating a Consolidation” on page 119• “Consolidating Portfolios by Business Sector” on page 120

Creating a Consolidation

Creating consolidations allows you to view your portfolio in groupings of sub-portfolios. In this way, you can display an aggregate presentation of positions, according to specific criteria.

Consolidations are different from portfolios. The structure of portfolios is constant, unlike the structure of consolidations, which can be defined according to specific requirements. A user can work with their own, independent consolidation.

To create a consolidation:

1 From the Portfolios menu, select Add a consolidation.

The Add window is displayed.

2 Enter a name for the new consolidation.

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3 Click OK.

The new consolidation is displayed at the bottom of the Portfolios menu.

To activate a consolidation:

1 From the Portfolios menu, select the desired consolidation.

A tick is displayed on the left of the selected consolidation.

Creating a Consolidation Folder

You can create folder groups of consolidations, in the Portfolio menu.

To create a consolidation folder:

1 From the Portfolio menu, select an existing consolidation.

2 Click on the Consolidation button in the toolbar of the Portfolio window.

The Folder Entry window is displayed.

3 Enter a name for the consolidation folder in the Name field.

4 Specify the name and type of the underlying in the Underlying frame.

5 Select an appropriate Entity from the drop-down options.

6 Click OK.

Your consolidation is created in the ROOT portfolio and is represented by the consolidation icon.

7 In the Portfolio window, select the required folders and drag them into the consolidation folder.

The portfolios you drag into the consolidation folders must be on the first level of the portfolio tree structure.

Deleting a Consolidation

You can remove existing consolidations from the system.

To delete a consolidation:

1 From the Portfolios menu, select Delete consolidation.

2 Select the consolidation to delete from the dialog.

3 Click Erase. The consolidation is removed from the Portfolio menu.

Deactivating a Consolidation

You can deactivate a consolidation without deleting it.

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To deactivate a consolidation:

1 In the Portfolio menu, click on the currently active consolidation.

The consolidation is removed from the Portfolio window, the consolidation is retained in the Portfolio menu for future use.

Consolidating Portfolios by Business Sector

This section describes how to consolidate portfolios by Business Sector. You can consolidate a portfolio by underlying sector. You can view the portfolio by Business Sector when you select underlying view to display the portfolio.

To consolidate a portfolio by Business Sector:

1 From the File menu, select Preferences, then click Model.

2 From the Index consolidation drop-down menu, select Sector.

3 Close the Preferences dialog box. This consolidates entries in the Portfolio (Delta, Gamma, Vega) by Business Sector.

Positions

You can filter the display of positions in the Portfolio window by using the positions view drop-down menu on the Portfolios tool bar, as shown in figure 5-5.

Figure 5-5 Positions view menu

This menu offers the following types of view:

• Hide Closed Positions — hides all closed positions.• Show Everything — does not hide anything.• Hide All Positions — hides all positions.• Hide Closed Positions and Portfolios — hides closed portfolios, all

positions in these portfolios, including open positions, and all closed positions in all portfolios.

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Chapter 6 Extractions

This chapter describes extractions. Extractions provide a way to isolate and display positions which satisfy user-specified conditions. This chapter contains the following:

• “Viewing Extractions” on page 121• “Managing Criteria Extractions” on page 126• “Managing Lookthrough Extractions” on page 129• “Managing Bucket Extractions” on page 139• “Managing SQL Filter Extractions” on page 145• “Managing Pivot Extractions” on page 155• “Linking Positions” on page 162

Note: The P&L in extractions is affected by the Result without Financing check box on the Profit and Loss tab of the Preferences dialog box. If this check box is selected and the market has a defined delivery lag, the delivery lag is taken into account when calculating the P&L of the extraction.

Viewing Extractions

This section describes the windows that enable you to manage extractions. It contains the following:

• “Extractions List” on page 121• “Extraction Properties” on page 122

Extractions List

The following types of extractions are saved and opened from the Extraction list window:

• Criteria extractions — group the positions of entry point portfolios according to one or more criteria. For more information, see “Managing Criteria Extractions” on page 126.

• Lookthrough extractions — display the components of positions. For more information, see “Managing Lookthrough Extractions” on page 129.

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• Bucket extractions — further group the results of criteria extractions. For more information, see “Managing Bucket Extractions” on page 139.

• SQL extractions — display positions based on specified SQL queries. For more information, see “Managing SQL Filter Extractions” on page 145.

To open the Extraction list window, do the following:

• Click the Extraction command on the Portfolios menu.The Extractions list window is displayed, showing all saved extractions. Figure 6-1 shows the Extractions list window:

Figure 6-1 Extractions List

Table 6-1 describes the buttons of the Extractions list window:

Extraction Properties

The Extraction Properties dialog box enables you to create extractions of portfolios according to the areas you are interested in.

To open the Extraction Properties dialog box, do the following:

• With the Extractions list window open, press Ctrl+N or click the Create button.The Extraction Properties dialog box is displayed, as shown in figure 6-2:

Table 6-1 Buttons of the Extractions List Window

Name Description

The Create button. Opens the Extraction Properties dialog box to enable you to define an extraction. For more information, see “Extraction Properties” on page 122.

The Delete button. Deletes the selected extraction.

The Modify button. Opens the Extraction Properties dialog box of the selected extraction. For more information, see “Extraction Properties” on page 122.

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Figure 6-2 Extraction Properties Dialog

Table 6-2 describes the controls of the Extraction Properties dialog box:

Table 6-2 Extraction Properties Dialog (Sheet 1 of 4)

Name Description

Name Defines the name of the extraction.

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Reporting Determines how deals are included in the reporting calculations for average price and, consequently, P&L.

By reducing the number of deals to calculate the average price, you can improve the reporting time of your extraction. However, the accuracy of the calculations may be reduced. Only the Detailed reporting type displays an accurate average price.

You can choose one of the following reporting types:

• Detailed — all deals are included in the calculation of the average price. This reporting type is the only type that calculates the asset value correctly but increases processing time.

• Two trades a day — before reporting, deals are aggregated as either a buy or a sell deal and the average price is calculated using these two deals.

• Two trades a payment day — before reporting, deals are aggregated as either a buy or a sell deal for each payment date and the average price is calculated using these two deals.

• One trade a day — before reporting, all deals are aggregated for each deal date and the average price is calculated using this aggregated deal. This represents the cash flow of the deal for the day.

• One trade a payment day — before reporting, all deals are aggregated for each payment day and the average price is calculated using this deal.

• One unique trade — before reporting, deals are aggregated as either a long or a short deal and the average price is calculated using these two deal types.

• Without average price — the average price is not calculated or displayed. As a result, the P&L of the extraction is not accurate.


Name Description

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Model Defines the model of the extraction. The following models are available:

• Collateral — positions are extracted based on the following criteria:

• Counterparty • Entity• Convention

• Collateral Scheduler — positions are extracted based on collateral scheduler information. For more information, see the Collateral Management User Guide.

• Counterpart — positions are extracted based on the counterparty of the deal.

• Global Currency — positions are extracted based on the default currency.

• Standard — all positions in the loaded portfolios are extracted and grouped by portfolio.

• criteria — positions are extracted based on specified criteria. For more information, see “Managing Criteria Extractions” on page 126.

The Configure model button. Opens the configuration dialog box to enable you to configure the extraction.Note: This button is only enabled for some models.

User right Defines the user rights of the extraction. The following user right levels are available:

• Read — only the user that created the extraction can modify the extraction.

• Write — all users can perform and modify the extraction.

• No Access — only the user that created the extraction can perform and modify the extraction.

Filter Defines the filter type. The following filter types are available:

• Manual — manually enter a SQL query string in the SQL Filter text box. For more information, see “Manual SQL Extractions” on page 145.

• Dynamic — use the Query Builder to create a filter. For more information, see “Dynamic SQL Extractions” on page 147.


Name Description

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Managing Criteria Extractions

This section describes how to create extractions based on a variety of portfolio, deal, or instrument criteria. It contains the following:

• “Displaying the Extraction Criteria Dialog Box” on page 126• “Creating Criteria Extractions” on page 129

Displaying the Extraction Criteria Dialog Box

User-defined criteria extractions are defined in the Criteria for Extraction dialog box.

To open the Criteria for Extraction dialog box, do the following:

1 Select the criteria value from the Model drop-down list on the Extractions dialog box.

2 Click the Configure model button.

The Criteria for Extraction dialog box is displayed. Figure 6-3 shows the Criteria for Extraction dialog box:

The Configure Query button. Opens the Query Builder. For more information, see “Dynamic SQL Extractions” on page 147.Note: This button is only enabled if the Dynamic value is

selected from the Filter drop-down list.

SQL Filter Enter a SQL string in this text box to extract positions using SQL statements. For more information, see “Managing SQL Filter Extractions” on page 145.

Count Displays an estimate of the number of positions included in the extraction. This can help to determine the time that the extraction takes to perform.

The Launch extraction button. Performs the extraction.


Name Description

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Figure 6-3 Criteria for Extraction dialog box

Table 6-3 describes the controls of the Criteria for Extraction dialog box:

Table 6-3 Controls of the Criteria Dialog Box (Sheet 1 of 2)

Name Description

Criterion Defines the criteria of the extraction. The order of the list determines the order in which folders are displayed in the extraction.

Entry points Defines the entry point portfolios of the extraction.

The Delete button. Deletes the selected criterion.

The Up button. Moves the selected criterion up the list.

The Down button. Moves the selected criterion down the list.

Exclude Specifies if the selected entry points are excluded in the extraction. The following options are available:

• Selected — the extraction includes all portfolios except those specified in the Entry points list box.

• Cleared — the extraction includes all portfolios specified in the Entry points list box.

Remove N/A folders

Specifies if folders that do not contain relevant positions are included in the extraction. The following options are available:

• Selected — the extraction includes only folders that contain relevant positions.

• Cleared — the extraction includes an N/A folder, which contains positions that are not relevant.

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Keep Position Ident

Specifies if all deals in the extraction that make up the same position are displayed on one line with the identifier of the position. The following options are available:

• Selected — all lines in the extraction that come from the same position are displayed on one line with the identifier of the position.

• Cleared — lines are split in the extraction.Note: The External reference and the User Comments are

available for all positions in the extraction by right-clicking on the position.

Include Unloaded Positions

Specifies if positions are included in the extraction even if they have not been loaded. The following options are available:

• Selected — the extraction includes positions in the extraction even if they have not been loaded. If this check box is selected, you can perform the extraction by double-clicking on it in the Extractions list before you have clicked Open from the Portfolio menu or pressed the F7 key. However, you must load the portfolio to launch extractions from the Extraction dialog.

• Cleared — the extraction does not include positions that have not been loaded.

Note: Some criteria, such as Duration, Market Capitalization, Liquidity Risk, Gross Long Position, External Fund Strategy, Expected Volatility, and Expected Return, are calculated in the portfolio when an extraction is performed. Therefore, they cannot be used as criteria with the Include Unloaded Positions check box selected before the portfolio is reported (F8).

Lookthrough Specifies if the extraction is a lookthrough extraction. Set this to one of the following:

• None — no lookthrough is performed.• Forex — lookthrough is performed on forex spot, forex

forward, and non-deliverable forex forward. • Package — lookthrough is performed on packages and

forex. • Full — lookthrough is performed on all instruments.

For more information, see “Managing Lookthrough Extractions” on page 129.

Table 6-3 Controls of the Criteria Dialog Box (Sheet 2 of 2)

Name Description

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Creating Criteria Extractions

To create a criteria extraction, do the following:

1 Select the criteria value from the Model drop-down list on the Extractions dialog box.

2 Click the Configure model button.

The Criteria for Extraction dialog box is displayed.

3 Select the required criteria in the Criterion list box.

You can select multiple criteria including portfolio, issuer, rating, business sector, and currency. You can select each defined rating source and business sector as criteria.

Note: One criteria represents one level of extraction. However some criteria are multi-level.

4 Ensure the order of the criteria is correct. You can change the order using the Up and Down buttons. Folders are displayed in this order in the extraction.

5 Select the entry point portfolios of the extraction in the Entry points list box.

6 Click the OK button.

Managing Lookthrough Extractions

This section describes Lookthrough extractions. Lookthrough extractions show positions at the component level. This is particularly useful for viewing positions on the instruments in packages. This section contains the following:

• “Creating Lookthrough Extractions” on page 129• “Viewing Lookthrough Results” on page 131• “Creating Package Lookthrough Extractions” on page 132• “Creating Full Lookthrough Extractions” on page 134• “Creating Lookthrough Extractions on External Funds” on page 135

Note: The settings of the Result in Theoretical Value check box on the Profit and Loss tab of the Preferences dialog is ignored for lookthrough extractions.

Creating Lookthrough Extractions

Lookthrough is supported for the following instruments:

• TRS • CFD • Index and equity futures

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• Packages• Funds• Forex• Indexes• Recursive instruments, such as packages containing packages.

Note: Lookthrough extractions only show instrument information. Only select criteria that return information about instruments.

Table 6-4 describes the types of lookthrough extractions:

To display extraction criteria by component, do the following:

1 Define a criteria based extraction, as described in “Managing Criteria Extractions” on page 126.

2 Select the type of lookthrough extraction from the Lookthrough drop-down list, as described in table 6-4.

Table 6-4 Lookthrough Extraction Types

Name Description

Forex Lookthrough is performed on forex spot, forex forward, and non-deliverable forex forward.

Package Lookthrough is performed on packages and forex. This lookthrough can be used to split recursive instruments, such as packages in packages, to the first nested package level only.

For example, if PackageA contains 10 shares and another package, Package XYZ, a Package extraction produces results on the shares and Package XYZ as an instrument. The components of Package XYZ are not extracted. For more information, see “Creating Package Lookthrough Extractions” on page 132.

Full Lookthrough is performed on all instruments to the lowest level. This lookthrough is used to split recursive instruments, such as packages in packages, to the lowest level.

For example, if PackageA contains 10 shares and another package, Package XYZ, which contains a future on an index that has 5 shares, a Full extraction produces results on the ten shares of Package A and the 5 shares of Package XYZ. For more information, see “Creating Full Lookthrough Extractions” on page 134.Note: For total return swaps, full lookthrough shows the

underlying of the swap only if a basis is populated in the received leg cash flow for the period of the extraction.

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Viewing Lookthrough Results

When you select a lookthrough type from the Lookthrough drop-down list the results in the extraction are displayed by the components of the instrument.

In the example in figure 6-4, Instrument Type was selected as the extraction criteria.

Figure 6-4 lookthrough extraction of a package

In the extraction, each position in the package is displayed according to the extraction criteria.

Note: Positions split into components are not updated in real-time and cannot be edited.

Note: Split positions are not aggregated with individual positions on the same instrument.

An additional position, called Cash (Lookthrough) is also displayed in a section called Commissions. This position represents the unrealised amount of the package that is not listed with the instrument positions.

For example, in figure 6-4 the unrealised of the package is 2,259,432 and the unrealised of the package’s shares is 2,359,432. As a result, the Cash (Lookthrough) shows an unrealised adjustment of -100,000.

Figure 6-5 shows the same extraction without lookthrough. This extraction only shows one entry, in the Packages section, for the package itself.

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Figure 6-5 extraction of a package

Creating Package Lookthrough Extractions

Package lookthrough extractions are used to split recursive instruments, such as packages in packages, to the first nested package level.

For example, a package lookthrough could be used on a portfolio containing a futures contract on an index with two shares, as shown in figure 6-6:

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Figure 6-6 Extraction Example

To display an extraction of instruments to the package level, create a package-lookthrough criteria-extraction with Instrument type defined as a Criterion, as shown in figure 6-7.

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Figure 6-7 Extraction Criteria

This criteria produces the results shown in figure 6-8. The package is extracted, but because this is a package lookthrough extraction, the results do not break down to the underlying components of the index.

Figure 6-8 Extraction Results

Creating Full Lookthrough Extractions

Full lookthrough extractions split recursive instruments to the component level. For example, a full lookthrough on the futures contract on an index with two shares shown in figure 6-6 produces the results shown in figure 6-9. Because this is a full lookthrough extraction, the results break down to the underlying components of the index.

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Figure 6-9 Extraction Results

Creating Lookthrough Extractions on External Funds

Lookthrough extractions on external funds extract positions from the fund according to the criteria defined in the Breakdown tab of the Edition window of the fund. The extractions are broken down either by Instrument List (Bottom-Up) or Per Criterion (Top-Down). For more information about the Breakdown tab, see Editing Funds in the Instrument Reference Guide. The extraction replaces the asset value of the fund when it was booked with the breakdown criteria of fund.

Bottom-Up Lookthrough Extractions

Bottom-up breakdowns for funds extract positions based on instrument type. The instruments used are defined in the Breakdown tab of the Edition dialog of the fund, as shown in figure 6-10. You can drag and drop commissions into the Instruments list in addition to your fund shares. The fund breakdown shown in figure 6-10 contains three shares and three commissions.

Note: The NAV weight column does not have to be equal to 100. The weights are relative.

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Figure 6-10 Breakdown tab of the edition window

The extraction checks if each instrument of the fund meets the extraction criteria. The NAV used in the extraction is determined by the deals on the fund booked in the entry point portfolios, for example, the deal shown in figure 6-11.

Figure 6-11 Fund Deal for Bottom-Up Extraction

The lookthrough extraction calculates a NAV per criteria, and the number of shares is derived from the NAV based on the last price saved for the instruments. For example, an extraction based on geographic area for the deal shown in figure 6-11 generates the extraction shown in figure 6-12.

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Figure 6-12 Bottom-up extraction based on currency

The extraction in the example shows the components of the fund broken down by geographic area. The asset value is shown in the currency of the fund, with adjustments for forex rates if applicable. The cash line reflects an adjustment to the P&L columns based on the Result of the original fund deal.

In this example, the Result of the fund deal in figure 6-11 was £7,500. The Asset Value of the fund lookthrough was £50,000, resulting in a cash line GBP Cash (Lookthrough) balance of £57,500. The Number of Securities column is derived by dividing the Asset Value by the last price.

Top-Down Lookthrough Extractions

Top-down extractions reflect the criteria specified in the Breakdown tab of the Edition dialog of the fund. The top-down breakdown for a fund is defined by selecting Per Criterion (Top-Down). Figure 6-13 shows a top-down extraction with currency as the first criteria.

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Figure 6-13 Top-down breakdown in fund edition dialog

Figure 6-14 shows a deal booked on the fund defined in figure 6-13:

Figure 6-14 Fund Deal for Top-Down Extraction

The extraction looks for its extraction criteria based on the values defined in the Breakdown tab of the Edition dialog. The extraction criteria are displayed as positions, as shown in figure 6-15.

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Figure 6-15 Top-down extraction based on currency

Managing Bucket Extractions

This section describes bucket extractions. Buckets enable you to further group the results of criteria extractions. To use buckets you must define a bucket set and associate it with a bucketed criterion. This section contains the following:

• “Defining a Bucket Set” on page 139• “Defining Bucket Criteria” on page 144• “Applying Bucket Criteria” on page 144

Defining a Bucket Set

A bucket set is a list of buckets. Buckets further group positions within a criterion and are particularly useful for criteria that can have a large number of values, such as criteria that produce a date. A bucket can include intervals or points. Positions extracted by the criterion that do not fall within a bucket are displayed in an N/A folder.

Defined bucket sets are displayed in the Bucket Sets window. To display the Bucket Sets window, click the Bucket Sets command on the Data menu.

Bucket sets are created using the Bucket Set Creation dialog box. Figure 6-16 shows the Bucket Set Creation dialog box:

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Figure 6-16 Bucket Set Creation dialog box

Table 6-5 describes the controls of the Bucket Set Creation dialog box:

Table 6-5 Controls of the Bucket Set Creation Dialog Box (Sheet 1 of 2)

Name Description

Name Defines the name of the bucket set.

Model Defines the type of the criteria affected by the buckets of the set. The following options are available:

• Date — the bucket set can be applied to date criteria.• Default — the bucket set can be applied to all criteria.• Third Party — the bucket set can be applied to third party

criteria.• Year Count — the bucket set can be applied to length of

time criteria such as Duration and Maturity.

Buckets Lists the buckets of the set.

Up Increases the priority of the selected bucket.

Down Decreases the priority of the selected bucket.

Add slices Opens the Slicer dialog box. For more information, see “Bucket Slicer” on page 142.

Create Opens the Bucket Creation dialog box. For more information, see “Bucket Creation” on page 141.

Edit Opens the Bucket Edition dialog box enabling you to modify the selected bucket.

Delete Deletes the selected bucket from the set.

Save Saves the bucket set.

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To create a new bucket set, do the following:

1 Click the Bucket Sets command on the Data menu.

The Bucket Sets window is displayed.

2 Click the New button.

3 The Bucket Set Creation dialog box is displayed.

Figure 6-16 shows the Bucket Set Creation dialog box.

4 Enter a name for the set in the Name text box.

5 Select a model from the Model drop-down list.

6 Create buckets using the Bucket Creation or Slicer dialog boxes. For more information, see “Bucket Creation” on page 141 and “Bucket Slicer” on page 142.

Bucket Creation

The Bucket Creation dialog box enables you to manually create buckets. Figure 6-17 shows the Bucket Creation dialog box:

Figure 6-17 Bucket creation dialog box

Table 6-6 describes the controls of the Bucket Set Creation dialog box:

Cancel Closes the Bucket Set Creation dialog box without saving any changes.

Table 6-5 Controls of the Bucket Set Creation Dialog Box (Sheet 2 of 2)

Name Description

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Bucket Slicer

The Slicer dialog box enables you to generate several buckets by adding slices. Multiple mono-interval buckets are generated.

Figure 6-18 shows the Slicer dialog box:

Figure 6-18 Slicer dialog box

Table 6-7 describes the controls of the Slicer dialog box:

Table 6-6 Controls of the Bucket Creation Dialog Box

Name Description

Intervals Lists the intervals of the bucket.

Custom name Defines the name of the bucket. This is the name of the folder displayed in the extraction. If a name is not defined, RISQUE creates a name for the bucket based on its values.

Add Single Value

Defines a single value bucket.

Add Adds the specified single value bucket.

Add Interval Defines the parameters of an interval bucket. You can define the start and end values of the interval with a specific value or as infinity. You can choose to exclude these specified values from the interval.Note: You cannot create interval buckets for Third Party

bucket sets.

Add Adds the specified interval bucket.

Table 6-7 Controls of the Slicer Dialog Box (Sheet 1 of 2)

Name Description

Boundaries Defines the values of the borders of the interval.

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Figure 6-19 shows an example configuration in the Slicer dialog box:
Figure 6-19 Slicer dialog box

The configuration shown in figure 6-18 generates the following buckets:

• [1;50[ — represents the range >= 1, < 50.• [50;100[ — represents the range >= 50, < 100.

50 is included in the bucket and 100 is excluded.

If the Finite Min and Finite Max check boxes are not selected, the following intervals are generated:

• ]- ;1[• [1;50[• [50;100[

• [100;+ [

Finite Min Specifies that the minimum value entered is the lowest valid value of the bucket. If this check box is not selected, the lowest

valid value of the bucket is - .

Finite Max Specifies that the maximum value entered is the highest valid value of the bucket. If this check box is not selected, the highest

valid value of the bucket is + .

Slices orientation

Specifies which values are excluded from the interval. The following options are available:

• [[ — the first value specified by the interval is included. The second value is excluded.

• ]] — the first value specified by the interval is excluded. The second value is included.

Table 6-7 Controls of the Slicer Dialog Box (Sheet 2 of 2)

Name Description

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Defining Bucket Criteria

Bucket criteria enable you to specify which bucket set is applied to which criteria when performing a criteria extraction. Bucket criteria are defined in the Bucket Criteria Creation dialog box. Figure 6-20 shows the Bucket Criterion Creation dialog box:

Figure 6-20 Bucket Criteria Creation dialog box

Table 6-8 describes the controls of the Bucket Criterion Creation dialog box:

Applying Bucket Criteria

To apply a bucket criteria to an extraction, do the following:

1 Create a criteria extraction. For more information about criteria extractions, see “Managing Criteria Extractions” on page 126.

2 Select the defined bucket criterion as one of the criteria in the Criterion list box in the Criteria for Extraction dialog box.

Table 6-8 Controls of the Bucket Criterion Creation Dialog Box

Name Description

Name Defines the name of the bucket criterion.

Bucket Set Defines the bucket set associated with the bucket criterion.

Criterion Defines the criterion that the bucket criterion filters.

Match Type Specifies if a position that matches more than one bucket is displayed more than once in the extraction. The following options are available:

• First Match Only — positions that match more than one bucket are only displayed in the bucket listed first in the Intervals or Boundaries list box.

• All Matches — positions that match more than one bucket are displayed in all of those buckets. The P&L of the position is counted each time and, as a result, the P&L of the extraction is incorrect.

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Managing SQL Filter Extractions

This section describes how to create extractions based on SQL queries. You can create Manual or Dynamic SQL extractions. This section contains the following:

• “Manual SQL Extractions” on page 145• “Dynamic SQL Extractions” on page 147

Note: You can also use the Dynamic method to create the template for a Manual query. To edit the Dynamic query generated by the Query Builder, change the Filter drop-down list on the Extraction Properties dialog box from Dynamic to Manual.

Manual SQL Extractions

You can enter SQL queries in the SQL Filter text box of the Extraction Properties dialog box to create SQL filter extractions. The queries are executed on the HISTOMVTS table by default. You can filter any field in this table. You do not have to enter a Select From string but just the where clause of the SQL query.

For example, instead of entering select * from HISTOMVTS where sicovam = 67512453, you only need to enter sicovam = 67512453.

Figure 6-21 shows this example:

Figure 6-21 SQL Extraction Criteria

Referencing the Database Table

If you reference the HISTOMVTS table explicitly in your query, you must write it in uppercase. Otherwise, RISQUE reads from the table alias, which is named in lowercase.

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For example, to define an extraction query to display all positions except share positions in the portfolio referenced as 32567, create the filter with HISTOMVTS in uppercase, as shown in figure 6-22:

Figure 6-22 valid filter with uppercase reference

This filter results in the following query:

The only situation where you should use lowercase histomvts is to use the alias to reference columns in the table.

For example, you can define a query to exclude the positions referenced in the previous example, as shown in figure 6-23:

select * from histomvts h where sicovam not in (select sicovam from HISTOMVTS histo, titres tit where tit.sicovam = histo.sicovam and histo.opcvm = 32567 and tit.type = 'A')

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Figure 6-23 valid filter with lowercase reference

This filter results in the following query:

Dynamic SQL Extractions

This section describes how to define SQL extractions using the Query Builder. The Query Builder enables you to define a SQL query using predefined templates and a selection of variables without having in-depth SQL knowledge. This section contains the following:

• “Displaying the Query Builder” on page 147• “Query Builder Variables” on page 148

• “Query Builder Operators” on page 150• “Query Builder Selectors” on page 151• “Creating Queries” on page 152

Displaying the Query Builder

To open the Query Builder, do the following:

1 Select the Dynamic value from the Filter drop-down list in the Extraction Properties dialog.

2 Click the button next to the Filter drop-down list.

The Query Builder dialog box is displayed. Figure 6-24 shows the Query Builder dialog box:

select * from histomvts h where not exists (select 'X' from titres tit where tit.sicovam = h.sicovam and h.opcvm = 32567 and tit.type = 'A')

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Figure 6-24 Query Builder

Table 6-9 describes the columns of the Configuration Builder dialog box:

Query Builder Variables

Variables are added to the Query Builder using the Configuration selection dialog box. For more information about creating queries, see “Creating Queries” on page 152. Table 6-10 describes the Query Builder variables:

Table 6-9 Columns of the Configuration Builder dialog box

Name Description

Name Displays the name of the variable.

Operator Displays the operator on the variable value. For more information, see “Query Builder Operators” on page 150

Value Displays the value assigned to the variable.

Table 6-10 Query Builder Variables (Sheet 1 of 3)

Name Description Operator Selector

Book Name The name of the portfolio, as stored in FOLIO.NAME.

Text type No

Broker The name of the broker, as stored in HISTOMVTS.COURTIER.

Text type Yes

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Business Event The business event of the deal, as stored in BUSINESS_EVENTS.TYPE.

Text type Yes

Counterparty The counterparty of the deal, as stored in HISTOMVTS.CONTREPARTIE.

Text type Yes

Counterparty2 The second counterparty of the deal, as stored in HISTOMVTS.CONTREPARTIE2.

Text type Yes

Coupon Date The coupon date, as stored in HISTOMVTS.DATECOUPON.

Numeric type Yes

Depositary The depositary of the deal, as stored in HISTOMVTS.DEPOSITAIRE.

Text type Yes

Entity The entity of the deal, as stored in HISTOMVTS.ENTITE.

Text type Yes

Entry Date The entry date, as stored in HISTOMVTS.DATECOMPTABLE.

Numeric type Yes

Instrument Code The sicovam of the instrument. Limited text type. Only the in and not in operators are available.

No

Instrument Mnemo The mnemo of the instrument, as stored in TITRES.MNEMO.

Text type No

Instrument Name The name of the instrument, as stored in TITRES.LIBELLE field.

Text type No

Instrument Reference The reference of the instrument, as stored in TITRES.REFERENCE.

Text type No

Instrument Type The instrument type, as stored in TITRES.TYPE.

Text type No

Issuer The name of the issuer, as stored in TITRES.CODE_EMET.

Text type No

Maturity The maturity, as stored in TITRES.FINPER.

Numeric type Yes

Nb of Securities The number of securities in the deal, as stored in QUANTITE column.

Numeric type No

Nominal of the Deal The nominal of the deal, as stored in HISTOMVTS.MONTANT.

Numeric type No

Payment Currency The name of the payment currency. Text type Yes

Payment Date The date of payment, as stored in HISTOMVTS.DATEVAL.

Numeric type Yes

Security Currency The currency of the instrument. Text type Yes



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For more information about operators and selectors, see and “Query Builder Operators” on page 150 and “Query Builder Selectors” on page 151.

Query Builder Operators

Operators are used in the Query Builder to set the value of variables. For more information about creating queries, see “Creating Queries” on page 152. The following types of operators are available:

• Numeric types:

- = — equal to a value- < — less than a value- <= — less than or equal to a value- > — greater than a value- >= — greater than or equal to a value- <...< — defines a range of values, greater than X and less than Y. For

example:((DATECOUPON>to_date('02/07/2007', 'DD-MM-YYYY')) and (DATECOUPON<to_date('06/07/2007', 'DD-MM-YYYY')))

- <=...< — defines a range of values, greater than or equal to X and less than Y. For example:((DATECOUPON>=to_date('02/07/2007', 'DD-MM-YYYY')) and (DATECOUPON<to_date('06/07/2007', 'DD-MM-YYYY')))

- <...<= — defines a range of values, greater than X and less than or equal to Y. For example:((DATECOUPON>to_date('02/07/2007', 'DD-MM-YYYY')) and (DATECOUPON<=to_date('06/07/2007', 'DD-MM-YYYY')))

- <=...<= — defines a range of values, greater than or equal to X and less than or equal to Y. For example:

((DATECOUPON>=to_date('02/07/2007', 'DD-MM-YYYY')) and (DATECOUPON<=to_date('06/07/2007', 'DD-MM-YYYY')))

Important: The values defined in a range must be separated by semi-colons.

• Text types — defined according to lists, as follows:

Settlement Date The delivery date, as stored in HISTOMVTS.DELIVER_DATE

Numeric type Yes

Status The status of the position, as stored in KERNEL_STATUS.

Text type Yes

Trade Date The date of the deal, as stored in HISTOMVTS.DATENEG.

Numeric type Yes



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- in — specifies a number of criteria from a list. For example:(COURTIER in (select IDENT from TIERS where NAME in ('ABN AMRO','AXA INVESTMENT MANAGERS','Barclays Bank Plc (Londres)')))

- not in — specifies that the value is not in the supplied list. For example: (COURTIER not in (select IDENT from TIERS where NAME in ('ABN AMRO','AXA INVESTMENT MANAGERS','Barclays Bank Plc (Londres)')))

- like — specifies that the value contains the supplied characters. If you define the value as TH, the query is defined with %TH%. For example:(COURTIER in (select IDENT from TIERS where NAME like '%TH%'))

Query Builder Selectors

The Query Builder provides selector functionality for third party, currency, date, business event, and status variables. Selectors enable you to quickly set the value of a variable. To open a selector, click the button next to the Value field. The selector windows display the possible values for the selected variable.

Figure 6-25 shows the calendar selector:

Figure 6-25 calendar selector

Figure 6-26 shows the third party selector:

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Figure 6-26 third party selector

Creating Queries

To create an SQL query for an extraction using the Query Builder, do the following:

1 Click the Edit Template button on the Query Builder dialog box. For more information about the Query Builder dialog box, see “Displaying the Query Builder” on page 147.

The Configuration selection dialog box is displayed. Figure 6-27 shows the Configuration selection dialog box:

Figure 6-27 Configuration selection dialog box

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2 Select the variables you want to include in the query and click the OK button.

To save this selection as a template, enter a name in the Configuration set drop-down list before clicking the OK button. This saves the current configuration for future use.

Note: Saved configuration sets are available to all users of the database.

The Query Builder dialog box lists the selected variables. Figure 6-28 shows the Query Builder dialog box with variables:

Figure 6-28 Query Builder dialog box

3 For each variable set the Operator and Value values. For more information, see “Query Builder Operators” on page 150.

Note: If the selector button is displayed for a variable you can use a selector to define the value of the variable. For more information, see “Query Builder Selectors” on page 151.

Figure 6-29 shows example variables and their values:

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Figure 6-29 Query Builder dialog box

4 Click the OK button.

The SQL Filter text box of the Extraction Properties dialog is populated with the SQL query based on the values specified in the Query Builder dialog box. Figure 6-30 shows the Extraction Properties dialog with a Query Builder query:

Figure 6-30 Extraction Properties dialog with Query Builder query

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Managing Pivot Extractions

This section describes pivot extractions. Pivot extractions enable you to define extractions according to pairs of criteria. This section contains the following:

• “Configuring Pivot Extractions” on page 155• “Displaying Two Criteria Extractions” on page 158• “Displaying Three Criteria Extractions” on page 161

Configuring Pivot Extractions

Pivot extractions are defined in the Create Pivot Extraction dialog box. To open the Create Pivot Extraction dialog box, click the Pivot Extraction command on the Portfolios menu and press the New button. Figure 6-31 shows the Create Pivot Extraction dialog box:

Figure 6-31 Pivot Extraction dialog

Table 6-11 describes the controls of the Create Pivot Extraction dialog box:

Table 6-11 Pivot Extraction Controls (Sheet 1 of 3)

Name Description

Name Defines the unique name of the pivot extraction.

First Criterion Defines the first criterion. For more information about the available criteria, “Pivot Extraction Criteria” on page 157. This is represented as the X-axis.

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Second Criterion Defines the second criterion. For more information about the available criteria, “Pivot Extraction Criteria” on page 157. This is represented as the Y-axis.

Use a third criterion

Specifies if a third criterion is used by the extraction.

Third Criterion Defines the third criterion. This field is only enabled if the Use a Third Criterion check box is selected. For more information about the available criteria, “Pivot Extraction Criteria” on page 157. This is represented as the Z-axis.

Entry Points Defines the entry point portfolios of the extraction.

Build Y consolidation extraction

Builds an optional Y secondary extraction, used to fill the Y consolidation column. That is, results for the different Y values independent of an X value.

If a third criterion is specified, this field changes to Build YZ consolidation extraction. This builds an optional YZ secondary extraction, used to fill the Y consolidation columns. That is, results for the different Y values independent of any X value, but dependent on the Z value currently selected.

Build ZX consolidation extraction

Builds an optional ZX secondary extraction, used to fill the X consolidation lines. That is, the results for the different X values independent of any Y value but dependent on the Z value currently selected. This check box is only available If a third criterion is specified.

Remove N/A Folders

Specifies if folders that do not contain relevant positions are included in the extraction. The following options are available:

• Selected — the extraction includes only folders that contain relevant positions.

• Cleared — the extraction includes folders that do not contain relevant positions.

Keep Position Ident Specifies if all lines in the extraction that come from the same position are displayed with the identifier of the position. The following options are available:

• Selected — all lines in the extraction that come from the same position are displayed with the identifier of the position.

• Cleared — lines are split in the extraction.Note: The External reference and the User Comments

are available on any position in the extraction by right-clicking on the position.


Name Description

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Pivot Extraction Criteria

The following criteria are available for pivot extractions:

• Allotment• Broker• Business Event• Convention• Counterparty• Currency• Depositary

Include Unloaded Positions

Specifies if positions are included in the extraction even if they have not been loaded. The following options are available:

• Selected — the extraction includes positions in the extraction even if they have not been loaded. If this check box is selected, you can perform the extraction by double-clicking on it in the Extractions list before you have clicked Open from the Portfolio menu or pressed the F7 key. However, you must load the portfolio to launch extractions from the Extraction dialog.

• Cleared — the extraction does not include positions that have not been loaded.

Note: Some criteria, such as Duration, Market Capitalization, Liquidity Risk, Gross Long Position, External Fund Strategy, Expected Volatility, and Expected Return, are calculated in the portfolio when an extraction is performed. Therefore, before the portfolio is reported (F8), they cannot be used as criteria with the Include Unloaded Positions check box selected.

Lookthrough Specifies if the extraction is a lookthrough extraction. Set this to one of the following:

• None — no lookthrough is performed.• Forex — lookthrough is performed on forex spot,

forex forward, and non-deliverable forex forward. • Package — lookthrough is performed on packages

and forex. • Full — lookthrough is performed on all instruments.

For more information, see “Managing Lookthrough Extractions” on page 129.

Save Saves the pivot extraction.

Launch Performs the extraction.


Name Description

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• Duration• Entity• Expiry Date• Instrument Type• Issuer• Issuer Sector• Issuer and Counterparty• Market

• Maturity• Negotiation Date• Operator• Place• Portfolio• Rating• Sector• Value Date

Note: Both Issuer Sector and Rating can have many entries, depending on how many are defined in your database.

Displaying Two Criteria Extractions

To display a pivot extraction based on two criteria, do the following:

1 Click the Pivot Extraction command on the Portfolios menu.

The Pivot Extraction list window is displayed.


The Create Pivot Extraction dialog box is displayed.

3 Enter a name for the extraction in the Name text box.

4 Select the first cirterion from the First Criterion drop-down list.

5 Select the second cirterion from the Second Criterion drop-down list.

6 Enter the portfolio entry points of the extraction in the Entry points list box.

You can select portfolios from the drop-down lists or drag-and-drop them from the Portfolio window.

7 Select the required check boxes.

8 Click the Launch button.

9 The Pivot Extraction window is displayed.

The retrieved items for the first criterion are displayed as columns and the second criterion as rows. The value shown in each cell is the first value

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selected in the Configuration dialog box. Cells that do not satisfy the defined criteria are empty.

In the example shown in figure 6-32, the first criterion is Instrument Type and the second is Counterparty. The first value selected in the Configuration dialog box is Result.

Figure 6-32 Pivot extraction example

To display all of the values selected in the Configuration dialog box, left-click on a populated cell.

You can launch three types of extractions from the Pivot Extraction window. For more information, see the following:

• “Viewing Cell Extractions” on page 159• “Viewing Column Extractions” on page 160• “Viewing Primary Extractions” on page 161

Viewing Cell Extractions

To display a cell extraction window, right-click on the cell in the Pivot Extraction window and click the View cell extraction results command on the context menu. This extraction displays all of the positions that make up that cell. For example, if you select the Shares/Counterparty 1 cell in the pivot extraction shown in figure 6-32, all of the positions on shares with counterparty 1 are displayed in the extraction window. Figure 6-33 shows this extraction:

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Figure 6-33 cell extraction

Viewing Column Extractions

To display a column extraction window, right-click on a cell in the column in the Pivot Extraction window and click the View column extraction results command on the context menu. This extraction displays all of the positions that make up that column. For example, if you select the Shares/Counterparty 1 cell in the pivot extraction shown in figure 6-32, all of the positions on shares are displayed in the extraction window grouped by counterparty. Figure 6-34 shows this extraction:

Figure 6-34 column extraction

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Viewing Primary Extractions

To display a primary extraction window, right-click on a cell in the Pivot Extraction window and click the View primary extraction command on the context menu. This extraction displays all of the positions of the pivot extraction. The positions are grouped by the first criterion and then by the second criterion. For example, if you select a cell in the pivot extraction shown in figure 6-32, all of the positions of the extraction are displayed in the extraction window grouped by Instrument Type and then Counterparty. Figure 6-35 shows this extraction:

Figure 6-35 primary extraction

Displaying Three Criteria Extractions

To display a pivot extraction based on three criteria, do the following:

1 Click the Pivot Extraction command on the Portfolios menu.

The Pivot Extraction list window is displayed.


The Create Pivot Extraction dialog box is displayed.

3 Enter a name for the extraction in the Name text box.

4 Select the first cirterion from the First Criterion drop-down list.

5 Select the second cirterion from the Second Criterion drop-down list.

6 Select the Use a third criterion check box.

7 Select the third cirterion from the Third Criterion drop-down list.

8 Enter the portfolio entry points of the extraction in the Entry points list box.

You can select portfolios from the drop-down lists or drag-and-drop them

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from the Portfolio window.

9 Select the required check boxes.

10 Click the Launch button.

11 The Pivot Extraction window is displayed.

The retrieved items for the first criterion are displayed as columns and the second criterion as rows. The value shown in each cell is the first value selected in the Configuration dialog box. A toolbar is displayed enabling you to filter by the third criterion. Cells that do not satisfy the defined criteria are empty.

Linking Positions

This section describes position linking. Position linking enables you to link related positions and perform extractions based on these links. This section contains the following:

• “Defining Position Links” on page 162• “Merging Position Links” on page 163• “Deleting Position Links” on page 163• “Displaying Position Link Extractions” on page 163

Defining Position Links

To define a position link, do the following:

1 Right-click on a position in the Portfolio window and click the Positions Link: Add command on the context menu.

The Position Link dialog box is displayed. Figure 6-36 shows the Position Link dialog box:

Figure 6-36 Position Link dialog box

2 Enter a name for the new Position Link and click the OK button.

The name of the Position Link is displayed in the Position Link Name column in the Portfolio window.

3 To add more positions to an existing position link definition, select the same position link name for each from the drop-down list in the Position Link dialog box.

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Note: You can also select multiple positions simultaneously and add them to an existing link by merging them. For more information, see“Merging Position Links” on page 163.

Merging Position Links

Position-link merging enables you to add multiple positions to a selected position link simultaneously. To merge positions links, do the following:

1 Select a position which is part of a position link.

2 Select the other positions while holding Ctrl.

3 Right-click on one of the selected positions and click the Position Link: Merge command on the context menu.

The selected positions are added to the position link of the position selected in step 1.

Deleting Position Links

To remove a position from a link, do the following:

• Right-click on the position and click the Position Link: Undo command on the context menu.The position is removed from the position link.

Displaying Position Link Extractions

To view all linked positions, do the following:

• Right-click on a position that belongs to the position link and click the Position Link: Show command on the context menu.The extraction window is displayed showing all of the positions linked with the selected position.

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Chapter 7 Fund Alerts

Within RISQUE you can display information messages called alerts. An alert is an event that represents activity that may require attention by the trader. These events could be alerts for automatic tickets on positions, alerts on funds, or alerts created by a trader.

Alerts are displayed in Alert window, portfolio extractions, and also in the alert counter. These are described in the following sections:

• “The Alert Window” on page 165• “Alerts in Portfolio Extractions” on page 169

The Alert Window

To view the Alert window, choose Alerts from the Fund Admin menu. The Alert window is shown in figure 7-1.

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Figure 7-1 The Alert window.

The Alert window displays all events that may require attention by RISQUE users. Depending on the severity of the alert, alerts are displayed as either Low, Medium, High, or Blocking. To can choose to show only certain alert levels by clicking the Filter toolbar button.

The Alert window shows four different types of alerts. These alerts are described as follows:

• Alert Book — Displays the alerts that have been generated in the Alert Book. These alerts are generated when the forecasts have been run for your portfolio. These alerts are always displayed as Medium. The displayed categories are the same as those in the Alert Book.Note: If you have selected a folder in the Portfolio window when launching the Alert window, only the Alert book alerts for that folder are displayed.

• Funds Alerts — Displays toolkit alerts for funds. • Global Alerts — Displays global toolkit alerts. • User Alerts — Displays the alerts that were created by a user. These alerts

are displayed for all users and are listed by the category specified when defining the alert. The alert level for these alerts is also set when defining the alert. See the Defining a User Alert section below.

To open the position for which an Alert Book alert is displayed, double-click the relevant alert. To open the fund portfolio for which a Funds Indicator alert is displayed, double-click the relevant alert.

To create a user alert, click Send an Alert. See “Defining a User Alert” on page 167. To define the properties of the Alert Window, click Alert Sources Properties. See “Defining Alert Properties” on page 167.

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Defining a User Alert

User defined alerts are alerts that are displayed for all RISQUE users. You define any alert level or category for these alerts.

To define a create an alert, choose Send an alert from the Fund Admin menu. The Alert writer dialog is displayed, as shown in figure 7-2.

Figure 7-2 The Alert writer dialog

Table 7-1 describes the fields in the Alert writer dialog.

Once you have defined the alert message and set the level and category, click Send and close, this closes the dialog after the alert is sent. If you want to send another alert, click Send, the dialog stays open so that you can define another alert.

Defining Alert Properties

You can choose to hide or display different types of alerts from both the Alert window and the Alert Counter by defining the alert sources in the Alert Sources Properties dialog. The Alert Counter is described in “The Alert Counter” on page 168.

To open the Alert Sources Properties dialog, click Alert Sources Properties in the Alert window. The Alert Sources Properties dialog is shown in figure 7-3.

Table 7-1 The fields of the Alert writer dialog.

Field Description

Message The message that is displayed in the Alert window.

Category The category in which the alert is displayed. Alerts are displayed by category in the User Alerts section of the Alert window.

By default, Main is specified as the alert category but this can be changed to any other relevant term.

Level The level at which the message will appear.

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Figure 7-3 The Alert Sources Properties Dialog

Table 7-2 describes the columns in the Alert Sources Properties dialog.

The Alert Counter

The Alerts counter is displayed at the bottom of main RISQUE window and shows the number of alerts that have been sent for the current day. The counter displays the number of blocking level alerts and a total of all alerts.

The number of alerts shown in the status counter are the same as those displayed in the Alert window. You can display the Alert window by right-clicking the counter and clicking the pop-up. For more information, see “The Alert Window” on page 165.

Table 7-2 Columns of the Alert Sources Properties Dialog

Field Description

Alert Source The source of the alert. You can define the properties for the following sources:

• Alert Book• Fund Alerts• Fund Indicators• Global Alerts• Lock-up alerts• User Alerts

Availability The display of alerts. You can choose one of the following alert displays:

• Available — alerts are shown in the Alert window and Alert Counter.

• Not Available — alerts are not shown in either the Alert window or the Alert Counter.

• Not in the status bar — alerts are only shown in the Alert window.

Critical Level The level at which the alerts are shown in the Alert window.

Status Bar Refresh Period

The frequency with which alerts are refreshed in the Alert Counter.

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The Alerts status counter is updated whenever you right-click the counter or according to the value specified by the relevant value of the Status Bar Refresh Period column of the Alert Sources Properties dialog. See “Defining Alert Properties” on page 167.

Alerts in Portfolio Extractions

You can also view external fund alerts by creating a portfolio extraction. The portfolio extraction will display only those positions in your portfolio that match the extraction criteria.

To create an extraction that shows the alerts for external funds, create a portfolio extraction with the following criteria:

• Fund• Lock-up type• Lock-up Fee %• Locked Until

This criteria will display your positions by fund, lock-up type, fee %, and the lockup period. This is shown in figure 7-4.

Figure 7-4 A portfolio extraction showing lock-up periods

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Chapter 8 P&L

This chapter explains the P&L and its attribution:

• Mark P&L Rules on page 171• Freezing the P&L on page 178• Dynamic P&L Freeze on page 181• Displaying the Portfolio Result and its Breakdown on page 185• Result Variation on page 187• P&L Attribution on page 192• P&L Explanation on page 195• Result Variation Columns on page 197

For more information on the financial models behind the P&L, see the Sophis Financial Model documentation.

Mark P&L Rules

You can define rules for the type of P&L pricing to use on deals which match particular criteria in specific portfolios. These rules are defined in the Mark P&L Configuration window, as shown in figure 8-1. To open the Mark P&L Configuration window select Mark P&L Configuration from the Parameters menu.

Figure 8-1 Mark P&L Rule Configuration window

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Table 8-1 describes the buttons of the Mark P&L Configuration window.

Table 8-2 describes the criteria for the rules.

Table 8-1 Mark P&L Configuration buttons.

Button Definition

Expand or collapse Rule Set.

Create new Rule Set.

Delete line

Priority down or up.

View previously deleted rules.

Insert Root Portfolio.

Table 8-2 Criteria for Mark P&L Rules

Criteria Definition

Pricing to Use The pricing to use on positions that match the criteria. The following choices are available:• Theoretical• Last• Arbitrage

Portfolio The specific portfolio for which this rule applies.

Portfolio Id The identifier of the specific portfolio for which this rule applies.

Portfolio Entity The entity of the specific portfolio for which this rule applies.

Market The market the deal is on.

Currency The currency the deal is in.

Instrument Type The type of instrument to which the rule applies. For more information, see Instrument Types on page 173.

Instrument Feature 1 A sub-set of the instruments selected by Instrument Type. For more information, see Instrument Features on page 175.

Instrument Feature 2 A sub-set of the instruments selected by Instrument Type and Instrument Feature 1. For more information, see Instrument Features on page 175.

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Instrument Types

Table 8-3 describes the instrument types that you can select from the Instrument Type drop-down list.

Note You can modify Instrument Types using the RISQUE Toolkit.

Table 8-3 Instrument Types (Sheet 1 of 3)

Instrument Type Description

Any Type All instruments.

COM-Futures All commodity future instruments.

COM-Options-American All American commodity option instruments.

COM-Options-Asian All Asian commodity option instruments.

COM-Options-Futures-LME All commodity option instruments with a LME future as the underlying.

COM-Options-Futures-Power All commodity option instruments with a power future as the underlying.

COM-Options-Futures-Standard

All commodity option instruments with a power future as the underlying.

COM-Options-Index All commodity option instruments with an index as the underlying.

COM-Options-Listed All listed commodity option instruments.

COM-Power-GRD-Options All GRD option instruments.

COM-Power-VPP-Options All VPP option instruments.

COM-Swaps-All All commodity swap instruments.

COM-Swaps-Basket MNP/Cash Swap

All commodity basket and cash swap instruments.

COM-Swaps-Floating/Bullet Swap

All floating/bullet commodity swap instruments.

COM-Swaps-Floating/Cash Swap All floating/cash commodity swap instruments.

COM-Swaps-Floating/Floating Swap

All floating/floating commodity swap instruments.

Credit-All All credit swap instruments.

Credit-CDS-Basket All credit default swap basket instruments.

Credit-CDS-CDO All CDO credit default swap instruments.

Credit-CDS-Nth to default All Nth to default credit default swap instruments.

Credit-CDS-Single name All single name credit default swap instruments.

Credit-TRS All total return swap instruments with the Stop if Default check box selected.

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EQU-Contracts for Difference All CFD instruments.

EQU-Futures All equity future instruments.

EQU-Options All option instruments with an equity or index as the underlying.

EQU-Options-Listed All listed option instruments.

EQU-Shares All share instruments.

EQU-Stock Loans All stock loan instruments.

EQU-Swaps-All All equity swap instruments.

EQU-Swaps-Equity Swap Fixed Index

All fixed index equity swap instruments.

EQU-Swaps-Equity Swap Variable Index

All variable index equity swap instruments.

FI-Bond Option All bond option instruments.

FI-Bonds-All All bond instruments.

FI-Bonds-FRN All floating rate notes bond instruments.

FI-Bonds-Fixed All fixed bond instruments.

FI-Repo All repo instruments.

FX-Futures All forex future instruments.

FX-Options All forex option instruments.

FX-Spot FX All forex spot instruments.

Forex-All All forex instruments.

INF-Bonds-All All inflation bond instruments.

INF-Bonds-Caps & Floors All inflation bond cap or floor instruments.

INF-Bonds-Caps & Floors Digital All digital inflation bond cap or floor instruments.

INF-Swaps-All All inflation swap instruments.

INF-Swaps-Linked All linked inflation swap instruments.

INF-Swaps-Standard All standard inflation swap instruments.

IR-Caps & Floors All interest rate cap or floor instruments.

IR-Caps & Floors Digital All digital interest rate cap or floor instruments.

IR-Futures-All All interest rate futures.

IR-Futures-Bond All interest rate bond futures.

IR-Futures-Monetary All interest rate monetary futures.

IR-Swaps-All All interest rate swap instruments.

IR-Swaps-Asset Swap All asset interest rate swap instruments with the Stop if Default check box not selected.



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Instrument Features

Table 8-4 describes the instrument features that you can select from the Instrument Feature drop-down list. Instrument Feature defines a sub-set of the instruments selected by Instrument Type. For more information about instrument types, see Instrument Types on page 173.

IR-Swaps-CIRS Fixed-Floating All CIRS fixed/floating interest rate swap instruments.

IR-Swaps-CS Fixed-Fixed All CS fixed/fixed interest rate swap instruments.

IR-Swaps-Domestic Basis Swap All domestic basis interest rate swap instruments.

IR-Swaps-IRS All interest rate swap instruments.

IR-Swaps-Single legged All single leg interest rate swap instruments.

IR-Swaps-X CCY Basis Swap All cross currency basis interest rate swap instruments.

IR-Swaptions All interest rate swaption instruments.

Package All package instruments.

TREAS-Debt Instrument All debt instruments.

TREAS-Debt Instrument-Fixed Rate

All fixed rate debt instruments.

TREAS-Debt Instrument-Floating Rate

All floating rate debt instruments.

TREAS-FRA All forward rate agreement instruments.

Table 8-4 Instrument Features (Sheet 1 of 3)

Instrument Feature Description

Amortizing-No All instruments of the specified type without amortization.

Amortizing-Yes All instruments of the specified type with amortization.

Any Feature All instruments of the specified type.

Average-Average index All instruments of the specified type with an index average defined.

Average-Average strike All instruments of the specified type with a strike average defined.



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Average-No average All instruments of the specified type with no average defined.

Barrier-Double All double barrier option instruments of the specified type.

Barrier-None All instruments of the specified type with no defined barriers.

Barrier-Single All single barrier option instruments of the specified type.

Bond Callable All instruments of the specified type with the model set to Callable Bond.

Cancelable Swap All instruments of the specified type with the Cancelable check box selected.

Convexity-CMS All instruments of the specified type with CMS convexity.

Convexity-In Arrears All instruments of the specified type with in arrears convexity.

Convexity-None All instruments of the specified type with no convexity defined.

Convexity-Quanto All instruments of the specified type with quanto convexity.

Correlation Swap All instruments of the specified type with the model set to Correlation Swap.

Option Style-American All instruments of the specified type defined with the American exercise style.

Option Style-Bermudan All instruments of the specified type defined with the Bermudan exercise style.

Option Style-European All instruments of the specified type defined with the European exercise style.

Underlying-Basket All instruments of the specified type with a basket as the underlying.

Underlying-Index All instruments of the specified type with an index as the underlying.

Underlying-One All instruments of the specified type with one underlying.

Underlying-Two All instruments of the specified type with two underlyings.

Vanila All instruments of the specified type with no convexity, no barrier, no path dependency, and no average.



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Creating a Rule Set

To create a rule set, do the following:

1 Open the Mark P&L Configuration window from the Parameters menu.

2 Click the New button to create a new rule set.

The naming dialog opens.

3 Enter a name and a comment and click OK.

4 This creates the Rule Set with a nested container named Version Currently Used.

5 To add rules to the rule set, drag the portfolio you want to create the rule for and drop it on the Version Currently Used line.

This creates a rule with the same name as the porfolio you dragged across and populates the portfolio columns.

6 Define the Currency and the Market of the rule from the drop-down lists.

7 Specify the Pricing To Use.

8 Save the rule.

9 Repeat as many times as necessary.

Deals that match the criteria specified are marked with specific icons in portfolios to display what type of pricing is used during the reporting.

Variance Swap All instruments of the specified type defined with the Variance Swap model.

Volatility Swap All instruments of the specified type defined with the Volatility Swap model.

Table 8-5 Portfolio Pricing Icons.

Icon Description

Theoretical pricing used on this deal.

Last pricing used on this deal.



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Freezing the P&L

It is possible to store the portfolio P&L values for future comparison. These values can either be stored to memory or saved to the database. A maximum of three separate records of a portfolio's P&L can be saved to the database.

To freeze the current portfolio P&L data:

1 Click on the Freeze P&L button. The menu allows you to select either of the two methods:

- Freeze P&L (memory)- Freeze P&L (database)

If you choose to save the data to the database, the Freeze P&L Records dialog is displayed.

Figure 8-2 Freeze P&L Records dialog.

2 The Freeze P&L Records dialog allows you to provide a description for the P&L record you wish to save.

Arbitrage pricing used on this deal.

Table 8-6 Freeze P&L description.

Field Description

Name Name of the frozen P&L record.

Description Description of the frozen P&L record.

Table 8-5 Portfolio Pricing Icons.

Icon Description

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The value '1' in Column signifies that the results of this frozen P&L record will be displayed in the portfolio column group 'Result1'. A maximum of three records may be saved and displayed in the portfolio column groups:

• Result1 • Result2 • Result3

Changing the Frozen P&L Column Names

You can change the name of the P&L Freeze these columns by clicking Customize column names in the Freeze P&L Records window. The Customize Freeze P&L columns names dialog is displayed.

Figure 8-3 Customize Freeze P&L Column Names window.

The names of all the columns in this dialog can be modified by editing the name in the Next Session Name column. These changes will take effect the next time you start a RISQUE session

Displaying Frozen P&L Results in the Portfolio

For each result column group generated from a frozen P&L save, there are six columns which may be displayed in the portfolio. These are described in table 8-7.

Column This value represents the column in which the frozen P&L data is displayed.

Table 8-7 P&L Freeze Portfolio Columns

Column Description

Result1 freeze Frozen P&L value.

Result1 freeze currency folio Frozen P&L value converted into the root portfolio currency.

Result1 freeze currency global Frozen P&L converted into the global currency.

Table 8-6 Freeze P&L description.

Field Description

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Any or all of these columns can be added to the Portfolio columns displayed, using the Configuration button.

Freezing the P&L Using a Batch File

You can now freeze the P&L via the command line using a batch file by setting the -SFreezePNL parameter.

When the batch file is run, the frozen P&L values will be saved and are displayed in the Freeze P&L Records window the next time RISQUE is run.

To freeze the P&L for an extraction, add the following to your batch file:

-SFreezePNL: ‘Extraction name:Description’

where Extraction name is the extraction name as it appears in the Extraction List dialog. If you do not specify an extraction name, the main P&L is frozen for all folders in your root portfolio.

The extraction description, Description in the above example, will appear in the Description field of the Freeze P&L Records window. If you do not define a description, Freeze P&L Night Batch is displayed.

You can set the -SFreezePNL parameter any number of times within your batch file and each instance will generate a new frozen P&L record. However, if you include the -SFreezePNL parameter more than once for the same extraction, the extraction results will be overwritten each time the parameter is run.

The parameter can be added to your batch file so that it appears as:

SphRISQUE.exe -Ddatabase_instance -Uusername -SFreezePNL:'Extraction name1:Description1' -SFreezePNL:':Main extraction' -SFreezePNL:'Extraction name2'

Result1 since freeze Difference between the current P&L value and the frozen P&L value.

Result1 since freeze currency folio

Difference between the current P&L value and the frozen P&L value, converted into the root portfolio currency.

Result1 since freeze currency global

Difference between the current P&L value and the frozen P&L value, converted in to the global currency.

Table 8-7 P&L Freeze Portfolio Columns

Column Description

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Dynamic P&L Freeze

The dynamic P&L freeze allows you to calculate the P&L on dates in the past without freezing the information first. This is done by defining parameters in the [DynamicPnlFreeze] section of the risk.ini file using relative or absolute dates. For more information on [DynamicPnlFreeze] section of the risk.ini file, see the RISQUE Installation Guide.

When the dynamic P&L column configuration is loaded from the risk.ini file, the configuration is written to the DYNAMIC_PNL_FREEZE_COLUMNS table and to all users connected to the database.

Note The configuration of dynamic P&L columns are also included when importing and exporting portfolio columns. See Importing and Exporting User Settings in the RISQUE Administration Guide.

The example below shows the possible parameters of the dynamic P&L freeze parameters of the following is an example of the [DynamicPnlFreeze] section of the risk.ini file.

[DynamicPnlFreeze]dynamicPnlFreeze.calendar = EUR/PARIS/MONEPdynamicPnlFreeze.delimiter = /dynamicPnlFreeze.count = 9dynamicPnlFreeze_0.name = 01/07/07dynamicPnlFreeze_0.fixedDate = 01/07/07dynamicPnlFreeze_1.name = 4 daysdynamicPnlFreeze_1.offset = 4ddynamicPnlFreeze_2.name = 1 weekdynamicPnlFreeze_2.offset = 1wdynamicPnlFreeze_3.name = 1 monthdynamicPnlFreeze_3.offset = 1mdynamicPnlFreeze_4.name = WTDdynamicPnlFreeze_4.offset = 1WdynamicPnlFreeze_5.name = MTDdynamicPnlFreeze_5.offset = 1MdynamicPnlFreeze_6.name = YTDdynamicPnlFreeze_6.offset = 1YdynamicPnlFreeze_7.name = QuarterlydynamicPnlFreeze_7.offset = 1QdynamicPnlFreeze_8.name = quarterdynamicPnlFreeze_8.offset = 1q

The parameters of the above code sample are described in table 8-8. The .name parameter defines the name as it will appear in the portfolio column. For example, the Accrued Amount column is displayed as Accrued Amount (4 days) for the dynamicPnlFreeze_1.name = 4 days parameter. The .offset parameter defines the date for which the dynamic P&L is frozen.

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Note If you have made changes to the historical price of a position in your portfolio you must recalculate the P&L for your dynamically frozen columns. To do this, choose Reset Dynamic P&L Freeze from the Portfolios menu.

Each dynamic P&L freeze setting creates a new portfolio column configuration group that contain a number of columns that display P&L information for the specified date. These columns are described in table 8-9.

Table 8-8 Dynamic P&L Parameters

Parameter Type Description

Absolute Date Freezes the P&L for an exact date. This is defined as dynamicPnlFreeze_x.fixedDate = DD/MM/YY.

In the above example this is defined as:dynamicPnlFreeze_0.name = 01/07/07dynamicPnlFreeze_0.fixedDate = 01/07/07

Relative Date Freezes the P&L for a relative date. You can define the relative date using d, w, m, y, or q. This is defined as dynamicPnlFreeze_x.offset = relative date. For example, dynamicPnlFreeze_4.offset = 1m freezes the P&L for a day exactly one month before the current date.

In the above example, this parameter is defined as:dynamicPnlFreeze_1.offset = 4ddynamicPnlFreeze_2.offset = 1wdynamicPnlFreeze_3.offset = 1mdynamicPnlFreeze_8.offset = 1q

To specify that the relative date only aplies to business, add the following entry:

dynamicPnlFreeze_x.inBusinessDays = true

To specify thet the relative date only aplies to all calendar dates, set this entry to false.

The calendar used for freezing the P&L is set by the DYNAMIC_PNL_FREEZE_CALENDAR global preference. See the RISQUE Administration Guide.

Last Business Day Freezes the P&L for the last business day of a period. Periods are defined as W for week, M for month, Q for quarter, and Y for year. This is defined as dynamicPnlFreeze_x.offset = period. For example, dynamicPnlFreeze_4.offset = 1W freezes the last business day of the previous week.

In the above example, this parameter is defined as:dynamicPnlFreeze_4.offset = 1WdynamicPnlFreeze_5.offset = 1MdynamicPnlFreeze_6.offset = 1YdynamicPnlFreeze_7.offset = 1Q

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Table 8-9 Dynamic P&L Columns (Sheet 1 of 2)

Information Type Dynamic P&L Columns

Accrued • Accrued Amount• Accrued coupon• Acc. Amt. curr. folio• Acc. Amt. curr. glob.

Asset Value • Asset Value• Asset val. curr. folio• Asset val. curr. glob.• Diff. Asset Value• Diff. Asset val. curr. folio• Diff. Asset val. curr. glob.

Average Price • Average Price

Balance • Balance• Balance curr. folio• Balance curr. glob.• Diff. Balance• Diff. Balance curr. portfolio• Diff. Balance curr. global

Broker Fees • Broker Fees• Diff. Broker Fees

Commission • Commission

Counterparty Fees • Diff. Counterparty Fees

Day Result • Result curr. portfolio• Result curr. global• Diff. Result curr. portfolio• Diff. Result curr. global

Dynamic P&L • Dyn P&L date

Financing • Financing • Diff. Financing• Financing curr. folio• Financing curr. glob.

FX Spot • FX Spot

Income • Income curr. folio• Income curr. glob.• Diff. Income• Diff. Income curr. portfolio• Diff. Income curr. global

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Last Price • Last

Market fees • Market fees• Diff. Market Fees

Nominal Amount • Nominal• Nominal curr. portfolio • Nominal curr. global

Number of securities • Number of securities• Diff. Number of securities

Realised Amount • Realized• Realized long• Realized short• Realized curr. folio • Realized curr. global• Diff. Realized• Diff. Realized curr. folio• Diff. Realized curr. global• Diff. Realized long• Diff. Realized short

Result • Result• Diff. Result

Theoretical Price • Theoretical

Treasury Amount • Treasury • Treasury curr. folio• Treasury curr. global• Diff. Treasury• Diff. Treasury curr. folio• Diff. Treasury curr. global

Unrealised Amount • Unrealized• Unrealized curr. folio • Unrealized curr. global• Diff. Unrealized• Diff. Unrealized curr. folio• Diff. Unrealized curr. global

Valuation • Valuation Type

Table 8-9 Dynamic P&L Columns (Sheet 2 of 2)

Information Type Dynamic P&L Columns

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Dynamic P&L for Alternate Business Week

Alternate business week formats, such as the Islamic week, are also supported for dynamic P&L. By default, Monday is considered to be the first day of the week.

The database table DYNAMIC_PNL_CALENDAR_PARAM supports alternate business weeks. Edit this table to establish days other than Monday as the first day of the week for a currency in a given market.

Note The currency and market must already be defined in the database.

Table 8-10 describes the columns of the DYNAMIC_PNL_CALENDAR_PARAM table:

Example

Table 8-11 shows the settings for establishing Sunday as the first day of the week for the dirham in the UAE market. This example assumes that 54875474 is the currency code for dirham and 66876674 is the market code for the UAE market:

Displaying the Portfolio Result and its Breakdown

The Portfolio Result displays the breakdown of the yearly, monthly and daily P&L of all locked portfolios into the following components:

• Realised• Unrealised• Income• Treasury• Financing

Table 8-10 DYNAMIC_PNL_CALENDAR_PARAM table

Field Data Type Null Description

Currency NUMBER(10) No The currency.

Market NUMBER(10) No The market.

Weekday VARCHAR2(40)

No The first day of the business week.

Table 8-11 DYNAMIC_PNL_CALENDAR_PARAM table

Column Value

Currency 54875474

Market 66876674

Weekday sunday

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The corresponding columns are available from the column configuration panel in the toolbar.

• Yearly P&L — This is calculated using the values since the last End of Year (EOY) was calculated.

• Monthly and Daily P&L — These are calculated as the difference between the displayed components and those stored in the HISTOPNL table during the last End Of Day (EOD) procedure.

- The Daily P&L is calculated with respect to the preceding EOD date.- The Monthly P&L is calculated with respect to the last day of the preceding

month when an EOD was run.

To view the portfolio result and its breakdown:

1 On the Portfolios menu, select Result reporting. The Results Reporting window is displayed.

Figure 8-4 Results Reporting window.

Note You can add or remove columns in the Results Reporting window, using the column configuration button in the toolbar.

Multisite End of Day in the Results Reporting Window

The results of the multisite end of day calculations are displayed in the Results Reporting window, like the standard end of day results. The Results Reporting window is shown in figure 8-5.

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Figure 8-5 The Results Reporting window showing the multisite end of day results.

Multisite end of day results differ from the standard end of day results in that they are displayed by site. The end of day results for each site are grouped by site and listed first by the site chosen in the P&L Analysis Site preference and then by the priority order defined in the Multisite EOD configuration dialog. The P&L results in the results pane at the top of the window show an aggregation of the end of day calculations for all sites.

If a business line is included in more than one site, such as in a turning book, it is only displayed for the P&L Analysis Site preference site or the highest priority site. Portfolios are only shown in the Results Reporting window if they are sub-folders of your entry point portfolio.

For more information on multisite end of day, see the Multisite End of Day chapter in the RISQUE Administration Guide.

Result Variation

The Result Variation allows you to compare your current results with the last End Of Day (EOD) results. You can also compare your current results with any one of the saved EOD results. For more information on comparing your results with saved EOD results, see Saved EODs on page 192.

If you perform a result variation just after an End of Day procedure, the change in P&L is 0, if you use the same preferences for the P&L calculations. Usually, the P&L explanation is performed just before you start the End of Day procedure, in order to verify the intraday changes before storing them.

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The EOD is saved according to the following elements:

• Locked portfolio and flat positions for the standard End of Day results.• Portfolios, and their positions, assigned to the business lines of sites for multisite

End of Day results.• P&L and the following components:

- Realised- Unrealised- Result- Accounting income- Number of securities- Rate used for re-evaluation- Accrued coupon- Theoretical Value- Market Fees- Trade Fees- Commissions

Prerequisites

To run a Result Variation, the following must be true:

• For standard End of Day results:

- The portfolio’s whose values you want to examine must be locked.- All nested folios must also be locked.- All positions must be contained in folios and not in the root of the portfolio

you want to examine. Positions contained outside the folio structure are not included in the calculation.

• For multisite End of Day Results:

- The portfolio’s whose values you want to examine must be assigned to a business line.

- The multisite End of Day must have been run for the business line’s site.

These conditions are validated at the beginning of the Result Variation. If they are not true, an error message is displayed showing the identifiers of the offending folios and positions. These folios and positions are not used in the Result Variation calculation and the generated Result Variation is not accurate.

Important When you run the Result Variation, the P&L must be calculated again and the Real-Time feed, if one is present, is disconnected. If you choose not to recalculate the P&L, it is assumed that the P&L is recently recalculated.

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Forex note

Changes in the FOREX rates can cause P&L changes in delta P&L which previously showed now changes. For example, for a folio in Euro, containing a position in Dollars, which displays a P&L delta of 0 in Dollars can display a P&L delta in Euro if the FOREX changes.

NO_MARGIN_CALL_ON_FUTURE

If this preference is activated, the realised on Futures, which are presumed paid, generates a change in the Treasury. This change is reflected in the Treasury Gap column and subtracted from the Delta Treasury result.

Running the Result Variation

To run the result variation, do the following:

1 Open the Portfolio you want to examine in its own window.

2 Select Result Variation from the Portfolios menu.

You will be prompted to recalculate the result variation. If you have run the Result Variation report in a while, you will need to recalculate. If you have recently run the report and wish to display it again, you will most likely not need to recalculate.

The Result Delta window is displayed:

Figure 8-6 Result Delta window.

Table 8-12 describes the buttons in the Result Delta window:

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Note You can add or remove columns in the Result Delta window, using the column configuration button in the toolbar. The column 'Pure movement delta' excludes the tickets of coupons from the delta movement:

- Pure Movement Delta = Movement Delta - Delta Income.This is only relevant when the preference ‘Accrued in Income’ is not ticked.

- For more information on the columns displayed in this window, see Result Variation Columns on page 197.

Note If you perform a result variation after an End of Day procedure, the change in P&L is 0, if you use the same preferences for the P&L calculations. The P&L explanation is usually performed before you start the End of Day procedure, in

Table 8-12 Result Variation buttons.

Button Description

Allows you to change your view between Flat and Hierarchical.

Note: When using the Hierarchical view, the sum per column is not equal to the sum of the portfolio, because a position can be viewed as two different underlyings.

Allows you to Expand or Collapse the folders.

Allows you to alter your Position view between the following:• Opened Positions• Closed Positions• Without Positions

Opens the P&L Attribution dialog allowing you to specify which effects or deltas you want displayed in your results.

For more information on P&L Attribution, see P&L Attribution on page 192.

The Set Dates button opens the Set Dates dialog. This allows you to specify which EOD results you want to compare the current P&L against.

For more information, see Saved EODs on page 192.

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order to verify the intraday changes before storing them.

Multisite End of Day Results in the Results Variation Window

The Results Variation window allows you to compare your current results with the last end of day results. With multisite end of day, however, there is no overall end of day result. As a result, you can only display the Results Variation window for one site. You can set this in the P&L Analysis Site drop down list on the Display tab of the Preferences dialog.

When this preference is set, you can compare your current results to the end of day results for the specified site. It is, however, important to note that if your current RISQUE preferences differ from the site’s end of day preferences, the results in the Results Variation window may have little relevance. You can however, load the site’s preferences in the Preference Manager dialog.

The Results Variation window is shown in figure 8-7.

Figure 8-7 The Result Variation window.

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Saved EODs

To compare the current results with those of saved EOD results, do the following:

1 Run the Result Variation as described in Running the Result Variation on page 189.

2 Select Set Dates. The Set Dates dialog is displayed:

Figure 8-8 Set Dates dialog.

3 This allows you to select previous EOD results against which you can compare your current results.

4 Click OK. The comparison between the chosen EOD and the current results is calculated and displayed.

P&L Variations

P&L Variations between yesterday and today can be caused by additional treasury costs, changes in financing, trades between the last EOD and today, variations of the theoretical value, and so on.

The variation of the theoretical value of in the position currency can be broken down using the following techniques:

• P&L Attribution• P&L Explanation

P&L Attribution

P&L attribution itemises the P&L variation between the current date and the last EOD procedure in terms of several effects, such as the Greek effects and Day effect. It also allows you to detect unknown effects. If these other effects are significant, the product might be highly sensitive to risk parameters not included in the current model. You may then need to reconsider the pricing.

P&L Attribution allows you to examine the effects of various combinations of indicators on your overall P&L.

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Note P&L Attribution is calculated by the Calculation Server if you have chosen On Demand or Always from the Use Calculation Server drop down list on the Optimizations tab of the Preferences dialog.

Calculations

The calculation method compares the last open day's P&L, the last open day's parameters, and the current P&L with the current parameters. Today's parameters are then bumped one by one to the last open day's values, taking into account the last open day's quantities, so as to estimate their respective impact on the P&L variation. Treasury, finance and deal effects are valued separately.

P&Ltoday – P&Llast = Result delta = TreasuryDelta + FinanceDelta + MvtDelta + Rate delta

Note Because the income depends on some user preferences, such as the accrued which can appear in Income or in the Realized, the income does not appear in this split.

Table 8-13 Effect formulae. (Sheet 1 of 2)

Effect Formula

Day Effect

Dividend effect

Finance Delta Today's Financing - last open day's Financing

Movement Delta

Other Effects Rate Delta - Spot Effect - Volatility Effect - Dividend Effect - Rate Effect - Day Effect - Repo Effect - Other Effects

Other Spot Effect Spot Effect - Smile Effect - Pure Spot Effect

Pure Spot Effect

Rate Delta

= Spot Effect + Volatility Effect + Dividend Effect + Rate Effect + Day Effect + Repo Effect + Other Effects

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Viewing the P&L Attribution

The P&L Attribution dialog allows you to define which elements of the P&L you want to view in the Result Delta window.

To view the components of the result variation:

1 Click on the P&L Attribution button in the command bar of the Result Variation window.

The P&L Attribution dialog box is displayed.

Figure 8-9 P&L Attribution dialog.

Rate Effect

Repo effect

Smile Effect

Spot Effect

= Pure Spot Effect + Smile Effect + Other Spot Effect

Treasury Delta Today's Treasury - last open day's Treasury

Volatility Effect

Table 8-13 Effect formulae. (Sheet 2 of 2)

Effect Formula

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2 Tick the components in the list that you wish to calculate.

3 Click OK. The results displayed are altered depending on the choices made in the P&L Attribution dialog.

P&L Explanation

This process tests and validates the management greeks used by the traders. The calculation method compares the last open day's P&L with the last open day's parameters, and the current P&L with the current parameters. This allows you to ensure that the data correctly explains tomorrow’s strike variations.

The respective bumps are applied to the last open day's P&L and greeks for each parameter. The hedge ratios are relevant because they allow you to correctly approximate the P&L variation.

Treasury, finance and deal effects are valued separately:

• Volatility surface by maturity and strike split according to OTC matrix,

( for strike j and maturity k)·

• Rho and forward by maturity, (for maturity k).

The result variation is split as follows:

Table 8-14 Greek effect formulae. (Sheet 1 of 2)

Effect Equals

Delta Effect

Gamma Effect

Vega Effect

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P&L Notation

Database Field and Table Information

• The Delta and Gamma results are stored in the GREC_SIMPLES table using the instrument ID as primary key and, if the instrument is in arbitrage, the underlying used for the partial derivative.

• Crossed indicators are stored in the GRECS_CROISES table. These also use the instrument ID as primary key and the second underlying.

• The Theta is read from the INDICATEUR table, while the expected Coupon amount is read from the COUPONDAY field. This amount must be retrieved for trades resulting from Corporate Actions on the position.

Rho Effect

Forward Effect

Table 8-14 Greek effect formulae. (Sheet 2 of 2)

Effect Equals

Table 8-15 P&L Notation.

Formula Description

Today's value for Profit and Loss, spot, volatility related to time t and spot, dividend expectations, risk free interest rate curve, repo rate curve, today's date.

Last open day's value for Profit and Loss, spot, volatility related to time y and spot, dividend expectations, risk free interest rate curve, repo rate curve, last open day’s date.

Quantity of the derivative number in the portfolio at time y.

Price of the derivative number in the portfolio for the set of

parameters .

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• Rates, Volatilities and Repos are grouped by three scenarios, Maturity_Strike, Fwd_Strike and Family_Zero_Coupon and stored in the tables OTCMODELS, OTCSTRIKES and OTCMATURITY.

- Rates = ID1- Volatilities = ID2- Forwards = ID3

Result Variation Columns

In addition to the standard Portfolio columns, the Result Variation window contains several windows specific to the results generated by the variation. These specific columns are described in table 8-16. For more information on the default Portfolio columns, see List of Portfolio Columns on page 71.

Table 8-16 Result Variation columns and descriptions. (Sheet 1 of 12)

Column Name Details

Bug effect Effect of incorrect calculations of the theoretical value of the position. If for any reason, when the theoretical value of the position is recalculated in the calculation of the PNLAttribution, the theoretical value used to value the position is not retrieved, the difference of the theoretical value multiplied by the position value today is put in the column Bug Effect.

Correlation effect Effect of correlation hypothesis change.

Coupon effect Explanation column for greeks. Equal to the amount of the expected coupons for the EOD yesterday and today.

Note: Corresponds to the toolkit method CSRInstrument::GetCouponAmount, using the theta preferences, particularly the number of days of the calculation. It can be compared to the Movement Delta, to see what result of the position of yesterday and the pure trading.

Table: INDICATEUR

Field: COUPONDAY

Credit risk effect New column in 452.1. Due to the evolution of credit risk at level of the change of the CDS curve as much as a spread defined at level of the instrument itself.

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Day effect Corresponds to the variation of strike between the theoretical variation calculated today with all the parameters of yesterday - the value stored yesterday. If P&L Attribution is ticked, the day effect blend the variations due to the receipt of dividends or coupons according to the preferences ticked for the theta. For example, in the case of spot theta, if Include Dividend is ticked, the Day Effect on the share is -1 x number of share in position

Delta effect Corresponds to the Delta effect with the deltas of the EOD. Stored at moment of the EOD.

Table: GRECS_SIMPLE

Field: DELTA

Delta price Corresponds to the variation of strike due to the indicator used to calculate the greek effect corresponding, for a security.

Diff. Broker fees Represents the difference between the broker fees today and the one of the last EOD. Valid for positions, portfolios and underlyings. Is expressed in the column currency

Diff. Counterparties fees Represents the difference between the counterparty fees today and those of the last EOD. Valid for positions, portfolios and underlyings. Is expressed in the column currency

Diff. Financing Represents the difference between the financing today and the one of the last EOD. Valid for positions, portfolios and underlyings. Is expressed in their currency. It takes in account for portfolios the change treasury as well as the column Treasury_Gap.

Diff. Forex financing Represents the difference of financing of a change position yesterday

Diff. Forex treasury Represents the difference of treasury of a change position yesterday

Table:

Field: FOREX_FINANCING

Diff. Income Represents the difference between the income today and the one of the last EOD. Valid for positions, portfolios and underlyings. Is expressed in the column currency

Diff. Market fees Represents the difference between the market fees today and the one of the last EOD. Valid for positions, portfolios and underlyings. Is expressed in the column currency

Diff. Number of securities Represents the number variation of securities between now and the last EOD. It makes sense for positions only

Diff. Realized Represents the difference between the realized today and the one of the last EOD. Valid for positions, portfolios and underlyings. Is expressed in the column currency

Diff. Receivable coupon Represents the difference between the coupon amount today and the one of the last EOD. Valid for positions, portfolios and underlyings. Is expressed in the column currency


Column Name Details

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Diff. Result Represents the difference between the result today and the one of the last EOD. Valid for positions, portfolios and underlyings. Is expressed in their currency. It takes in account for portfolios the column Treasury_Gap.

Diff. Settled Represents the number variation of positions between now and the last EOD. It makes sense for positions only

Diff. Tax Credit Represents the difference between the tax credit today and the one of the last EOD. Valid for positions, portfolios and underlyings. Is expressed in the column currency

Diff. total financing Corresponds to the difference between the columns Total Financing & Yesterday Total Financing

Diff. total treasury For files, underlyings and portfolios, other than change position with delta treasury.

In the change position, the variation of classic treasury is added with the variation of change treasury x the rate change today.

Diff. Treasury Represents the difference between the treasury today and the one of the last EOD. Valid for positions, portfolios and underlyings. Is expressed in their currency. It takes in account for portfolios the change treasury.

Diff. Unrealized Represents the difference between the latent today and the one of the last EOD. Valid for positions, portfolios and underlyings. Is expressed in the column currency

Diff.Balance Represents the difference between the balance today and the one of the last EOD. Valid for positions, portfolios and underlyings. Is expressed in the column currency

Dividend effect Represents the P&L variation due to the variation of the dividend hypothesis variation. All the parameters are presumed equal to those of today and the calculation corresponds to:

theoretical value today - theoretical value calculated today with the dividend hypothesis of yesterday.

Forex effect in fair value New column in 452.1. Corresponds to the P&L variation due to the change variation. All the parameters are presumed equal to those of today and the calculation corresponds to:

theoretical value today - theoretical value calculated today with the change of yesterday.

Forward effect Represents the P&L variation due to the variation of the coupon. At Repo Maturity scenario, the volatility is replaced by the repo

Forward price Corresponds to the variation of strike due to the indicator used to calculate the greek effect corresponding, for a security.


Column Name Details

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Gamma effect Corresponds to the Gamma Effect

Table: grecque_simple

Field:

Gamma price Corresponds to the variation of strike due to the indicator used to calculate the greek effect corresponding, for a security.

Global forex effect Called Forex Effect in 451. It explains the difference between the result variation stated at level of the book and sum of the variation results of the positions x change rate today.

Important: It does not contain the change effect that modifies the theoretical value of a position due to a RISQUE source type change. For each position the impact of that variation regarding the file that contains it is displayed. The change effect is equal to:

(P&L - Treasury - Financing) x (today's change rate - yesterday's change rate). For a portfolio, it is the addition of all its columns.

Important: For a position the amount currency is not as the position currency, but in the currency of the portfolio that contains it.

Table: grecque_croise

Field:

Global fx effect Treasury Financing

Displays the following value: (Treasury + financing from the last end of day)*(FX today-FX at last end of day).

Greek Unknown Effect Corresponds to the variation of P&L not explained by the different greeks'= Price - all the Greek Effects

Instr. definition effect Displays the difference between the current P&L of an instrument and the P&L of the instrument the last time the End of Day procedure was performed. This column displays a value only if the modification is performed the day after the last End of Day procedure.


Column Name Details

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Movement Delta Represents the transaction gap between today and yesterday. For a deleted position, it equals to the opposite of the realized yesterday and the latent yesterday. For a position, thanks to Audit_Mvt you take the whole deals that have been created, modified or deleted regarding the last EOD, then you do the following operation:

- with a direction equal to 1 for created deals,

- equal to -1 for the deleted deals,

- for modified deals, it is considered a deletion followed by a creation.

Of course we take in account the negotiation date of the trade could have changed. If the Business Event of the transaction is treasury or financing type, nothing is done. Indeed, this would already be included in the columns Delta Treasury or Delta Financing. If it is a coupon type, the column Delta Movement is incremented of the transaction amount free of tax. Otherwise, a purchase sale for example, the Delta Movement of the variation between the purchase strike and the evaluation quotation today is impacted, the purchased quantity is multiplied.

Movement Delta New The P&L variation due to new deals made since the date of the last End of Day procedure.

Movement Delta Updated The P&L variation due to deals deleted since the date of the last End of Day procedure.

Movement Delta Deleted The P&L variation due to deal updates made since the date of the last End of Day procedure.

MTM Effect Explains the difference between the MtM strike variation and the variation of the theoretical strike. For a position if the theoretical value of yesterday is defined, the MtM effect = yesterday position x [(yesterday's theoretical - yesterday's quotation) + (today's quotation - today theoretical)]. For positions and change rates the change rate is added with.

Other effect Corresponds to all that is not explained in the previous columns. Difference between Price Delta and all the other columns effects. Usually, corresponds to the crossed effects between 2 effects, because those are evaluated independently of the procedure

Other spot effect Corresponds to the crossed effect smile / spot in the column spot effect. Corresponds to the difference between spot effect - pure effect - smile effect


Column Name Details

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Price Delta Represents the P&L variation due to the strike variation on the yesterday position aggregated with the change of today. For a position, it is the value of the security point x the position of the securities I had yesterday (valorization quotation of today + the accrued today - (valorization quotation of yesterday + the accrued yesterday)).For portfolios and underlyings, you aggregate positions with today's change rate in such a way as we can compare the column with the other effect. The effects due to a variation of the change rate when a position is in a currency different as the portfolio's one are in the column Forex_Effect. Calculated when the affectation is done.

Price with yesterday's correlation

Corresponds to the value display. Calculation to calculate the effects

Price with yesterday's credit risk


Price with yesterday's dividend


Price with yesterday's forex


Price with yesterday's pure spot


Price with yesterday's rate Corresponds to the value display. Calculation to calculate the effects

Price with yesterday's repo Corresponds to the value display. Calculation to calculate the effects

Price with yesterday's smile


Price with yesterday's spot Corresponds to the value display. Calculation to calculate the effects

Price with yesterday’s volatility


Price yesterday Corresponds to the value display. Calculation to calculate the effects

Pure movement delta Approximate the P&L due to the pure trading of yesterday. Mvt Delta - variation of the incomes except for futures and change. Indeed in case of futures, the variation of incomes is a margin call, and in case of change it is treasury. Note that to work properly, this column supposed to have the Accrued in Income unticked, otherwise the income variation includes the variation of the accrued coupon.

Pure spot effect Corresponds to the P&L variation due only to the spot variation and not to the variation of the volatility. In the previous example, the option is reevaluated with a spot at 100 and a volatility at 31. 2 effects are distinguished that are as well decomposed


Column Name Details

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Rate effect Represents the variation of the P&L due to the variation of the rate. All the parameters are supposed equal to those of today and the calculation corresponds then to: theoretical value today - theoretical value calculated today with the rate of yesterday. If Apply P&L Attribution is ticked and if Roll is chosen as Rate pref without ticking Used_Curve_Date_For_O_Coupon, a Rate effect appears even if the rate curve has not been changed between yesterday and today, due to a change of the 0 coupons today calculated with the same rate curve in date of today and the Fwd rates departure 1 day calculated for the theta.

Repo effect Represents the P&L variation due to the repo curve variation. Apply P&L Attribution has an effect

Rho effect Represents the P&L variation due to the variation of the 0 coupon

Rho price Corresponds to the variation of strike due to the indicator used to calculate the greek effect corresponding, for a security.

Smile effect Represents the P&L variation due to the smile. It is the difference of the theoretical strike now - the theoretical strike with all the parameters of today except that the volatility has been calculated with the spot of yesterday. For example an option to the currency gives a volatility of 30 and at 100,31%, and the spot increases of 1% tomorrow, the option today will be evaluated at 31 and the smile effect equals the vega.

Spot effect Represents P&L variation due to the spot variation. All the parameters are assumed equal to those of today and the calculation corresponds then to: theoretical value today - theoretical value calculated toady with the spot of yesterday. If the pref Apply P&L Attribution is ticked, we take the value of Spot_Theta of the table Spot_hier, otherwise we take the field Quote. The field Spot_Theta corresponds to the spot used for the calculation of the theta according to the users prefs (for example, if we have taken the pref Spot_Minus_Dividend in the tab Theta of preferences, and if the spot has a worth of 100 yesterday as well a today and if today there is an ex div date of 1, the spot effect isn't of 0 but of 1 x number of securities in position)

Spot effect without dividend impact

Displays the spot price change without the impact of dividends. This is useful for seeing the spot price change on ex-div dates when the price usually changes by the dividend amount.

Theoretical Result Delta It equals the variation of P&L, if this one is calculated in theoretical value (rather than in MtM). By definition it is the P&L today - the P&L yesterday - MtM effect

Theta effect Corresponds to the theta effect calculated during the EOD. Indicator Theta Field

Theta price Corresponds to the variation of strike due to the indicator used to calculate the greek effect corresponding, for a security.


Column Name Details

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Treasury Gap Since 451,1,18. Represents the treasury gap due to the posting method of the futures in margin calls. It is already added to the yesterday's P&L

Vega effect Corresponds to the vega effect calculated during the EOD. At the EOD, a scenario such as VolMatrix\Maturity can be generated that calculates the sensitivity to the strike regarding different points of the volatility matrix defined by a grid chosen during the EOD.The volatility effect corresponds then to the sum of variations of volatilities by its points x sensibility of the product at this point.

Vega price Corresponds to the variation of strike due to the indicator used to calculate the greek effect corresponding, for a security.

Volatility effect Represents the P&L variation due to the variation of the volatility. All the parameters are supposed equal to those of today and the calculation corresponds to:

Theoretical value today - Theoretical value calculated today using yesterday’s volatility.

The volatility taken for yesterday is the volatility expected for the theta calculation if the preference ApplyPNLAttribution is active.

Yesterday’s Average price Corresponds to the average price of the last EOD. Only on positions

Table: Report_Flat_Hier

Field: prix

Yesterday’s Balance Corresponds to the balance of the last EOD. For positions, it is expressed in the position currency. For the underlyings and portfolios, it is expressed in the currency by aggregating the balance of each positions and by using as change rates the ones stored during the EOD in the table Change_Hier. Stored change rates are supposed to be expressed against a reference currency 1 for 1 in mode certain (?)


Field: solde

Yesterday’s Broker fees Corresponds to the broker fees of the last EOD. For positions, it is expressed in the position currency. For the underlyings and portfolios, it is expressed in the currency by aggregating the broker fees of each positions and by using as change rates the ones stored during the EOD in the table Change_Hier. Stored change rates are supposed to be expressed against a reference currency 1 for 1 in mode certain (?)


Field: courtage


Column Name Details

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Yesterday’s Counterparty fees

Corresponds to the counterparty fees of the last EOD. From 452 only. For positions, it is expressed in the position currency. For the underlyings and portfolios, it is expressed in the currency by aggregating the counterparty fees of each positions and by using as change rates the ones stored during the EOD in the table Change_Hier. Stored change rates are supposed to be expressed against a reference currency 1 for 1 in mode certain (?)


Field: fraiscounterparty

Yesterday’s Financing Corresponds to the financing of the last EOD. For positions, it is expressed in the position currency. For the underlyings and portfolios, it is expressed in the currency by aggregating the financing of each positions + the Financing_Forex column for every change positions and by using as change rates the ones stored during the EOD in the table Change_Hier. Those stored change rates are supposed to be expressed against a reference currency 1 for 1 in mode certain (?).


Field:

Yesterday’s Income Corresponds to the income for the last EOD. For positions, it is expressed in the position currency. For the underlyings and portfolios, it is expressed in the currency by aggregating the income of each positions and by using as change rates the ones stored during the EOD in the table Change_Hier. Stored change rates are supposed to be expressed against a reference currency 1 for 1 in mode certain (?)


Field: revenu

Yesterday’s Market Corresponds to the market fees of the last EOD. For positions, it is expressed in the position currency. For the underlyings and portfolios, it is expressed in the currency by aggregating the market fees of each positions and by using as change rates the ones stored during the EOD in the table Change_Hier. Stored change rates are supposed to be expressed against a reference currency 1 for 1 in mode certain (?)


Field: fraismarché

Yesterday’s Number of securities

Corresponds to the number of securities of the last EOD. Only on positions


Field: nbtitres


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Yesterday’s Price Represents the quotation used to valorize the position. Valid for positions only.The quotation is expressed in the same unit and the same accrued. The theoretical value (for example if an obligation is quoted in actuarial rate(Y to M)) then the list is a rate of yesterday's quote (yesterday's price is expressed in a percentage clean.

Table:

Field: coursEval

Yesterday’s Realized Corresponds to the realized of the last EOD. For positions, it is expressed in the position currency. For the underlyings and portfolios, it is expressed in the currency by aggregating the realized of each positions and by using as change rates the ones stored during the EOD in the table Change_Hier. Stored change rates are supposed to be expressed against a reference currency 1 for 1 in mode certain (?)


Field: realise

Yesterday’s Result Corresponds to the result of the last EOD. For positions, it is expressed in the position currency. For the underlyings and portfolios, it is expressed in the currency by aggregating the result of each positions and by using as change rates the ones stored during the EOD in the table Change_Hier. Stored change rates are supposed to be expressed against a reference currency 1 for 1 in mode certain (?)


Field: resultat

Yesterday’s Tax credit Corresponds to the tax credit of the last EOD. For positions, it is expressed in the position currency. For the underlyings and portfolios, it is expressed in the currency by aggregating the tax credit of each positions and by using as change rates the ones stored during the EOD in the table Change_Hier. Stored change rates are supposed to be expressed against a reference currency 1 for 1 in mode certain (?)


Field: avoir


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Yesterday’s Treasury Corresponds to the treasury of the last EOD. For positions, it is expressed in the position currency. For the underlyings and portfolios, it is expressed in the currency by aggregating the treasury of each positions + the Treasury_Forex column for every change positions and by using as change rates the ones stored during the EOD in the table Change_Hier. Those stored change rates are supposed to be expressed against a reference currency 1 for 1 in mode certain (?). From the v°451.1.18 the Yesterday's treasury for portfolios is corrected.


Field: tresorerie

Yesterday’s Unrealized Corresponds to the unrealised of the last EOD. For positions, it is expressed in the position currency. For the underlyings and portfolios, it is expressed in the currency by aggregating the unrealized of each positions and by using as change rates the ones stored during the EOD in the table Change_Hier. Stored change rates are supposed to be expressed against a reference currency 1 for 1 in mode certain (?)


Field: latent

Yesterday's accrued Accrued coupon of the security stored during the EOD. same as n°3 for accrued


Field: accrued

Yesterday's forex financing Represents the financing of a change position yesterday

Yesterday's forex treasury Represents the treasury of a change position of yesterday


Field: treso_forex

Yesterday's Receivable coupon

Corresponds to the amount of the coupon we are about to receive


Field: decalage-coupon

Yesterday's Settled Corresponds to the securities delivered during the last EOD. Number of securities settled yesterday. Used only on lines. It does not make sense for positions.


Field: nbtitre_livre


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Yesterday's Theoretical Corresponds to the theoretical value of the position stored yesterday during the EOD


Field: fair_value

Yesterday's total financing Corresponds to the sum of the financing of yesterday with the change rates of yesterday. It is the sum of the column Yesterday Financing + Forex Yesterday Financing

Yesterday's total treasury For files, underlyings and portfolios, other than change position with delta treasury. In the change position, the classic treasury is added with the change treasury x the rate change yesterday.


Column Name Details

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Chapter 9 Electronic Trades

This chapter describes the automatic trades that are fed into the system from external sources.

Managing Electronic Trades

This section describes how to manage electronic trades.

To retrieve tickets automatically from the electronic market:

1 In the Portfolio menu, select Electronic tickets.

The following window is displayed:

Figure 9-1 Electronic Trades dialog.

2 The toolbar buttons are as follows, from left to right:

- Expand folder- Collapse folder

- Save configuration

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- Group by — This produces a drop-down list of criteria which you can use to group your tickets.

- Do not group — This removes the specified grouping and returns the view to a flat view of all tickets.

- Filter — Allows you to specify exclusion filters. Any ticket matching the filter is not displayed.

- Unfiltered — Removes all filters.- Configuration — Opens the configuration dialog.- Transmit — Sends the ticket to the portfolio.

- Delete — Deletes the selected ticket.

3 Click the Configuration button to display the Electronic Tickets parameters:

The following window is displayed:

Figure 9-2 Electronic tickets setting window.

4 Complete the window as described in the following table:

Table 9-1 Electronic tickets setting field descriptions. (Sheet 1 of 2)

Field Description

Backoffice Folios Referencegroup-box

Enables the system to insert the electronic tickets at the correct places and with all necessary complementary data

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Note: All electronic tickets have the 'Elect. Market' value in the Back Office field.

Compte back For Back-office purposes.

Folio's name Name of the portfolio where the electronic tickets corresponding to this 'compte back' must be put. You can either enter the name manually or do a simple drag & drop from the Portfolios window.

Counterparty Counterparty to be added by default on each electronic ticket for this 'compte back'. Click on the field to display a list of counterparties.

Broker Broker to be added by default on each electronic ticket for this 'compte back'. Click on the field to display a list of brokers.

Depositary Depositary to be added by default on each electronic ticket for this 'compte back'. Click on the field to display a list of depositaries.

Topage Obsolete.

Traders group-box List of the traders who retrieve electronic tickets (all users appear here)

Default folio n/a

Transfer type Select 'Manual' or 'Automatic' by double-clicking on the field.

Note: 'Automatic' means that all deals you have made are automatically integrated in the value of your P&L. 'Manual' means that after having made the deal, the ticket must be confirmed manually. This allows you to check the details before accepting the deal in your portfolio. To check the deal ticket, double click on the line.

Baskets group-box Electronic basket trades require a specific treatment. This is the list of all baskets defined in the database.

Name Name of the basket

Ident back Identifier of the trader for the electronic tickets

Options group-box Obsolete.

View by traders Obsolete.

Filter on book Obsolete.

Using trades server Obsolete.

Routing Obsolete.

Table 9-1 Electronic tickets setting field descriptions. (Sheet 2 of 2)

Field Description

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Manual Update

To manually update the features of the electronic tickets, double-click on the automatic ticket before validating it in the Electronic trades window. Then, you can validate the ticket by clicking the Transmit button. The ticket is automatically integrated into your portfolio.

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Chapter 10 Automatic Tickets

Automatic Tickets are a system of automatically tracking and managing your deals. This functionality allows you to automatically close out positions, generate dividends, and so on. An Automatic Ticket is generated for each deal that requires one when you Launch the Forecasts from the Portfolios menu.

Using the Back Office, deals generated in the future are compared with the deals in the HISTOMVTS table using the following criteria:

• Whether they have the same position• Sense. + or - • Business Event• Counterparty. Including where no counterparty is defined• Package component (field refMvtBack)• Negotiation date. • If two deals have the same reference and criteria, the deal is considered to

be a new deal.

New deals are proposed for insertion and deals which differ from the previous generation by an amount of plus or minus €10 (Ten Euro) are not generated again. All other deals are proposed for modification.

There are two types of Automatic tickets:

• Tickets that are linked to a Corporate Action — Dividends, Splits, Mergers, and so on.

• Tickets that are not linked — Over The Counter, Stocks and Loans, and so on.

Generating Automatic Tickets

Automatic tickets enable to you to exercise options and forecast the cash flows of the following instruments:

• Negotiable debt instruments• OTC options• Bonds• Swaps and caps coupons

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• Repo and stock loans commissions• Listed options adjustments• Share dividends and dividend tax credits

You can generate automatic tickets in one of the following ways:

• For all portfolio by clicking the Launch Forecasts command on the Portfolios menu.

• For a selected position by right-clicking a position in the Portfolio window and clicking the Forecast command on the context menu.

This section describes how to generate and display automatic tickets. It contains the following sections:

• “Launching Forecasts for All Portfolios” on page 214• “Launching Forecasts for Positions” on page 214

Launching Forecasts for All Portfolios

To generate forecasts for all portfolios, do the following:

1 Click the Launch Forecasts command on the Portfolios menu.

The Launch Forecasts dialog box is displayed.

Figure 10-1 shows the Launch Forecasts dialog box:

Figure 10-1 Launch Forecasts dialog box

2 Click one of the following buttons to generate forecasts:

- Click the Since the last one button to generate all forecasts since the last forecast generation.

- Click the Today only button to generate only the forecasts for the current day.

Launching Forecasts for Positions

To generate forecasts for one or more position, do the following:

1 Right-click a position and click the Forecast command on the context menu.

The Portfolio/Position Forecast dialog box is displayed.

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Figure 10-2 shows the Portfolio/Position Forecast dialog box:

Figure 10-2 Portfolio/Position Forecast dialog box

2 Enter the date on which you want to generate automatic tickets in the Forecast Date text box.

3 Click the OK button to launch forecasts.

Alert Book

After Launching the Forecasts, the Alert Book is populated with the values of future events which affect the portfolio, such as dividends or maturity of options.

Select Alert Book from the Portfolios menu. The Alert Manager window is displayed:

Figure 10-3 Alert Manager window

The example of the Alert Manager window, in figure 10-3, shows a variety of FX options information. Such as Barrier options that are approaching one of the defined thresholds.

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Note: The Alert Manager displays Alerts for specific periods defined in the Alert for field of the General Tab of the Preferences. For example, specifying 40 days in the Alert for field, allows you to see all alerts for the coming 40 days.

The Alert Book and the Alert Portfolio are generated with the table ALERTE.

If the instrument for which there is an alert is not in a package, then the parent package is the instrument itself.

The alerts for instruments inside a package are generated until the 10th level of encapsulation (Package of packages of packages…).

If the forecasts are launched by batch, one alert file is created for each user on the folios to which the user has access. The list of these folios is defined in the Entry Spot List in the User Rights when the user doesn't not have the right 'Entry Spot at Root' set to Yes. For more information, see the Administration Guide. These files are saved in the RISQUE subdirectory.

When the forecasts are launched from the application (Portfolios->Launch Forecasts) by a user, only one alert file is generated for this specific user.

Table 10-1 ALERTE Field Descriptions.

Field In English Data Type Description Relationship

SICOVAM SEC_ID NUMBER(10) Security Internal Reference TITRES.SICOVAM

COURS PRICE NUMBER(16,4) Movement Value (strike for options, dividend value…)

DATENEG TRADE_DATE TRADE_DATE Alert Date

INFOS DESCRIPTION VARCHAR2 (80)

Type of Alert. Fixing rate, Average, and so on.

LIBELLE SEC_NAME VARCHAR2 (40)

Name of the parent package TITRES.LIBELLE

MONTAGE ARRANGEMENT NUMBER (10) Internal reference of the parent package

TITRES.SICOVAM

REFERENCE REFERENCE REFERENCE Parent Package reference TITRES.REFERENCE

Table 10-2 Alert Types. (Sheet 1 of 2)

Instrument Type

Alert Type

Shares • Dividend of — for the dividends defined at the level of the share, but not for dividends defined as corporate actions.

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Alert Portfolio

The Alert Portfolio displays all portfolios which contain movements linked to events that occur within the period defined for an alert.

There are four columns in the portfolios that display the information of the table ALERTE:

• Alert type — INFOS• Alert value — PRICE• Alert date — DATENEG• Alert component — used when the alert is on a package. It displays the

reference of the specific component of the package on which there is the alert.

Derivatives • Average for Asian or AveDep clauses — the Alert date is the End of Clause Date and the Alert value is the value of the clause.

• Begin of clause or End of Clause followed by the name of the clause (Departure, Performance, Cliquet, Up In, Up Out, Down In, Down Out…) — The Alert date is the Begin of Clause or End of Clause Date and the Alert value is the value of the clause.

• Near threshold — for the close occurrence of the threshold of a Barrier Option

• Close Of — At the maturity of the option

Swaps • Fixing rate for Variable Rate Leg of swaps. The Alert date is the Fixing Date of the coupon and the Alert value is the last historical value of the underlying variable rate.

• Fixing equity for Equity Leg (Variable Index and Fixed Index). The Alert date is the Begin Date of the period and the Alert value is the last historical value of the underlying equity.

• Balance in cash of for the coupons of a swap

Bonds • Coupon of — for the coupons of a bond

Listed Instruments • Close of — at the expiration of futures and options on listed markets

Stock Loan and Repos

• Close of — at the end date of the instrument

Table 10-2 Alert Types. (Sheet 2 of 2)

Instrument Type

Alert Type

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Forecast on Individual Positions

It is also possible to perform the Forecast on individual positions. To do this, select the position(s), right-click on them and select Forecast from the context menu.

Important: Selecting individual position(s) and clicking Launch Forecast in the Portfolio menu does not launch the forecast on the chosen positions, but on the entire contents of the loaded folios.

Automatic Tickets

This section describes the automatic tickets functionality. These tickets are displayed in the Automatic Trades window, as shown in figure 10-4, which is opened by selecting Automatic Tickets from the Portfolio menu.

Figure 10-4 Automatic Ticket window

This section contains the following sections:

• “Automatic Trades Buttons” on page 219• “Ticket Icons” on page 220• “Filtering Tickets” on page 221• “Grouping Entries” on page 224• “Pre-generation Checks” on page 224• “Global Preferences” on page 224

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Automatic Trades Buttons

Table 10-3 describes the buttons of the Automatic Trades window.

Table 10-3 Automatic Ticket Window Buttons (Sheet 1 of 2)

Button Description

Expand/Collapse — expands or collapses the list of automatic tickets in the main panel.

Configuration Management — opens a drop-down list enabling you to save the current configuration, delete a saved configuration, or load a delete configuration.

Clicking Save opens the Save Configuration dialog. To save the current configuration, enter a name for the configuration in the Name field and click OK.

Clicking Delete opens the Delete Configuration dialog, which contains a list of all existing configurations. To delete a saved configuration, select the configuration from the list and click Delete.

To apply an existing configuration, select the name of the configuration from the drop-down list. The current configuration is marked with a checkmark.

Group by — opens a drop-down list of ticket parameters. It enables you to group the automatic tickets shown in the main panel by a selected parameter.

Ungroup — removes grouping of automatic tickets if applied.

Filter by — opens a drop-down list of ticket parameters. It enables you to select a column name and value on which to filter the automatic tickets in the main panel.

Unfiltered — removes the current filtering of automatic tickets from the main panel.

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Ticket Icons

Table 10-3 describes the ticket icons.

Transmit — transmits the selected tickets to the portfolio.

Adjust — recalculates adjustments made using the Corporate Action adjustment window.

Delete — deletes the selected tickets.

Table 10-4 Automatic Ticket Icons (Sheet 1 of 2)

Icon Description

This is a standard ticket.

This ticket is generated for simulated positions booked while Simulation Mode is enabled.

This ticket is generated for expired options contained in a package.

This ticket is generated when a barrier clause is reached by the underlying of barrier options.

This ticket is generated for IRS if there is no value saved in the historic table for the floating rate fixing date. You can enter a fixing value for the underlying rate by double-clicking the ticket.

This ticket is generated for IRS when the Fixing field has been populated.

This ticket is generated for corporate actions that have not been validated.

This ticket is generated for validated corporate actions.

Table 10-3 Automatic Ticket Window Buttons (Sheet 2 of 2)

Button Description

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Filtering Tickets

Filters allow you to specify criteria to limit the number of results displayed in the Automatic Tickets window. This allows you to specify ranges of values, dates, or specific values, dates, names and so on.

The following filters types are available:

• = — Equal to• < — Less than• <= — Less than or equal to• > — Greater than• >= — Greater than or equal to• <> — Different from. For example, if you specify an Instrument Type filter

using <> Exchange Rate Options, you are presented with all results except Exchange Rate Options.

• range — Allows you to specify a range of dates or other numerical values.• like — Displays all tickets which contain some, or all, of the supplied values.

To apply a filter to the list of Automatic Tickets in the main panel, do the following:

1 Click the Filter button. The complete list of ticket parameters is displayed.

2 Select the parameter you wish to use as a filter. A dialog box is displayed, allowing you to specify a value for that parameter.

This ticket is generated for splits on stocks. It modifies the dividend table for the stock according to the new ratio defined for the split.

This ticket is generated for splits on stocks. It modifies the volatility graph for the stock according to the new ratio defined for the split.

This ticket is generated for splits on stocks if the stock is contained in a basket. It modifies the basket composition according to the new ratio defined for the split.

This ticket is generated for splits on stocks if the stock is the underlying of a stock derivative. It modifies the option conversion factor according to the new ratio defined for the split.

This is a cancellation ticket, which is generated if the corporate action is modified after a split ticket is transmitted. When this ticket is transmitted, it removes the split ticket from the portfolio.

Table 10-4 Automatic Ticket Icons (Sheet 2 of 2)

Icon Description

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Figure 10-5 Filter dialog

In this example, the parameter Instrument Type is selected, and Asset Swaps specified. Only those Automatic Tickets that match this criterion are displayed in the main panel.

3 Click OK to confirm.

The results of the filter are displayed, while the definition of the filter is displayed in the Active Filter panel.

Figure 10-6 Filter result

Figure 10-6 shows a ticket relating to an Asset Swap. No other tickets match this criteria.

4 To remove the filter, click the Unfilter button, which removes all filters, or click Remove in the Active Filter pane, to remove individual filters.

Multiple Filters

1 Adding multiple filters allows you to further refine your view of the tickets. You can use And Or clauses in the filter window.

The example shown in contains two filters, Counterparty = ABN AMRO and Currency = GBP:

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Figure 10-7 Two filters with an AND clause

By default, the second filter is added as an AND clause.

The results pane shows all tickets whose counterparty is ABN AMRO and currency is GBP.

2 To change the AND to OR, click the AND. The clause changes to OR and the contents of the results pane are dynamically updated.

Figure 10-8 Two filters with an OR clause

Using the OR clause, the results pane lists all tickets with a counterparty equal to ABN AMRO and all tickets with GBP as currency.

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Grouping Entries

To group entries in the Automatic Tickets list:

1 Click the Group By button. The list of ticket groupings is displayed.

2 Select the parameter you wish to use to group the tickets, such as Counterparty. The list of Automatic Tickets in the results panel is grouped according to counterparty.

Counterparties

If there is no counterparty, the ticket is handled separately. When an automatic ticket is generated as a package component, it is generated for the package with the component ID in the refMvtBack field of the HISTOMVTS table. This is also true for packages of packages, up to the 10th level of nesting.

Merge Positions

The choices available for merge positions depend on the preferences of the user, as specified in the General Preference field Deal Creation in Same Position.

Pre-generation Checks

Before tickets are generated, the following checks take place:

• Automatic tickets that are not transmitted to the portfolio, or those that are neither swaps, cap and floor, package, bond, or any of those that modify the number of instruments, are deleted.

• All packages are checked to see if they contain Swaps.• Automatic tickets of the day are checked to see if they have already been

validated. If they are valid, no further automatic tickets are generated on the same security.

Global Preferences

This global preference is set to 0 by default. When it is set to 1, instruments with type D are not processed, (for example, Options, Convertible Bonds) when you launch a forecast.

Setting the global preference NO_FORECASTED_FOR_OPTION, in the RISKPREF table, to 1 (one) stops the processing of instruments of type D, such as Options, when you launch the forecast. This setting allows you to avoid the following:

• Expiration of options and packages• Generating an instrument of position change of packages• Generating coupons in a package.

For tickets that are not linked to Corporate Actions, the value of the AJUSTEMENT field in the MVT_AUTO table is set to -1 (minus one).

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Shares

Automatic Tickets are generated for Dividends with the Business Event of Coupon. To receive a dividend, the share must be purchased before the ex-div date specified in the instrument.

Bonds

Automatic tickets are generated for each type of bond for their redemption table. For more information, see “Bonds” on page 326.

Caps

Each exercise of caplet is generated for Caps. Without the Back Office module, the Business Event is Coupon. With the Back Office module, it is Cap & Floor payment. Generated at the end date, each caplet is paid at the payment date. Fixings are proposed on the floating rate by using the fixing date of the GetDate method rate. In the case of an interpolated rate, such as LIBOR, it is possible to fix two rates.

Caps are generated in exactly the same way as swaps. The same is true for fixings.

Note: Deals on the coupon day are not taken into account.

Expiry Tickets for Packages

Packages expire at their specified expiry date, with a Business Event Purchase/Sale without the Back Office Module and Stockloan Expiry with the Back Office. The closing price is equal to the weighted sum of the nominals of the bonds and the continuous packages in the package with current day expiry.

Futures on Shares

The spot used for underlyings is the last. Only cash delivery and cash & application delivery are considered. Forwards on shares are processed in the same way as options on shares.

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Inflation Instruments

Automatic tickets for inflation instruments are generated by instrument type. For more information, see “Deals on Inflation Instruments” on page 431.

Stock Derivatives

This section describes Automatic Tickets generated for Options, and includes a description of Automatic Ticket generation for each delivery type of Stock Derivative.

If the Option delivery is cash payment, the delivery price is estimated. For an exotic option (CSROption::ExoticPaiement method), the rate is estimated by calculating a theoretical value with market data at null volatility and null rate curve. For a non-exotic option, the security value is estimated. The price of the spot used corresponds to the option maturity with the security fixing: open, last.

If the price is positive and the Back Office module is not present, an exercise ticket is generated. If the Back Office module is present, the generated ticket has the Business Event specified in the Cash payment field of the Options section of the Corporate Actions Parameters menu. If the option is in a package, the Business Event is Coupon, and the option is deleted from the package by a ticket, if the option expiry is set to before the package expiry.

If the price is negative, a cancellation ticket is generated with the amount set to 0 (zero). If the Back Office module is present, the Business Event is Cancelled, if the Back Office module is not present the Business Event is Exercise. The cancellation ticket is not generated by an option in a package.

If the delivery is physical, the new share is dealt with as an old share.

If the delivery is in Old Share, the option position is cancelled at 0 (zero) and a position in share is opened at the strike. In case of physical in bonds delivery, the payment date of the option is used rather than the deal payment date.

In the case of cash & apply, the bond is purchased at the quoted price, the difference between the spot and the strike appears in cash form on the option expiry ticket.

Note: Deals of the coupon day are always taken into account.

Automatic Tickets for Stock Derivatives

Automatic tickets for Stock Derivatives and their business events depend on the delivery type, specified in the payment section.

The following delivery types are offered in the standard definition screen:

• Share• New shares• Market delivery• Cash• Cash & Application

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• Currency• Future

The following sections illustrate ticket generation for each delivery type. Each is based on the purchase of a Put. At the expiration date, automatic tickets are generated if the option finishes either In The Money or Out The Money.

Note: Stock derivatives generate tickets for their Expiration Date only.

Share

In the Money

A ticket is generated to close out the position where:

• Instrument — The option• Quantity = minus the number of securities in the position• Price = 0• Amount = 0• Business event = as defined in the 'Physical exercise (option)' field in the CA

screen (corporate action, BO/Parameters menu).

A ticket to receive the pay off is also generated:

• Instrument = the underlying of the option• Quantity = minus the number of securities in the position• Price = strike• Business event = as defined in the 'Physical exercise (action)' field in the CA


Out the Money

A unique ticket to close out the position is generated:

• Instrument = the option• Quantity = minus the number of securities• Price = 0• Business event = as defined in the 'Cancelled' field in the CA screen

(corporate action, BO/Parameters menu)

New Shares

In the Money

No automatic tickets are generated. Instead, the user is alerted that he must manage the expiration of this product. An alert is generated in the 'Portfolio / Alert book ' window. The Portfolio/Alert displays where this product is booked.

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Out the Money

No automatic tickets are generated. Instead, the user is alerted that he has to manage the expiration of this product. An alert is generated in the ' Portfolio / Alert book ' screen. The Portfolio/Alert displays where this product is booked.

Market Delivery

In the Money

A ticket is generated to close out the position

• Instrument = the option• Quantity = minus the number of securities in the position• Price = 0• Amount = 0• Business event = as defined in the 'Physical exercise (option)' field in the CA

window (corporate action, BO/Parameters menu).

A ticket to sell, a put option, the underlying at the predefined price is also generated.

• Instrument = the underlying of the option• Quantity = -1• Price = strike• Business event = as defined in the 'Market application' field in the CA


Out the Money

A unique ticket is generated to close out the position

• Instrument = the option• Quantity = minus the number of securities.• Price = 0• Business event = as defined in the 'Cancelled' field in the CA window

(corporate action, BO/Parameters menu).

Cash

In the Money

A unique ticket to close out the position and to receive the payoff (paid in cash) is generated.

• Instrument = the option• Quantity = minus the number of securities.

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• Price = Strike Minus Spot (K-S) = pay off• Business event = as defined in the first 'Cash Payment' field in the CA

window (corporate action, BO/Parameters menu)

Out the Money

A unique ticket is generated to close out the position.



Cash and Apply

In the Money

A unique ticket is generated to close out the position and receive the pay-off:

• Instrument = the option• Quantity = minus the number of securities in the position• Price = (K-S) = payoff• Business event = as defined in the second 'Cash Payment' field in the CA

screen (corporate action, BO/Parameters menu)

A ticket is also generated to sell the underlying at the Market price:

• Instrument = the underlying of the option• Quantity = minus the number of securities• Price = current spot• Business event = as defined in the 'Market application' field in the CA screen


Out the Money

A unique ticket is generated to close out the position:

• Instrument = the option• Quantity = minus the number of securities.• Price = 0• Business event = as defined in the 'Cancelled' field in the CA screen


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Cash

Out the Money


• Instrument = the option• Quantity = minus the number of securities.• Price = 0

• Business event = as defined in the 'Cancelled' field in the CA window (corporate action, BO/Parameters menu).

In the Money

A unique ticket is generated to close out the position and to receive the payoff (paid in cash):

• Instrument = the option• Quantity = minus the number of securities.• Price = (K-S) = pay off• Business event = as defined in the first 'Cash Payment' field in the CA


Currency

Out the Money




In the Money

A ticket is generated to close out the position and receive the pay-off:

• Instrument = the option• Quantity = minus the number of securities in the position• Price = (K-S) = payoff• Business event = as defined in the first 'Cash Payment' field in the CA


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We generate also a ticket to sell (it is a put option) the underlying at the Market price.

• Instrument = the underlying of the option• Quantity = minus the number of securities• Price = current spot of the exchange rate USD/EUR• Business event = Nothing is displayed into this deal ticket but the business

event exists as defined in the 'Physical exercise (action)' field in the CA window (corporate action, BO/Parameters menu).

Note: If you choose a business event in the Corporate Action window, that is not permitted for this instrument in the Back office Allotment window, nothing is generated in the deal ticket. The user must then define the appropriate business event.

Note: This delivery type is only applicable on exchange rate options. For example, if you buy a put option on USD / EUR - USD/EUR means you buy USD, pay in EUR.

Future

In the Money

Firstly, a ticket is generated to close out the position:

• Instrument = the option• Quantity = minus the number of securities in the position• Price = 0• Amount = 0• Business event = as defined in the 'Physical exercise (option)' field in the CA


Secondly, a ticket is generated to receive the pay off:

• Instrument = the underlying of the option• Quantity = minus the number of securities• Price = strike• Business event = as defined in the 'Physical exercise (action)' field in the CA


Out the Money




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Swaps

A coupon is generated for each cash & flow in each leg. For a fixed leg, the coupon is generated if the swap is not in a package, and with the Back Office module, the day after cash flow departure. Without Back Office, it will be the end day of the cash flow. If it is in a package with the Back Office module, it depends on the package market.

Floating Rate

An automatic ticket is generated in advance after the start date of the debt instrument, and according to the Coupon Generation Shift specified in the instrument market, if the swap is in a package.

Fixing tickets for the floating leg are generated on the fixing date, using the fixing date of the GetDate method rate. This is the Start Date of the swap cash flow, minus the settlement lag of the interest rate, using the calendar of the interest rate. The default value is ‘0’.

Floating leg fixing tickets are not generated in the following circumstances:

• If the interest rate has a Last price for this date• If the fixing rate is defined in the cash flow• If the interest rate used is EONIA.

When validated, the fixing ticket updates the interest rate history, if the cash flow has not been modified. Otherwise, it populates the fixing rate in the cash flow.

Note: When the ‘Interpolated Rate’ or ‘London Interpolated Rate’ model is used, two fixings appear, if it is a broken date.

These fixings are saved either in the floating leg itself, if its schedule has been modified, or in the historical record of the rate.

Commodity Leg

For commodity legs, the generated amount depends on the leg type. It is generated in advance only with the Back Office payment, and only if the leg is of type ‘cash’. The negotiation date of coupons is 1 day after the end date in order to avoid including it twice in the unrealised.

If the Back Office module is present, income at the end date of the cash flow for Asset Swap coupons is not generated in advance.

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Equity Leg

The payment of the performance, and the dividends of the period in ex-div, are generated, if those dividends are paid at the end of the period. If those are generated immediately, they are generated by the Corporate Action dividend. The dividend ratio percentage applies to the gross dividend. The gross dividend is defined in the dividend table, without any tax rebate.

Furthermore, for equity legs, the amount can be overloaded with the CSRSwap::GetTicketCoupon method. A fixing is generated at the beginning date of each leg and is stored in the basis field of the cash flow. In the case of a swap compo, the fixing is the product of the fixing of the equity and the exchange rate between the leg currency and the swap currency.

Payment Tickets

Payment tickets are grouped by position, counterpart and depositary.

• If the ticket is in the first leg, the sign of the quantity in the ticket is the same as the position sign

• If the ticket is in the second leg, the sign of the quantity in the ticket is the opposite of the position sign

• The spot type is always ‘Amount’. • The spot is calculated as follows: Quantity * Spot * Quotity = Amount.

The payments for swaps are displayed in the Alert Book (available from the Portfolios menu) along with the fixing date for the floating index.

Fixings For Swaps

Fixings are produced using automatic tickets.

1 An automatic ticket is generated for each fixing.

2 In the Parameters menu, select Prices Date. This enables visualization of the future fixings of your equity swap.

3 From the displayed window, set the Prices date field to the day the coupons are swapped (options in the Prices date window are used for past dates only).

4 In the Portfolios menu, select Launch the Forecasts.

This generates your automatic tickets.

To manually update the fixing values:

1 In the Portfolio menu, select Automatic Tickets. The Automatic Trades window is displayed.

2 Open the Equity swaps folder and double-click on the automatic ticket.

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The Automatic Ticket Definition window is displayed.

3 Edit the values as required.

For every operation that generates a ticket, deals are grouped according to the following criteria:

• per counterparty• per depositary• per entity • per position with a security quantity which is not null, if the sum of positions

is not null

Note: Tickets for the current date are ignored.

Forward Forex

Two types of delivery exist for Forward Forex:

• Cash payment — paid in the currency of the Forward.• Physical payment — Forward is closed at 0 and an exchange position is

created where the exchange rate is the strike.

In all other cases of Future or Forward, only a cash delivery is available. For Floating Rate, cash is paid d+2, that is, the amount discounted by the fixing.

Debt Instruments

This section describes how Automatic Tickets are generated for Debt instruments of the following types:

• Unpackaged• Packaged

Unpackaged Debt Instrument

If a debt instrument is not part of a package, an expiry ticket is generated, in Amount. The ticket takes the expiry positions of the day into account, along with the Business Event of the StockLoanExpiry, if the Back Office module is available. If the Back Office module is not available, it is processed with a Business Event of Purchase/Sale.

The StockLoanExpiry Business Event can be set in the Parameters section of the Back Office menu. See the Expiry drop-down list of the Repo/Margin section in the Corporate Actions tab.

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Packaged Debt Instrument

If the debt instrument is part of a package, and the debt instrument expiration date is set to a date before the package expiration date, an expiry ticket is generated for the package component, on which the Business Event is always Coupon. The debt instrument is then deleted from the package.

Note: Day deals on the package are only taken into account if the Not In Package option is selected.

For both Packaged and Unpackaged debt instruments, if using the Back Office module, a ticket is generated in advance according to the Coupon Generation Shift specified for the debt instrument, or for the package market, and after the start date of the debt instrument. The ticket is also generated in advance if the amount is known using the CSRInterestRate::AmountAlreadyKnown method.

The possible values for coupon generation shift are as follows:

• -1 — Generate as soon as possible.• 0 — Generate according to specified expiry date.• A number of days — The Expiry date minus the number of days specified

here.

Stock Loans

This section describes the Automatic tickets for Stock Loans.

Stock Loan without Margin Calls

Lending and Borrowing

For L&B, the commissions, expiration and interest on the collateral are generated. The dividends rebate is generated by the Corporate Action.

Commissions and interest on the collateral, can be generated:

• at expiration• at the end of the month• at a fixed date

These options can be specified in the definition of the L&B. The global preference MARKETSHIFTSTOCKLOAN is used to check if the commission between the last of the period and the open commission is included or not.

To get the interest on the collateral, the method CSRStockloan::GetCollateralInterestAtExpiry is called, and is generated for L&B only.

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When using Repos, interest is added to the expiry tickets. The Business Event is Collateral Rebate. The commission is calculated using the CSRStockloan::GetCommissionAtExpiry method, with the currency set by the CSRStockloan::GetCommissionCurrency method. By default, the commission is expressed in the currency of the collateral, if it is fixed. If the collateral is not fixed, the commission is expressed in the currency of the principal. The closing price of Repo bonds includes the commission and is expressed with the accrued coupon if the bond is quoted cleanly.

Stock Loan with Margin Calls

Stock loans with margin calls behave differently from those without margin calls. The position is not enough to calculate the commission, the entire transaction is required. Only Purchase/Sale tickets are taken in account. The following automatic tickets are generated:

• Commission • Interest on the collateral • Margin call

At the end date, an expiry ticket is also generated. The dividend rebate is generated by the corporate action.

The ticket of commission is generated using the Business Event Commission when Back Office is not available, and the Business Event specified in the Commission field of the Repo Margin section in the Corporate Actions tab of the Back Office Parameters with Back Office. For interest on the collateral, the ticket type is ‘Coupon’ without Back Office and as specified in the Collateral Rebate field of the Repo Margin section in the Corporate Actions tab of the Back Office Parameters with Back Office.

The margin call ticket is calculated by taking the last price of the principal multiplied by the collateral percentage minus all margin calls and all deprecated collateral.

When tickets are to be validated, the P&L of the book is incorrect. Commissions and interest are doubled and a reporting is necessary.

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Chapter 11 Portfolio Valuation

This section describes the following:

• “Creating the Accounting Period” on page 237• “Loading Market Prices for Specific Dates” on page 238• “Analysing the Result and its Breakdown” on page 241• “Evaluating the Portfolio” on page 242• “Evaluating through Arbitrage” on page 242• “Dealing with Funding Costs and Financing Calculation” on page 243• “Calculating the Cash Balance and Physical Stock” on page 244• “Calculating Risk Indicators” on page 251• “Recalculating the Position” on page 253• “Performing Calculations on Individual Positions” on page 254

Creating the Accounting Period

When you have selected Reporting Start Date from the Manager menu and run the reporting, the positions are recalculated by reversing the complete history of the deals. Following this, the average price, the funding cost until today, the realized and the income are recalculated.

Therefore, to get an accurate P&L, you must run a report on a portfolio when the history of the deal has been modified.

Note: You can run the reporting on an active Portfolio, if you do not wish to report on the whole Portfolio.

1 In the Portfolios menu, select Reporting. The Reporting window is displayed.

This window allows you to select the calculation mode for the position recalculations.

Table 11-1 lists the reporting types.

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Loading Market Prices for Specific Dates

You can load the market pricing parameters from a certain date, without changing the position, using the Prices Date window, where values from a particular date can be loaded in your portfolio, in place of the current day’s values.

You can set different dates different values, for example, values for instruments can be shown from 10/02/03 alongside values of volatilities and correlations from 10/03/03.

To load market prices other than the current date:

1 From the Parameters menu, select Prices Date.

The Prices Date dialog is displayed, as shown in figure 11-2.

Table 11-1 Reporting Dialog

Field Description

FIFO First In, First Out

LIFO Last In, First Out

WAP Weighted Average Price - results are calculated using the securities average weighted price.

FIFO Futures First In, First Out for Futures only. Everything else uses WAP.

Grouping The menu allows you to group the movements at the server level in order to optimise calculation time. The average prices may then be different to those expected, but the results are always correct.

• Detailed - All movements• Two trades per day - All the buy and sell movements• Two trades per payment day• One trade per day• One trade per payment day

Unrealised Reset Date

All unrealised generated by deals before or equal to this date is moved to realized.

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Figure 11-1 Prices Date Dialog

Table 11-2 Prices Date Dialog (Sheet 1 of 2)

Field Description

Enter a date for Checked Parameters:

The date to set to when one or more tick boxes are selected.

Evaluation Date for Derivatives

When selected, derivatives are evaluated at the set date.

Other Spots The values of all spots other then FX spots at the set date are loaded and displayed.

FX Spots All FX spots values at the set date are loaded and displayed.

Positions All positions values at the set date will be loaded and shown.

Use Audit Trail The audited versions of the values of trades are loaded from the specified date. This can be used for greater accuracy.

Instruments All instruments values at the set date to be loaded and shown.

Mark P&L Rule Set Includes the P&L Rule set which was used on the set date.

Use PnL Date Sets the PnL Date as the date for reporting. This is used if you manually change trade dates, but want to calculate the P&L using the PnL Date.

A global preference, DEFAULT_USE_ENTRY_DATE, can be used to specify that the Use PnL Date check box is enabled or disabled by default. See to the Administration Guide for more information.

Volatilities All volatilities values at the set date are loaded and shown.

Dividends All dividends values at the set date are loaded and shown.

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Prices Date - Example

To use the values set on 10/03/1990 for instruments:

1 Enter 10/03/1990 in the Enter a Date for Checked Parameters field.

2 Select the Instruments tick box.

3 Click OK.

Important: You can calculate the price from old information, but the volatility remains the same as the volatility of the current date.

If the date is prior to today, all the information is retrieved from the TITRES_HISTO table instead of the TITRES table. The historic information can be retrieved for:

• Instruments• Baskets• Redemptions• Derivatives• Caps & Floors• Dividends• Calendars

Correlations All correlations values at the set date are loaded and shown.

Credit Risk All credit risk values at the set date are loaded and shown.

Repo Curves All Repo Curves values at the set date are loaded and shown.

Rate Curves All Repo Curves values at the set date are loaded and shown.

Theoreticals The system loads theoretical values saved in historical data (from the HISTORIQUE table). Otherwise, the theoretical values are recalculated with market prices parameters.

Option Pricer Categories

Please refer to the Administration Guide for more information.

Market Categories Please refer to the Administration Guide for more information.

Table 11-2 Prices Date Dialog (Sheet 2 of 2)

Field Description

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Selecting Currency and Other Position Histories for Pricing

You can select the currency or the other positions or both in the Prices Date dialog, to recalculate the last price for currencies or other instruments:

Analysing the Result and its Breakdown

The following is a breakdown of a portfolio or sub-portfolio result.

Result = realized + income + unrealised + treasury + financing

Where:

• Realized is the amount of capital gains or losses previously realized on closed positions

• Unrealised is the potential capital gain or loss resulting from the difference between the acquisition cost and the actual valuation of the opened position, the latter being theoretical, marked-to-market, or through an arbitrage

• Income is the amount of commissions and all cash flows and margin calls on listed futures resulting from the ownership rights associated to securities

• Treasury is the cost of funding of the positions until the calculation date. It is calculated using funding rate defined in each currency set up window.

• Financing is the forecast funding cost. It is calculated using the yield curves of the currencies, by taking into account the settlement rules for each market

You can choose whether or not to calculate the following values in the Profit and Loss tab of the Preferences dialog:

• The income• The treasury• The financing.

Table 11-3 Spots

Other Spots

FX Spots Description

No Yes Only the price of the currencies positions are recalculated using the date displayed in the top edit box.

Yes No The price of all the positions excluding the currencies positions will be recalculated using the date displayed in the top edit box.

Yes Yes The price of all the positions are recalculated using the date displayed in the top edit box.

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Note: When the loss limit is reached on a portfolio owned by a certain user, the folio line changes colour to red in both the window of the user and the application manager.

Evaluating the Portfolio

To deal with the unrealised calculation, you must choose how each type of position (options, futures, loans) is valued.

To do this, you must select the desired options in the Profit and Loss tab on the Preferences window. See the Administration Guide for more information on Preferences.

If you choose theoretical valuation, all the products for which there is a validated theoretical price are valued using this price, while the products for which there is no such price are valued using the last listed price taken from the Last column. If there is no last price, the product price is set to '0'.

However, if you choose to value using market prices, by not putting a tick in the ‘Result in Theoretical Value’ field and if the last listed price is not available for a given value, it is valued according to its theoretical price, if there is one, or at '0'.

Evaluating through Arbitrage

To evaluate through arbitrage, do the following:

1 Select an instrument in the portfolio to arbitrate.

2 Press Ctrl+A or select Arbitrage Rule from the Data menu.

The Arbitrage window is displayed.

3 Enter and select the following information:

Table 11-4 Arbitrage window field descriptions (Sheet 1 of 2)

Field Description

Reference Underlying reference.

Proportion and Parity If X is the proportion and Y the parity, then for X underlyings, you have Y securities matching the Reference field.

Cash Distrib. Date Date on which Balance in cash and 2nd Balance in cash are distributed.

Begin of Loan/End of Loan Beginning and end of the period during which the underlying instrument has to be borrowed.

Cost of Loan Enables you to take into account the loan cost of a specific security between two dates.

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4 Click OK.

Dealing with Funding Costs and Financing Calculation

• FINANCING — The financing amount for deferred payment is calculated in the Financing column of the portfolio. If you sell a security that has a value date in the future, the discounted amount of the deal is calculated. The financing amount is the difference between the discounted amount and the value of the deal at its payment date.

• TREASURY — The Treasury columns of the portfolio display the funding cost of all positions until the reporting date. The treasury is calculated by using a treasury rate on each currency.

Balance in Cash For long positions, amount added.

Secondary Balance in Cash For short position.

Theoretical Value Only Enables you to take into account the arbitrage rule only for the theoretical value.

Use future Enables you to evaluate an index according to the futures.

No arbitrage Enables you to use this rule without specifying, with the arbitrage button, that the line should be valued in arbitrage.

Underlying Price To evaluate a derivative, this option enables you to calculate a derivative using the price of the underlying.

Underlying Type Takes the volatility of the arbitraged underlying into account.

Add securities If ticked, in the view by underlying, 'Number of securities' will include cash positions on the arbitraged instrument.

Position Unwinding If ticked, a position on the arbitraged instrument will be converted into a position in the underlying instrument through 'Automatic tickets'.

Und. Price Price of the underlying.

Hedge Price Output: arbitrage price.

Table 11-4 Arbitrage window field descriptions (Sheet 2 of 2)

Field Description

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Calculating the Cash Balance and Physical Stock

You can calculate the cash balance from the Portfolio window. To calculate the balance on a deal or a portfolio:

1 In the Portfolio window, select a deal or a portfolio. You can display the whole portfolio balance, if you do not select any specific items in the portfolio.

2 Choose one of the following from the Balance toolbar menu:

- Cash — the cashflows by currency, quoted in thousands of the monetary unit. See “Cash Balance Report” on page 244.

- Physical stock (detail) — Actual physical stock and future physical stock for each day in the future where this figure changes

- Physical stock (dates) — Actual physical stock and physical stocks for three dates, entered by the user.

- Detailed Cash — the cashflows for each position, by currency. See “Detailed Cash Balance Report” on page 246.

Cash Balance Report

The Cash Balance report shows the cashflows and balance by currency, for the selected portfolios or positions. The Cash Balance report is shown in figure 11-2.

Figure 11-2 The Cash Balance report

Table 11-5 describes the toolbar buttons of the Cash Balance report that allow you to change the display of the report.

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Configuring the Cash Balance report

To configure the Cash Balance report, click the Options toolbar button. The Options dialog is displayed, allowing you to define the date range, colour scheme, and type of data displayed in the report. This is shown in figure 11-3.

Figure 11-3 The Options Dialog

Table 11-6 describes the fields in the Options dialog.

Table 11-5 Toolbar Buttons of the Cash Balance Report

Button Name Description

Expand Expands all levels of the report.

Collapse Collapses all levels of the report.

Options Opens the Options dialog to configure the display of the report. For more information, see “Configuring the Cash Balance report” on page 245.

Refresh Refreshes the values in report. You must refresh the report if you change any of the report parameters.

Table 11-6 Options dialog (Sheet 1 of 2)

Name Description

Dates Defines the period for which the report is displayed. You can determine this by entering a relative date. The report is displayed from current date to the relative date.

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Detailed Cash Balance Report

The Detailed Cash Balance report shows the cashflows, by position, for the selected portfolio or positions. The Detailed Cash Balance report can be displayed in the following three ways:

• with a position selected — the report is displayed for the position’s portfolio. • with a portfolio selected — the report is displayed for the selected portfolio.• without a position or portfolio selected — the report is displayed for the root

portfolio of the Portfolio window.

The Detailed Cash Balance report is shown in figure 11-4.

Colour Scheme Determines the colour in which the cash flows are displayed. This is defined as:

• Currency — cash flows are displayed by their currency colour.

• Negative — cash flows are displayed in black if positive and red if negative.

• Certainty — cash flows are displayed in red if uncertain and green if certain.

Data displayed Determines the type of data displayed in the report. This is defined as:

• Balance — balances are displayed for each day in the report.

• Cash Flow (certain) — certain cash flows are displayed for each day in the report.

• Cash Flow (uncertain) — uncertain cash flows are displayed for each day in the report.

• Treasury — treasury amounts are displayed for each day in the report.


Name Description

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Figure 11-4 The Detailed Cash Balance report

Table 11-7 describes the toolbar buttons of the Detailed Cash Balance report that allow you to change the display of the report.

Table 11-7 Toolbar Buttons of the Detailed Cash Balance Report


Expand Expands all levels of the report.

Collapse Collapses all levels of the report.

Options Opens the Options dialog to configure the display of the report. For more information, see “Configuring the Detailed Cash Balance report” on page 248.

Refresh Refreshes the values in report. You must refresh the report if you change any of the report parameters.

Data Displayed

Toggles between displaying the cash flow and balance.

Position Displayed

Displays positions as follows:• Display All Positions — all of the selected portfolios

or positions are displayed.• Display Positions With Cash Flow — only the

selected portfolios or positions that contain a cashflow within the report time period are displayed.

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Within the Detailed Cash Balance report, you can display the components of each cash flow in the report by double-clicking the cash flow amount. See “Displaying the Cash Flow Components” on page 249.

You can also display the instrument dialog of each position in the report by selecting the position and pressing Ctrl+f.

Note: Funds are displayed in the report by fund and then currency.

Configuring the Detailed Cash Balance report

To configure the Detailed Cash Balance report, click the Options toolbar button or press Ctrl when you launch the report. The Options dialog allows you to define the date range, colour scheme, and type of data displayed in the report. This is shown in figure 11-5.

Figure 11-5 The Options Dialog

Table 11-8 describes the fields in the Options dialog.

Currency Displays the currency of positions as follows:• Display in Position Currency — positions are

displayed in the currency of the position.• Display in Main Currency — positions are displayed

in the currency of the portfolio.


Name Description

Start Date/End Date The report date range.

Table 11-7 Toolbar Buttons of the Detailed Cash Balance Report


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Displaying the Cash Flow Components

You can display the components of each cash flow in the report by double-clicking a cash flow amount. The Detailed Cash Balance - Cash Flow Details dialog is displayed, as shown in figure 11-6.

Figure 11-6 The Detailed Cash Balance - Cash Flow Details dialog

Cash Balance Per Currency

You can view all cash balances as separate cash positions in each portfolio and in extraction portfolios. Each cash position is displayed per currency and the Balance and Unsettled Balance for each cash position is the total for all of positions of the same currency within the portfolio. The cash positions are displayed alphabetically in each portfolio.

To enable cash per currency positions in the Portfolio, select the Show the cash per currency for each portfolio checkbox in the Value tab of the Preferences dialog.

The Portfolio contains the following columns to display these cash balance positions:

• Balance per ccy — Displays the settled balance for cash positions.• Unsettled Balance per ccy — Displays the unsettled balance for cash

positions.

Colour Scheme Determines the colour in which the cash flows are displayed. This is defined as:

• Currency — cash flows are displayed by their currency colour.

• Negative — cash flows are displayed in black if positive and red if negative.

Data displayed Determines the type of data displayed in the report. This is defined as:

• Balance — balances are displayed for each day in the report.

• Cash Flow — cash flows are displayed for each day in the report.

You can toggle between Balance and Cash Flow by clicking the Data displayed toolbar button in the report.


Name Description

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To display a Cash Balance report for a portfolio, double-click a cash position within a portfolio.

Figure 11-7 shows a portfolio with cash positions displayed.

Figure 11-7 Portfolio with cash positions

Figure 11-8 shows the same portfolio without cash positions displayed.

Figure 11-8 Portfolio without cash positions

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Margin Calls

Cash flows generated by margin calls with overnight funds are taken into account in the same way as any cash flow, unless you select the No Margin Call tick box on the Profit and Loss tab in the Preferences window. See the Administration Guide for more information on Preferences. The calculation of cash flows uses the futures history.

Calculating Risk Indicators

For every position in the portfolio, it is possible to calculate and display many risk indicators.

Table 11-9 Calculating Risk Indicators (Sheet 1 of 2)

Risk indicator Indicators

Delta • Delta• Delta% • Delta Cash • Delta curr.global • Delta folio underlying • Global Delta

Gamma • Gamma • Gamma% • Gamma Cash • Gamma curr.global • Gamma folio underlying • Global Gamma

Vega • Vega• Vega curr. folio • Vega curr. global • Global Vega

Theta • Theta• Theta curr. folio • Theta curr. global • Global Theta

Rho • Rho • Rho curr. folio • Rho curr. global • Global Rho

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The risk indicators are calculated for a portfolio or sub-portfolio in relation to their benchmark security. So, if this benchmark security happens to be different from the underlying of a line, the delta of the line is first multiplied by the beta of the underlying, then divided by the proportion of the benchmark security to obtain the delta of the portfolio. It is then multiplied by the ratio of the benchmark security spot to the security line spot (variations are considered to be proportional to the price, once beta is taken into account).

(Delta * Underlying Beta) / benchmark security proportion = Delta of the Portfolio.Delta of the Portfolio * ratio of benchmark security spot to security line spot.

In addition to the aggregate delta of a portfolio, you can also view the details for long and short positions.

Viewing Greek Values in the Portfolio Window

For a given multiple-currency position, the following values are displayed in the Portfolio window:

• The foreign exchange position is displayed in the Delta column• The rho and the convexity are displayed in their respective columns• The delta cash is displayed in the Index column.

For the benchmark currency, which is the currency of the portfolio underlying, the exchanged position is not displayed.

The FX Greek values in this sub-window of the Portfolio window are shown in the colour of currency.

To display the amount in cash as a percentage:

• Select the FX Delta in % checkbox, on the Display tab in the Preferences window.

Finally, this figure displays the variation of the result for N percent variation of the interest rate for the corresponding currency (N defined in the 'Rho' tab of the Preferences sub-menu, File menu).

Epsilon • Epsilon • Epsilon curr. folio • Epsilon curr.global • Global Epsilon

Equity crossed gamma • Equity crossed Gamma • Global equity crossed Gamma

Table 11-9 Calculating Risk Indicators (Sheet 2 of 2)

Risk indicator Indicators

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Recalculating the Position

You can recalculate your position after a transaction has been modified. You perform this calculation locally. Alternatively, you can use the Calculation Server to perform these calculations. The Calculation Server is a service provided by Sophis. It conducts calculations on portfolios while allowing you to continue to use the application during calculation processing. You define the use of the Calculation Server in the Optimisations tab of the Preferences.

For more information on the Calculation Server, refer to the Calculation Server User Guide and the Calculation Server Installation & Configuration Guide.

To Recalculate your Position:

• From the Portfolios menu, select Calculate Now, or press the shortcut F9.

The position is recalculated.

Note: If you have configured the allocation of processing tasks to the Calculation Server, the Calculation Server recalculates the position. For more information, see the Calculation Server User Guide.

F9 recomputes the theoretical values, all the greeks and the accrued coupon for today. It also aggregates the P&L and greeks at the level of the underlyings and portfolios. It calculates the unrealised and the financing due to the valuation of assets. This can affect performance, depending on the complexity of the open positions.

Calculations on New Deals

When a new deal is booked, the minimum calculations are performed to avoid affecting performance. This is due to the fact that RISQUE can accept up to 100 deals per second. Reperforming the calculations for each and every new deal would have an unacceptable impact on performance. The price used for these new deals is the last theoretical price used, if the instrument already existed in the portfolio, or the transaction quotation, if not.

If the deal has a Value Date in the past, the Treasury is not updated, because this would require reloading the overnight history, which would again have an impact on the performance of the application. Also, recalculating the average price using FIFO would require reloading the all deals in position. Therefore, the WAP method is advised.

If the deals are modified rather than created, the original deal is reversed and the modified deal added. Subsequently, the realised is modified and it is guaranteed that the realised and unrealised are correct.

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Performing Calculations on Individual Positions

It is also possible to perform calculations on individual positions. To do this, select the position(s) you want to calculate, right-click on them and select Calculate. The selected positions are calculated.

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Chapter 12 Fast P&L

This chapter describes fast P&L calculation, which can be performed by pressing F10 or selecting Fast calculation from the Portfolio menu. Fast P&L calculation recalculates only the theoretical and delta values of instruments based on mappings defined in fast P&L categories.

It contains the following sections:

• “Enabling Fast P&L” on page 255• “Configuring Fast P&L Categories” on page 257• “Performing Fast P&L” on page 267

Important: Fast P&L calculation requires the Fast P&L module.

Enabling Fast P&L

To enable fast P&L calculation, do the following:

1 Select Preferences from the File menu.

2 Select the Optimisations tab.

The Optimisations tab is displayed, as shown in figure 12-1.

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Figure 12-1 Optimisations tab of the Preferences dialog

3 Set the Use Fast P&L Region preference on the Optimisations tab of the Preferences dialog to one of the following:

- local w/o EOD — fast P&L calculation is performed using only the calculations from an F9 calculation.

- local — fast P&L calculation is performed using the calculations from the latest EOD and an F9 calculation.The theoretical loaded from the EOD is the theoretical value of the previous day plus the theta value. To disable the inclusion of the theta value, set the FASTPNL_EOD_DISABLE_THETA global preference to 1. For more information about global preferences, see the RISQUE Administration Guide.

Note: If the Fast PnL module is not enabled, the Use Fast P&L Region preference is set to Not Used and cannot be modified.

Important: To apply changes to the Use Fast P&L Region preference, you must restart RISQUE.

If fast P&L calculation is enabled, a green F indicator is displayed in the RISQUE status bar, as shown in figure 12-2.

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Figure 12-2 Fast P&L Indicator on RISQUE status bar

Double-clicking the fast P&L indicator displays the Fast P&L Status Window, as shown in figure 12-3.

Figure 12-3 Fast P&L Status Window

Configuring Fast P&L Categories

Fast P&L categories enable you to specify different types of instruments and triggers for which a selected fast P&L mode is applied. Fast P&L categories are defined in the Fast P&L Categories window, as shown in figure 12-4.

Figure 12-4 Fast P&L Categories window

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The Fast P&L Categories window is described in the following sections:

• “Fast P&L Categories Buttons” on page 258• “Fast P&L Categories Columns” on page 258• “Defining Fast P&L Categories” on page 265• “Viewing Deleted Fast P&L Categories” on page 266• “Applying a Fast P&L Category” on page 266

Fast P&L Categories Buttons

Table 12-1 describes the buttons of the Fast P&L Categories window.

Fast P&L Categories Columns

Table 12-2 describes the columns of the Fast P&L Categories window.

Note: You can configure the columns displayed in the Fast P&L Categories window using the Configuration button on the top left of the RISQUE window.

Table 12-1 Fast P&L Categories Window Buttons

Button Description

Expand Opens the selected category.

Collapse Closes the selected category.

New Creates a new category or adds a new instrument type row to the group.

Delete Deletes the selected category or instrument type row.

Priority Up Increases the priority of the instrument type row.

Priority Down Decreases the priority of the instrument type row.

Deleted Elements Opens the Previously deleted Fast P&L Categories window. For more information, see “Viewing Deleted Fast P&L Categories” on page 266.

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Table 12-2 Fast P&L Categories Window Columns (Sheet 1 of 2)

Column Description

Instrument Type The type of instrument for which the trigger applies. For more information, see “Instrument Types” on page 260.

Instrument Feature 1 A subset of the instruments selected by Instrument Type. For more information, see “Instrument Features” on page 263.

Instrument Feature 2 A subset of the instruments selected by Instrument Type and Instrument Feature 1. For more information, see “Instrument Features” on page 263.

Fast P&L Mode The type of calculation applied to the specified instruments. You can select one of the following:

• Auto — if the Fast P&L Trigger is reached, full calculation is performed on the instrument. If the Fast P&L Trigger is set to XXX, fast calculation is performed.

• Manual — if the Fast P&L Trigger is reached, fast calculation is performed but a Recompute needed message is displayed in the Fast P&L Calculation column of the Portfolio window.

• Always Full Calculation — full calculation is performed on the instrument no matter what is set in the Fast P&L Trigger column.

Restrictive conf.? You can select one of the following:• Yes — mappings with a lower priority

within the same category are not taken into account.

• No — mappings with a lower priority within the same category are taken into account.

Market The market for which the trigger applies.

Currency The currency for which the trigger applies.

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Instrument Types

Table 12-3 describes the instrument types that you can select from the Instrument Type drop-down list.

Important: Fast P&L calculation is not supported for shares, index baskets, issuers, FX spots, FX forwards, FX NDFs, packages, and all commodity instruments except futures. N/A is displayed in the Fast P&L Calculation column of the Portfolio window for these instruments.

Note: You can modify Instrument Types using the RISQUE Toolkit.

Fast P&L Trigger Defines the condition that must be met by the specified instrument to apply the specified fast P&L mode. You can select one of the following:

• XXX — the specified fast P&L mode is always applied to the specified instrument.

• Any market data changed — market data has changed since the full last calculation.

• Dividend changed — the dividend has changed since the last full calculation.

• FullCalc>1H — more than one hour has elapsed since full calculation was performed.

• Instrument changed — the instrument has changed since the last full calculation.

• Repo changed — the repo has changed since the last full calculation.

• Volatility changed — the volatility has changed since the last full calculation.

• delta(Spot) > 1% — spot variation is greater than 1% since the full calculation.

• delta(Spot) > 2.5% — spot variation is greater than 2.5% since the last full calculation.

• delta(Spot) > 5% — spot variation is greater than 5% since the last full calculation.

Table 12-2 Fast P&L Categories Window Columns (Sheet 2 of 2)

Column Description

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Any Type All instruments.

COM-Futures All commodity future instruments.

COM-Options-American All American commodity option instruments.

COM-Options-Asian All Asian commodity option instruments.

COM-Options-Futures-LME All commodity option instruments with an LME future as the underlying.

COM-Options-Futures-Power All commodity option instruments with a power future as the underlying.

COM-Options-Futures-Standard

All commodity option instruments with a power future as the underlying.

COM-Options-Index All commodity option instruments with an index as the underlying.

COM-Options-Listed All listed commodity option instruments.

COM-Power-GRD-Options All GRD option instruments.

COM-Power-VPP-Options All VPP option instruments.

COM-Swaps-All All commodity swap instruments.

COM-Swaps-Basket MNP/Cash Swap

All commodity basket and cash swap instruments.

COM-Swaps-Floating/Bullet Swap

All floating/bullet commodity swap instruments.

COM-Swaps-Floating/Cash Swap All floating/cash commodity swap instruments.

COM-Swaps-Floating/Floating Swap

All floating/floating commodity swap instruments.

Credit-All All credit swap instruments.

Credit-CDS-Basket All credit default swap basket instruments.

Credit-CDS-CDO All CDO credit default swap instruments.

Credit-CDS-Nth to default All Nth to default credit default swap instruments.

Credit-CDS-Single name All single name credit default swap instruments.

Credit-TRS All total return swap instruments with the Stop if Default check box selected.

EQU-Contracts for Difference All CFD instruments.

EQU-Futures All equity future instruments.

EQU-Options All option instruments with an equity or index as the underlying.

EQU-Options-Listed All listed option instruments.

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EQU-Shares All share instruments.

EQU-Stock Loans All stock loan instruments.

EQU-Swaps-All All equity swap instruments.

EQU-Swaps-Equity Swap Fixed Index

All fixed index equity swap instruments.

EQU-Swaps-Equity Swap Variable Index

All variable index equity swap instruments.

FI-Bond Option All bond option instruments.

FI-Bonds-All All bond instruments.

FI-Bonds-FRN All floating rate notes bond instruments.

FI-Bonds-Fixed All fixed bond instruments.

FI-Repo All repo instruments.

FX-Futures All forex future instruments.

FX-Options All forex option instruments.

FX-Spot FX All forex spot instruments.

Forex-All All forex instruments.

INF-Bonds-All All inflation bond instruments.

INF-Bonds-Caps & Floors All inflation bond cap or floor instruments.

INF-Bonds-Caps & Floors Digital All digital inflation bond cap or floor instruments.

INF-Swaps-All All inflation swap instruments.

INF-Swaps-Linked All linked inflation swap instruments.

INF-Swaps-Standard All standard inflation swap instruments.

IR-Caps & Floors All interest rate cap or floor instruments.

IR-Caps & Floors Digital All digital interest rate cap or floor instruments.

IR-Futures-All All interest rate futures.

IR-Futures-Bond All interest rate bond futures.

IR-Futures-Monetary All interest rate monetary futures.

IR-Swaps-All All interest rate swap instruments.

IR-Swaps-Asset Swap All asset interest rate swap instruments with the Stop if Default check box not selected.

IR-Swaps-CIRS Fixed-Floating All CIRS fixed/floating interest rate swap instruments.

IR-Swaps-CS Fixed-Fixed All CS fixed/fixed interest rate swap instruments.

IR-Swaps-Domestic Basis Swap All domestic basis interest rate swap instruments.

IR-Swaps-IRS All interest rate swap instruments.



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Instrument Features

Table 12-4 describes the instrument features that you can select from the Instrument Feature drop-down list. Instrument Feature defines a sub-set of the instruments selected by Instrument Type. For more information about instrument types, see “Instrument Types” on page 260.

IR-Swaps-Single legged All single leg interest rate swap instruments.

IR-Swaps-X CCY Basis Swap All cross currency basis interest rate swap instruments.

IR-Swaptions All interest rate swaption instruments.

Package All package instruments.

TREAS-Debt Instrument All debt instruments.

TREAS-Debt Instrument-Fixed Rate

All fixed rate debt instruments.

TREAS-Debt Instrument-Floating Rate

All floating rate debt instruments.

TREAS-FRA All forward rate agreement instruments.



Amortizing-No All instruments of the specified type without amortization.

Amortizing-Yes All instruments of the specified type with amortization.

Any Feature All instruments of the specified type.

Average-Average index All instruments of the specified type with an index average defined.

Average-Average strike All instruments of the specified type with a strike average defined.

Average-No average All instruments of the specified type with no average defined.

Barrier-Double All double barrier option instruments of the specified type.

Barrier-None All instruments of the specified type with no defined barriers.

Barrier-Single All single barrier option instruments of the specified type.



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Bond Callable All instruments of the specified type with the model set to Callable Bond.

Cancelable Swap All instruments of the specified type with the Cancelable check box selected.

Convexity-CMS All instruments of the specified type with CMS convexity.

Convexity-In Arrears All instruments of the specified type with in arrears convexity.

Convexity-None All instruments of the specified type with no convexity defined.

Convexity-Quanto All instruments of the specified type with quanto convexity.

Correlation Swap All instruments of the specified type with the model set to Correlation Swap.

Option Style-American All instruments of the specified type defined with the American exercise style.

Option Style-Bermudan All instruments of the specified type defined with the Bermudan exercise style.

Option Style-European All instruments of the specified type defined with the European exercise style.

Underlying-Basket All instruments of the specified type with a basket as the underlying.

Underlying-Index All instruments of the specified type with an index as the underlying.

Underlying-One All instruments of the specified type with one underlying.

Underlying-Two All instruments of the specified type with two underlyings.

Vanila All instruments of the specified type with no convexity, no barrier, no path dependency, and no average.

Variance Swap All instruments of the specified type defined with the variance swap model.

Volatility Swap All instruments of the specified type defined with the volatility swap model.



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Defining Fast P&L Categories

To define a fast P&L category, do the following:

1 Select Fast P&L Categories from the Parameters menu.

The Fast P&L Categories window is displayed, as shown in figure 12-5.

Figure 12-5 Fast P&L Categories window

Note: To modify the Fast P&L Categories window, the user right IMC FastPnL Category must be set to Write. For more information about user rights, see the RISQUE Administration Guide.

For more information about the buttons and columns of the Fast P&L Categories window, see “Fast P&L Categories Buttons” on page 258 and “Fast P&L Categories Columns” on page 258.


The Category window is displayed, as shown in figure 12-6.

Figure 12-6 Category window

3 Enter a category Name and Comments and click OK.

The new category is displayed in the Market Categories window.

4 Expand the category and select the Version Currently Used line.

5 Click the New button to add a new mapping between specific instrument types and fast calculation triggers.

6 Select one of the instrument types from the Instrument Type drop-down list. For more information, see “Instrument Types” on page 260.

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7 Select a trigger from the Fast P&L Trigger drop-down list. For more information about triggers, see table 12-2.

You can continue to add new mappings and new categories.

8 Use the Priority Up and Priority Down buttons to change the priority of the mappings.

Fast P&L categories are saved in a hierarchical list. The #1 mapping is used before the #2 mapping, followed by the #3 mapping, and so on. The individual identifier number of each setting is used as the identifier in the database. For example, 9002 in the example in figure 12-5.

9 Close the window and click Save in the dialog window to save your settings.

Apply a fast P&L category to the instruments in RISQUE by selecting it in the Preferences dialog. For more information, see “Applying a Fast P&L Category” on page 266.

Note: By default, if a position does not match any of the mappings in the selected fast P&L category or no Fast P&L category is selected on the Model tab of the Preferences dialog, fast calculation is performed.

Viewing Deleted Fast P&L Categories

To view previously deleted categories, do the following:

• Click the Deleted Elements button.

The Previously deleted Fast P&L Categories window is displayed, showing the market categories and their dates of deletion, as shown in figure 12-7.

Figure 12-7 Previously deleted Fast P&L Categories window

Applying a Fast P&L Category

To apply a fast P&L category defined in the Fast P&L Categories window to the specified instruments, do the following:

1 Select Preferences from the File menu.

2 Select the Model tab.

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The Model window is displayed, as shown in figure 12-8.

Figure 12-8 Model preferences window

3 Select the fast P&L category in the Fast P&L Category drop-down list to apply fast calculation to the instrument types and triggers defined for the category.

Performing Fast P&L

To perform fast calculation, do the following:

1 Perform a full calculation on a portfolio by selecting Calculate Now from the Portfolio menu or pressing F9.

This calculation computes and stores the deltas, gammas, and spot used by fast calculation. Full P&L[hh:mm:ss] is displayed in the Fast P&L Calculation column of the Portfolio window. This indicates that there is data available for fast P&L calculation, which can be displayed in the Fast P&L Buffer Window by right-clicking the position and selecting Fast P&L data. Figure 12-9 shows the Fast P&L Buffer Window.

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Figure 12-9 Fast P&L Buffer Window

2 Select Fast calculation from the Portfolio menu or press F10.

If a fast P&L trigger is met and the fast P&L mode is set to Auto, this calculation recomputes the theoretical and delta values using the Taylor expansion. Fast P&L[hh:mm:ss] is displayed in the Fast P&L Calculation column of the Portfolio window.

If a fast P&L trigger is met and the fast P&L mode is set to Manual, Recompute needed[hh:mm:ss] is displayed in the Fast P&L Calculation column of the Portfolio window to indicate that a new F9 calculation is required.

Fast P&L Example

This section describes the fast P&L calculation of an example option. Figure 12-10 shows the Fast P&L Example category, which is selected on the Model tab of the Preferences dialog.

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Figure 12-10 Fast P&L Example category

The Fast P&L Example category contains a mapping that triggers fast calculation in Auto mode if the spot of an option changes by more than 1%.

Figure 12-11 shows the Fast P&L Example portfolio, containing a deal on a call option on a share.

Figure 12-11 Fast P&L Calculation portfolio

No data is displayed in the Fast P&L Calculation portfolio to indicate that no data is available to perform fast P&L calculation from an EOD or full calculation.

Figure 12-12 shows the Fast P&L Example portfolio after F9 is pressed.


Full P&L[09:50:23] is displayed in the Fast P&L Calculation column. This indicates that there is data available from the full calculation at 9:50:23 to perform a fast P&L calculation. This data can be displayed in the Fast P&L Buffer Window, as shown in figure 12-13, by right-clicking the option and selecting Fast P&L data.

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Figure 12-13 Fast P&L Buffer Window

Figure 12-14 shows the Fast P&L Example portfolio after the spot of the option has changed by less than 1% and F10 is pressed.


Fast calculation recomputes the theoretical and delta values of the option. Fast P&L[09:50:23] is displayed in the Fast P&L Calculation column of the Portfolio window to indicate that the values are from a fast calculation based on a full calculation at 9:50:23.

Note: If the spot of the option changed by more than 1% and F10 was pressed, full calculation is performed.

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Chapter 13 Simulation Mode

This chapter describes Simulation Mode. Simulation Mode enables you to perform simulated transactions to evaluate the effect on values such as profit and loss and risk indicators. This chapter includes the following sections:

• “Activating Simulation Mode” on page 271• “Creating a Deal in Simulation Mode” on page 271• “Deactivating Simulation Mode” on page 272• “Viewing a Simulated Modification” on page 272• “Approving a Simulated Deal” on page 272

Activating Simulation Mode

This section describes how to activate Simulation Mode.

To activate Simulation Mode, do the following:

• Select Activate the Simulation from the File menu.

The colour of the menu bar changes to red.

Creating a Deal in Simulation Mode

This section describes how to create a deal in Simulation Mode. The procedure for creating a deal in Simulation Mode is the same procedure for creating a deal in normal mode.

Deals that have been created in Simulation Mode are displayed with a playing card icon. You can modify the parameters of underlying instruments and derivative instruments in Simulation Mode. Deals entered in Simulation Mode do not have any effect on the ‘real’ P&L and the risk indicators.

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Deactivating Simulation Mode

This section describes how to deactivate Simulation Mode. Deactivate Simulation Mode once you have completed simulated transactions.

To deactivate Simulation Mode, do the following:

• Choose De-activate the Simulation from the File menu.

The colour of the menu bar changes from red to blue.

The Modifications while simulating window is displayed if you made modifications to any of the following while in Simulation Mode:

- Dividends- Repo Curves- Volatilities- Tax Credits

For more information about saving or modifying these changes, see “Viewing a Simulated Modification” on page 272.

The saving of all other modifications is determined by the SimulationMode global preference. For more information, see “Modification Behaviour in Simulation Mode” on page 273.

Note: Trades created in Simulation Mode are stored in the database, but are not visible when Simulation Mode is deactivated.

Viewing a Simulated Modification

This section describes how to view a simulated modification. For more information about displaying the Modifications while simulating window, see “Deactivating Simulation Mode” on page 272.

To view a simulated modification, do the following:

• Double-click an entry in the Modifications while simulating window.

The modification is displayed. When closing this dialog, you are prompted to save or cancel the modification. If you cancel the modification, it is marked with a red strike-through in the modifications list.

Approving a Simulated Deal

This section describes how to approve a simulated deal for execution in normal mode. You can automatically execute actions in normal mode that you simulated in Simulation Mode.

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To execute a simulated deal in normal mode, do the following:

Caution: You cannot undo this action.

1 In the Portfolio window, select a simulated position.

2 Click the Arbitrage button on the Portfolio window toolbar to execute the simulated deal in normal mode.

Modification Behaviour in Simulation Mode

The global preference, SimulationMode, determines how modifications, other than those listed in “Deactivating Simulation Mode” on page 272, are saved when ending Simulation Mode. Set this preference as follows:

• 0 — all modifications are saved when ending Simulation Mode.• 1 — modifications are not saved when ending Simulation Mode but are kept

until the application is closed.• 2 — a message is displayed advising that no modifications are saved to the

database.• 3 — you are prompted to either save the changes or continue editing and

the modifications are kept for the current session of RISQUE.

The default value for SimulationMode is 3.

Important: It is not possible to delete instruments from the instrument lists while in Simulation Mode. If you attempt to do this, you receive an error message.

It is also not possible to delete, modify, or move real positions while in Simulation Mode.

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Chapter 14 Derivative and Option Lists

This chapter describes procedures for working with Derivative and Option lists.

Derivative List

This menu allows you to define sub-lists of derivatives. Selecting a list allows you to visualize Greeks, the theoretical price, the volatility and the underlying price.

Adding a Derivative List

This section describes how to add a list of derivatives. You can define several lists of derivatives at the same time for future reuse.

To Add a Derivatives List:

1 From the Quotation menu, select Add a Derivatives List...

The Add a screen dialog is displayed.

Figure 14-1 Add a Screen dialog.

This window lets you create a Derivative Quotation windows.

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2 Select one or more securities from the General list. The following sub-categories make up the items in the General list:

- Stock derivatives- Convertibles & indexed- Packages- Interest rate derivatives

3 Click the right arrow button to add the selected securities to the Configuration list. The selected securities are in the Configuration list.

Note: To remove an item from the Configuration list, select the item, then click the left arrow button. The item reappears in the General list.

4 Click Save. The following dialog box opens:

Figure 14-2 Save as dialog.

5 Enter the name of the derivatives list.

6 Click OK. This saves the Derivative List and closes the dialog box.

Note: When you save a list, the list of products associated with the Derivatives List as well as the P and S margins are also saved.

Displaying Derivatives Lists

This section describes how to display a Derivatives List.

To Display a Derivatives List:

1 From the Quotations menu, select the Derivative List to display.

A window similar to the following opens:

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Figure 14-3 Derivative List.

Caution: The Bid/Ask volatilities that can be defined for an underlying are not used here.

Note: You can add Derivatives to the list by copying the derivative from the Stock Derivatives list window and pasting it into the derivative list.

Table 14-1 Derivative list columns.

Column Description

Price Und. Underlying price is displayed as it would in an option-pricing screen. The default value is the current price. This field is editable.

Margin P Margin expressed in volatility or in price. This value is needed to calculate Purchase.

Margin S Margin expressed in volatility or in price. This value is needed to calculate Sale.

Volat Product P&L volatility of the underlying.

Purchase Price based on Volat Product + Margin P.

Sale Price based on Volat Product + Margin S.

Delta, Gamma, Rho, Vega

Based on the Volat Product.

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Deleting a Derivatives List

This section describes how to delete a derivatives list.

To Delete a Derivatives List:

1 From the Quotation menu, select Delete a derivatives list.

The Record to delete window appears:

Figure 14-4 Delete a derivative list.

2 Select a Derivative list to delete, then click Erase. A dialog box that asks you to confirm your choice appears.

3 Click OK to confirm. This deletes the Derivative List.

Deleting a Derivative from the Derivative List

This section describes how to delete a derivative from the Derivative List.

To Delete a Derivative from the Derivative List:

1 Display the Derivative List from which you want to delete a derivative.

2 From the Derivatives List, select the security to delete.

3 From the Edit menu, select Delete.

A dialog box that asks you to confirm your choice appears.

4 Click Delete to confirm.

Option List

This allows you to define a template for quotations with strikes, maturities and a derivative. Selecting an underlying and launching the template, calculates the theoretical prices corresponding to the strikes and maturities.

This menu allows you to define templates used in interest rates and volatility scenarios. These templates must be selected in the tab 'Rho' of the preferences to activate them.

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Adding an Option List

This section describes how to create an Option list. An Option List lets you create a generic framework that simultaneously prices a matrix of equity option for different strikes and maturities.

To create an Option List:

1 From the Quotation menu, select Add an Option List

This displays the following dialog box:

Figure 14-5 Model dialog.

2 Enter values in the text boxes as described in table 14-2:

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Table 14-2 Add derivative model dialog. (Sheet 1 of 2)

Field Description

Model Name Enter the name of the option list.

Derivative Enter the reference of the option used as a template for all options of the option list.

• The plain vanilla option used as a template should only be used as a template. Use of this option as an individual option is not recommended as it can be bought or sold.

• The selected option cannot have over volatility.

Strike Type Select a strike type from the drop-down list. The options are as follows:

• Spot in %• Absolute strike• Strike in delta• Delta cash

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Note: The pricing model associated with the specified template evaluates every option derived from the option list set-up.

3 Click OK. This creates an option list.

Note: To edit your model, hold down the Shift key while selecting the model from the Quotation menu.

Displaying an Option List

This section describes how to display an Option List. This section also describes how to apply an Option List to an underlying.

To view an Option List for an underlying, do the following:

1 From the Instruments menu, select an instrument, such as a share.

2 Select an Option List from the Quotation menu. An Option List window similar to the following opens:

Figure 14-6 Strategy window.

Transposition Select the Transposition check box to reorder the display of the option list. Selecting the Transposition check box displays strikes vertically and maturities horizontally.

Strike (%) Select the Strike (%) check box to display the input strikes as a percentage of the instrument spot (money spot).

Strikes Select an item from the Strikes pane and triple-click to enter the strike in the cell.

Maturity Select an item from the Maturity pane and triple-click to enter the maturity in the cell in relative or absolute date

Table 14-2 Add derivative model dialog. (Sheet 2 of 2)

Field Description

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The Strategy window is used to simulate option purchase/sales in order to set up a strategy. You must enter in the empty column the number of options you want to buy or sell in order to check the aggregated greeks which result from this strategy. These Greeks are displayed in the upper frame of this window.

Editing Values in the Option List Window

You can edit the values of the following items in the Option List window:

• Spot — The underlying price appears in the same way that it would appear in an option pricing screen.

• Interest rate to option's maturity• Volatility• Strike• Maturity dates, after transposition of the Option List.• An option's price that leads to the calculation of implied volatility

Table 14-3 Strategy window buttons.

Icon Description

Refresh button. This button refreshes the window.

Open underlying button. This allows you to open the underlying.

Column Display button. This button allows you to add or remove columns.

Priority button. This button allows you to specify whether or not you receive real-time updates for this option.

Amount or Percent button. This button allows you to specify the prices displayed in percentage or amount.

Transpose button. This button allows you to display strikes vertically and maturities horizontally.

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Caution: Do not change the date in the Option List window.

Note: Click a parameter (strike or maturity) on the x-axis to display a shortcut menu that displays all available strikes or maturities.

Content of the Option List Window

For each strike, maturity, call and put, the Option List window displays:

• Theoretical price (blue), Delta (green) and Vega (red).• Theta (blue), Rho (for a change of 100 bp) (green) and Gamma (for a

change of one unit)(red).• Underlying forward price is displayed according to the selected maturity• Dividends and tax credits

If the underlying is a single stock, but not for an index or a basket.

If parameters are modified, the Option List is instantly recalculated. A change in the volatility of a strike, a maturity, a call or put recalculates the option price. A change in the option price recalculates the implied volatility.

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Part 2: Deal Management

This part describes:This part describes:

Deals

Creating Deals

Deals on each instrument

Multiple deals

Automatic Tickets

Alert Book and Portfolio


Chapter 15 Deals

This chapter introduces Deals. It contains the following sections:

• “Creating Deals” on page 285• “Business Events” on page 294• “Movements” on page 296• “Workflow” on page 297

Creating Deals

This section describes the various methods of creating a deal. It contains the following sections:

• “Creating a New Deal” on page 285• “Creating a Deal on an Instrument” on page 287• “Using the Deal Input Dialog” on page 288• “Changing Currency” on page 290• “Viewing the Underlying” on page 291• “Viewing Depository Details” on page 291• “Setting the Price Type” on page 292

Creating a New Deal

To create a new, blank deal, perform one of the following steps:

• Select the required deal type from the Tickets menu.This allows you to create deals, and in certain cases create the instruments you want to deal on at the same time as you make the deal. An example of such a deal is the Barrier ticket. For more information on these types of deal, see the individual deal chapters.

• Press Ctrl+n while the Portfolio window is open.This opens the standard Deal Input dialog, as shown in figure 15-1.

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• Select a deal in the portfolio, and create a new deal.This opens the standard Deal Input dialog, but populates the fields with information based on the selected trade’s instrument.

Complete the following steps to create a new deal in the Portfolio window:

1 While ensuring that nothing is selected, press Ctrl+n in the Portfolio window. The Deal Input dialog is displayed.

Figure 15-1 shows the standard Deal Input dialog.

Figure 15-1 Standard deal input dialog

Important: Fields are added and removed depending on the type of deal performed. For example, a deal on a Cap and Floor includes a Nominal field beneath the Quantity field, while Bonds include Accrued Interest fields and populate the Paying leg pane.

2 Click the Browse button to specify the instrument you want to trade on. This opens the Reference Browser.

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Figure 15-2 Deal Input Reference Browser

The Reference Browser allows you to search for the instrument you want to trade on by allowing you to apply two filters, Instrument Type and Currency. This allows you to create a subset of instruments, in which you can more easily find the instrument you want.

You can also use the Name, Code, Reference, Type and Currency column heading buttons to sort the results.

3 Select the instrument you want to trade on and click OK.

The Deal Input dialog is populated with the information defined on the instrument and the current date.

Creating a Deal on an Instrument

To create a deal based on an instrument, drag and drop the instrument from the instrument list to the Portfolio window. Assuming the criteria are correct, the standard Deal Input dialog opens, with the chosen instrument as the basis.

If you want to create a deal based on an existing deal, select the deal in the portfolio and press Ctrl+n, or File and New. This creates a new deal based on the chosen deal’s instrument. Any deals made in this manner are not saved as separate deals in the same folder as the selected trade, but are saved as movements in the movement history of the selected trade.

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Using the Deal Input Dialog

The following table describes the Deal Input dialog:

Table 15-1 Deal Input dialog (Sheet 1 of 3)

Field Description

Accrued Interest Accrued interest calculated from the coupon date until today plus the number of days defining the settlement rule of the quotation market.

Accrued Interest Date

The calculation date of the accrued interest.

BO Remarks This is a free input cell for comments that are made by either the Middle or Back Office.

Broker Shows the name of the broker. The option shown in the drop-down list is made from all third parties that have been defined as brokers and who can operate on the defined market.

Broker Fees Shows the broker fees that are relative to the Broker. They are calculated automatically from information set in the broker fees window for third parties. The broker fees can be modified if you have the relevant access right.

Browse Opens the Reference Browser. This dialog allows you to search for the instrument you want to trade on.

Business Event Specifies the business event, for example, Purchase/Sale that is taking place. See the Back Office User Guide for the list of available business events.

Cancel Closes the window without accepting modifications.

Change Rate The Exchange rate. This value depends on the direction of the exchange. The exchange direction is defined in the drop-down list directly below this field. The maximum value of this field is 10,000,000.

Counterparty Shows the name of the counterparty. The list shown in the drop down list box is made from all third parties that have been defined as counterparties and who can operate on the market.

Counterparty fees Specify the counterparty fee here. This field is populated automatically based on the Counterparty definition. See the Administration Guide for more information.

Currency The name of the currency in which the payment is to be made in. From the drop-down menu, you can choose a currency different than the instrument one, in order to define a cross-currency trade.

If you select a currency other than the base currency, the Exchange Rate and Direction fields will appear below.

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Depositary Shows the name of the depositary. The list shown in the drop down list box is made up of the third parties that are defined as depositaries and can operate on the specified market.

The Depositary button beside this field displays additional information for each depositary in the loaded portfolios. For more information, see “Viewing Depository Details” on page 291.

Direction Select the direction of the currency exchange from the drop-down list, for example, EUR->USD or USD->EUR.

Entity Select the name of the entity for which the trade is being made.

PnL Date The date when the trade was entered into the system. This cannot be modified by the Front Office but can be by the Back Office where the original information is then saved into the audit.

Exchange Rate Displays the exchange rate for the currency exchange.

ex coupon Select this check box to enforce the ex-coupon date.

FO Remarks This is a free input cell for comments by the Front Office.

Folio The name of the folio to which you want to save the trade.

Income pane In this pane, the system displays information about the in/out income of the trade (receiving and paying leg for swaps, dividends for shares, coupons for bonds).

Gross Amount Shows the gross amount (without fees) for the trade.

Market Fees Shows the market fees are relative to the counterparty and depositary. They are calculated automatically from information set in the broker fees window for those third parties. The market fees can be modified if you have the right to do so.

Mode The following modes are available:• Real — The trade is real and all information is applied

to the P&L.• Simulation — The trade is simulated. No changes are

applied to the P&L.• Brokerage — The trade is real but only the fees are

applied to the P&L.

Name The name of the instrument, shown once the reference has been entered.

New Deal Accept Accepts the deal where it will then enter the Pending deals blotter for validation.

New Deal Pending Creates the new deal and adds it to the Pending list in the workflow.


Field Description

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Changing Currency

Changing the currency of the Amount pane, dynamically adds the following fields to the dialog:

• Price in — which you can set to one of the following:

- Price in underlying currency — Displays the price in the currency of the underlying

- Price in payment currency — Displays the price as specified in the currency drop-down list.

- Price in pence — Displays the price in pence.

Net Amount Shows the net amount (fees included) for the trade.

Nominal A field containing the nominal is displayed for instruments that have one. Such as Caps and Floors, Bonds and so on.

Operator This field is automatically set to the user who is creating the deal.

Price The transaction unit price for the instrument being bought or sold.

Price Type Select how the price should be set:• In amount• In rate• In percentage• Without accrued• In percentage with accrued• In XXX • Uncertain

Quantity The number of securities bought (positive) or sold (negative).

Reference Reference of the instrument that is being traded. This field can hold a maximum of 80 characters.

Settlement Date Payment date of the trade amount, automatically calculated using the settlement rules of the instrument market. This Value date can be modified.

Status Shows the status of the deal in relation to the Back Office. Further information on the status of a deal can be found in the Back Office User Guide.

Time Time (at the workstation) when the negotiation is made.

Trade Date Shows the date at which the trade was negotiated. It is possible to enter past or future trades. By default it shows the current date.


Field Description

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• Change rate — Exchange rate.• Currency direction, that is HKD/EUR, or EUR/HKD, for example. Changing

this alters the Change rate.

If you change the payment currency of a deal, and additional deal is created along with the original. The additional deal is called a Virtual Forex and allows the system to handle the change in currency. If the underlying’s currency is HKD and you change the payment currency to EUR, the Virtual Forex ticket is named HKD vs. EUR and is identical to the original ticket.

Viewing the Underlying

To view the underlying of the deal, hold down the Alt button and click on the deal in the Portfolio window. The instrument definition dialog is displayed.

Viewing Depository Details

The global preference TICKET_DEPOSITARIES_QUANTITIES determines the values for the selected depository in the Depository pop-up. The pop-up is displayed by clicking the Depository button in the Deal Input dialog.

There are six values that you can choose to display or hide in the Depositary pop-up:

• Position• Lent• Borrowed• CFD• Total• Excess borrows

The value of TICKET_DEPOSITARIES_QUANTITIES is an integer which represents a binary set of flags specifying which columns are displayed.

To set the global preference:

1 Determine which columns to display. The table uses a binary switch, that is, a value of 1 displays the column, a value of 0 hides the column. The bulleted list above reflects the order of the switches. For example, if you want to show only Position and CFD, the binary would be 100100.

Note: The values will display only if there is data available for the columns.

2 Convert the binary to an integer. You can use the Windows calculator to convert binaries to integers. In the example from step 1, 100100 is converted to 36.

3 Set TICKET_DEPOSITARIES_QUANTITIES to the appropriate value. In the example, this would be 36.

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The default value is 39, which RISQUE interprets as the binary 100111. This displays Position, Lent, Borrowed and Excess Borrows. To see all columns, the preference should equal binary 111111 = decimal 63.

Table 15-2 describes the columns that can be displayed in the Depositary pop-up.

For more information about global preferences, see the RISQUE Installation Guide.

Setting the Price Type

The Price Type drop-down list of the Deal Input dialog determines how several fields are expressed. The price type can be set to one of the following:

• In amount• In rate• In percentage• Without accrued

Table 15-2 Columns of the Depositary pop-up

Column Value

Lent Sum of quantities on stock loan and repo deals that have a negative quantity, and the underlying is the deal’s instrument

Borrowed Sum of quantities on stock loan and repo deals that have a positive quantity, and the underlying is the deal’s instrument.

CFD Sum of quantities on CFD deals where the underlying is the deal’s instrument.

Position Sum of quantities of deals on the current deal instrument in all loaded portfolios, excluding the quantity of the deal being edited.

Excess Borrows Position column + Borrowed column

Total Sum of all values displayed.

Total data is considered to be found if there are at least 2 columns of data found. If only Position and Borrowed quantities are present, Total is useful only if Excess Borrows does not have to be displayed. In that case Total = Excess Borrows.

Excess Borrows quantity is excluded in this total since it is already a sub-total. Lent quantity is counted negatively (when you select the Lent quantity in the menu, it is set as a negative quantity in the deal).

Even if it is not displayed, the Position value is always taken into account in the Total.

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• In percentage with accrued• In XXX• Uncertain

Depending on the instrument, the Price Type drop-down list affects the values displayed in the following fields of the Deal Input dialog:

• Price• Accrued Amount• Gross Amount

• Net Amount

In Amount

Setting the Price Type to In Amount determines the following behaviour for swaps and bonds:

• The Price field displays the dirty price.• The Accrued Amount field is set to 0.• The Gross Amount field is calculated as the quantity multiplied by the

price.• The Net Amount field is calculated as the gross amount plus the sum of

any fees.

In Rate

Setting the Price Type to In Rate determines the following behaviour:

• If the deal is on a credit default swap (CDS) or swap, the price is defined as a spread on the fixed leg of the swap.

• If the deal is on a bond or an asset backed security (ABS), the price is quoted as the YTM value.

In Percentage

Setting the Price Type to In Percentage determines the following behaviour for swaps and bonds:

• The Price field displays the clean price as a percentage of the nominal.• The Accrued Amount field is calculated as follows:

- If the ex coupon check box is selected, the accrued amount is calculated backwards from the last date of the current period to the trade date.

- If the ex coupon check box is not selected, the accrued amount is calculated from the start date of the current period to the trade date.

• The Gross Amount field is calculated as the quantity multiplied by the price plus the accrued amount.

• The Net Amount field is calculated as the gross amount plus the sum of any fees.

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Without Accrued

Setting the Price Type to Without Accrued determines the following behaviour for swaps and bonds:

• The Price field displays the clean price.• The Accrued Amount field is calculated as follows:

- If the ex coupon check box is selected, the accrued amount is calculated backwards from the last date of the current period to the trade date.

- If the ex coupon check box is not selected, the accrued amount is calculated from the start date of the current period to the trade date.

• The Gross Amount field is calculated as the quantity multiplied by the price plus the accrued amount.

• The Net Amount field is calculated as the gross amount plus the sum of any fees.

In Percentage With Accrued

Setting the Price Type to In Percentagte With Accrued determines the following behaviour for swaps and bonds:

• The Price field displays the dirty price as a percentage of the nominal.• The Accrued Amount field is set to 0.• The Gross Amount field is calculated as the nominal multiplied by the

price.• The Net Amount field is calculated as the gross amount plus the sum of

any fees.

In XXX

The In XXX price type only applies to deals on forex pairs. The Net Amount field is calculated using the quantity, price, and forex rate.

Uncertain

The Uncertain price type only applies to deals on forex pairs. This price type inverts the market way of the forex pair. As a result, the Net Amount field is calculated as the quantity mulitplied by the price and the inverted forex rate.

Business Events

This section describes the default business events. For information on defining new business events, see the Back Office User Guide.

Business Events are either:

• Driven manually, such as by a purchase.• Time driven, such as the expiration of an option.

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Table 15-3 Business Event descriptions. (Sheet 1 of 2)

Business Event Description

Purchase/Sale Default event used when purchasing an underlying.

Coupon Default event used when a dividend is due on a share.

Split Default event used when creating a split on shares.

Free Default event used when a free attribution is applied to a share.

Tax Credit Default event used when tax credit is applied to a share.

Currency Exchange done, for example for USD against EUR.

Commission Default event used for a cash movement

Balance Default event generated during the EOY procedure. Takes its quantity from the balance of all the movements realised for a position.

Exercise Default event used for the automatic ticket generated at the expiry or exercise of options and swaps.

Netting Obsolete.

Instr. Modif. Default event used to automatically create a ticket when the OTC underlying of a trade is modified. Quantity is always zero.

Margin Call Default event used for Stock Loans with margin calls. The amount applied to the ticket is the difference of the price introduced in the Price field of the Deal Input window and the last price of the underlying

Nominal Increase Default event created to represent the increase of nominal. Of particular relevance to Equity Swaps with model set to Increase Nominal and one leg of type Floating Index.

Commission Reversal Default event generated when running the EOY procedure. Can also be used to manually adjust a commission in the P&L.

Realised Reversal Default event generated when running the EOY procedure. Can also be used to adjust the value of the realised amount in the P&L.

Interest Reversal Default event generated when running the EOY procedure. Also used with Stock Loans.

Coupon Reversal Default event generated when running the EOY procedure.

Financing Reversal Default event generated when running the EOY procedure. Can also be used to adjust the value of the financing amount in the P&L.

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The type of Business Event shown in the Deal Input dialog depends on the instrument on which the deal is made.

For example, the following types of business event are available in a deal on a future:

• Purchase/Sale• Free• Currency• Commission• Commission Reversal

Movements

Double-clicking on an underlying in the portfolio opens the movement window for that underlying. The movement window contains all the trades made on that underlying.

The example in figure 15-3 shows one movement on a Convertible Bond called ConBond1Test. If more deals are made on this instrument, this window is populated with those deals.

You can view the details of each deal by double-clicking on the movement. This opens a read-only version of the Deal Input dialog.

Tax Credit Reversal Default event generated when running the EOY procedure. Can also be used to adjust the value of the Income amount in the P&L.

P&L Sold Default event generated when running the EOY procedure.

Nominal Decrease Default event created to represent the decrease of nominal. Of particular relevance to Equity Swaps with model set to Increase Nominal and one leg of type Floating Index.

Realised

Loan/Repo Commission

Loan/Repo Collateral

Loan/Repo Margin

Table 15-3 Business Event descriptions. (Sheet 2 of 2)

Business Event Description

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Figure 15-3 Movement window
Note: You can disable real-time updates of the movement history window by setting the RISKPREF preference, DisableRealTimeDealBlotter to 1.

Workflow

A default workflow system is shipped with this installation. If you do not have the Back Office, it is not possible to create your own customised workflow. The default workflow allows you to force your trades to move through a predefined cycle of editing before approval.

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Chapter 16 Corporate Actions

This chapter describes Corporate Actions. Adjustments or corporate actions enable you to take into account and to keep in your portfolio the different corporate actions on one share.

Corporate Actions are a type of adjustment you can perform on most instruments. The Corporate Actions menu is accessible from the Data menu.

The following are the adjustment types:

• Dividend and Tax Credit• Split of a Share• Free Attribution• Listed Split - Split of a Security• Listed Closing• Demerger• Merger• Right Demerger• Euro transition (Obsolete)• Renaming• Redemption• Old Tax Credit (Same as Tax Credit)

• Cash• Merger Average Price

Creating a Corporate Action

The Corporate Action menu is accessible when one of the Instrument List windows, such as the General List is open. To see a full list of Adjustments for that Instrument list, do not select any instrument in the List, and select Corporate Actions from the Data menu. To see the adjustments for a particular instrument, highlight the instrument and select Corporate Action from the Data menu.

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To create a Corporate Action, do the following:

1 Open the Corporate Action window for the instrument you want to adjust. The example below uses an instrument named Share1.

Figure 16-1 New adjustment window for Share1.

2 Create the corporate action by selecting File>New, or pressing Ctrl+n.

Figure 16-2 New Adjustment window.

3 You can enter the Corporate Action information directly in the Adjustment window, by clicking in each column you want to edit. Or you can open the Adjustment dialog, by double-clicking the date. The Adjustment dialog is displayed:

Figure 16-3 Adjustment dialog for Share1.

Each type of adjustment and their dialogs are described in the following sections.

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Important: As of version 5.2.2, the Market and Counterparty Fees are unavailable for all Corporate Actions, except Listed Closing. They have no bearing on the other types.

Corporate Action Types

It is possible to define Corporate Action Types in RISQUE. To do this, open the Corporate Action Types window from the Data menu.

Figure 16-4 Corporate Action Types window.

To create your own Corporate Action type, do the following:

1 Open the Corporate Action Types window.

2 Press Ctrl+n to create a new line.

3 Enter the following:

- Name of the Corporate Action- Adjustment type- Business Event 1 and 2. If you enter an asterisk (*) in one of these fields,

it is up to the user to apply a second Business Event, if required, when using the Corporate Action.

Note: The Type ID is generated automatically when the Corporate Action Type is saved.

Generating Corporate Actions

RISQUE generates corporate actions when forecasts are launched. You can also generate corporate actions without launching forecasts, as follows:

1 Select Generate Corporate Actions from the Portfolios menu.

The Generate Corporate Actions dialog, as shown in figure 16-5, is displayed.

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Figure 16-5 Generate Corporate Actions dialog

2 Click Since the last one to generate all corporate actions since the last generation of corporate actions or click Today only to generate only the corporate actions for the current day.

Automatic Tickets linked to Corporate Actions

Corporate actions are stored in the ADJUSTMENT table. Tickets are generated by adjustments that are marked off by the HISTOMVTS table. Corporate action tickets for dividends, or tax credit, are created on the record date according to the value specified in the global preference AutoDivid:

• 0 — nothing is generated.• 1 — tickets are generated only for stocks and bonds, but not for indexes. • 3 — generation for all bonds. Otherwise it is generated only for bonds that

are in the portfolio.

Corporate actions of the current date are executed again during the forecasts. Bond coupons and closings of listed bonds are also created.

Balance tickets are taken into account only if the global preference AdjustWithBalanceTicket has a value of 1. In this case, only balance tickets, and tickets with a negotiation date beyond the start of year, are taken into account. For each Corporate Action, the tickets are generated in the table MVT_AUTO and then compared with the exponent. If the generated tickets can not be matched with an exponent, the tickets are created, while existing tickets are set for deletion. The fields proposed for deletion are:

• sicovam• typsico• OPCVM• Cours• Quantité• Montant• Dateleg• Mvtident• Dateval• Deviseapy• Tauxchange• Datejouissance

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If there are references when compared to the previous Corporate Action or if the Corporate Action is new, potential modifications on derivative shares (for ex-division of the L&Bs nominal further to a split of a bond) are instigated. If the option key is selected while generating the Corporate Action, all former tickets are set for deletion and replaced by the new entries. The modification of securities are also proposed.

Dividend and Tax Credit

In Corporate Actions for dividends or tax credit, the dividend is assigned for the packages holding the share or the bond that detaches the Corporate Action. Only one level is generated: settings of settings enclosing the share are not generated.

The dividend to be entered is equal to the net dividend amount for an action. For a bond, the tax on the coupon defined in the bond market is taken into account.

The L&Bs are considered as short positions, and so, receive dividends and tax credits. Dividends are redistributed to the counterparty according to the Business Event ‘Commission’, if the Back Office module is not present, and according to the Business Event ‘Dividend Rebate’ if it is present. The Dividends are made at the value date with positions at value date only.

For Equity Swaps with immediate payment, dividends are generated per Corporate Action at the detachment date, using the ratio that is defined by the Cash Flow framing the Ex-Div Date. Until this date, the value of the dividend is included in the theoretical worth (between the Ex-DivDate and the Record Date). More generally, it is possible to overload the method GetDividendRatio with the Toolkit to define the redistributed amount.

Note: If the Corporate Actions window is open, a ticket creation icon is available on the top of the main window, allowing you to create automatic tickets directly, without launching the forecasts.

Dividend

You receive, or pay, the dividend amount specified in the Dividend field. The trade date of the dividend is specified in the Date field and the value date in the Payment field. The security position is calculated on the trade date or value date depending on the ownership parameter. The position is only taken into account if it falls before the date specified in the corporate action. The security positions are aggregated by position, by depositary and by entity, counterparty and broker are not taken into account. The depositary and the entity are filled in the automatic tickets. The depositary is referenced as the counterparty. The associated business event is ‘Coupon’ so that dividends appear as income P&L. The same results are generated as when you define dividends in the Share window and launch the forecasts, except that dividends are included in the pricing of share derivatives.

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Tax Credit

The Tax Credit and Dividend Adjustment dialogs are identical, except the Dividend field is changed dynamically to Tax Credit, when you select the Tax Credit adjustment type.

You receive, or pay, the tax credit amount specified in the Tax Credit field. The trade date of the tax credit is specified in the Date field and the value date in the Payment field. The security position is calculated on the trade date or value date depending on the ownership parameter. The position is only taken into account if it falls before the date specified in the corporate action. The security positions are aggregated by position, by depositary and by entity. Counterparty and broker are not taken into account. The depositary and the entity are filled in the automatic tickets. The depositary is referenced as the counterparty. The associated business event is Coupon, which means tax credits appear as income P&L. You have the same result as when you define tax credits in the Share window and launch the forecasts, except tax credits are not included in the pricing of share derivatives.

Figure 16-6 Dividends adjustment.

Table 16-1 Dividend Adjustment field descriptions.

Field Description

Date Date of creation of the corporate action

Dividend The amount of the dividend.

Currency Payment currency of the corporate action ticket

Business Event 1 & 2 The business event associated with this adjustment.

Payment Date Value date of the adjustment

Market Fees Market Fees for this adjustment.

Counterparty fees Counterparty Fees for this adjustment.

Currency Rate The rate of the specified currency.

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Split of a Share

For each equity position, you receive, or give, a quantity with a zero price so that your original quantity is multiplied by the Coefficient field and your P&L remains unchanged. The system also splits all characteristics of the share, such as dividend, volatility. Values in amount are divided by the Coefficient field of the split.

This applies to the share also. For options, the conversion ratio is multiplied but not the strike or quota. For baskets and packages, the share quantity is multiplied in the basket/package. Arbitrage, the proportion of share is multiplied in the arbitrage rule. The share position is calculated on the trade date. The position is only taken into account if it falls before the date specified in the corporate action. The depositary and the entity are filled in the automatic tickets. The depositary is referenced as the counterparty.

No modification takes place for listed options, see “Listed Split - Split of a Security” on page 308. If the coefficient of the split is less than 1, the principle is the same, the repartition between realized and unrealized P&L is changed. The associated business event is Split, therefore Splits appear as Purchase/Sale, with a zero price. This corporate action also generates tickets for dividends, tax credits, volatility, baskets, packages and arbitrage.

• In the case of dividends/tax credits, the new value replaces the existing value in the DIVIDENDE table.

• In the case of volatility, the new value replaces the existing value in the VOLAT_INFOS table.

• In the case of baskets/packages, the new composition replaces the existing value in the PANIER table.

• In the case of arbitrage, the new value replaces the existing value in the ARBITRAGE table.

Figure 16-7 Split adjustment.

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Note: The number of securities that you give or receive for the Spilt and Free Attribution corporate actions are handled by the field Conversion Ratio. In the event the number of securities is uneven the rounding rule is used as defined in the corporate action.

Free Attribution

You receive/give the number specified in the Coefficient field of free securities, by owned security: that is, the total number of received/given securities is equal to the position x the value specified in the coefficient field.

The Trade date of the attribution is specified in the Date field and the value date in the Payment field. The security position is calculated on the trade date or value date depending on the ownership parameter. The position is only taken into account if it falls before the date specified in the corporate action. The security positions are aggregated by position, by depositary and by entity - counterparty and broker are not taken into account. The depositary and the entity are filled in the automatic tickets. The depositary is referenced as the counterparty. The associated business event is ‘Free’, so free attributions appear as purchase/sale (with a zero price).

Table 16-2 Split Adjustment field descriptions.

Field Description


Coefficient

Conversion Ratio The ratio of the split. For example 2:1.



Counterparty Fees Counterparty Fees for this adjustment.


Rounding Method of rounding. Available methods are:

• Truncated• Upper• Rounded• Round. 4 digits.

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Figure 16-8 Free attribution adjustment.

Note: If a cash amount is specified you can choose to round down the amount. You then receive a cash rebate. If you round upwards then a cash amount must be paid for the value of the additional share(s) or part of share(s).

Note: The Free Attribution corporate action can be used to modify the derivative instruments that contain the security upon which the free attribution was performed. Such as the quantity in the composition of a basket or the conversion ratio in a stock derivative.

Note: It is possible to pay the remainder, any cash payment dependent on rounding, of a corporate action demerger in cash.

Table 16-3 Free Attribution Adjustment field descriptions.

Field Description


Coefficient


Conversion Ratio The conversion ratio.

Cash Cash payment for roundings remainders.





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Listed Split - Split of a Security

The system only deals with listed options, which refer to the share. You receive/give a certain quantity of listed options with a zero price so that your original quantity is multiplied by the 'coefficient' field. To keep your listed option P&L unchanged, you need to change either the strike or the quota. You must do this in the listed market menu of the share and once you have selected it, you can make the adjustment - available contracts section, middle icon.

The option position is calculated on the trade date. The position will only be taken into account if it falls before the date specified in the corporate action. The security positions are aggregated by position, by depositary and by entity - counterparty and broker are not taken into account. The depositary and the entity are filled in the automatic tickets. The depositary is referenced as the counterparty. When you adjust the listed option, it is reflected at the Adjustment date but the corporate action works on a position owned the day before the Date field. That is, you are not supposed to input any ticket with a trade date equal to Adjustment Date on the listed option, before its adjustment. The associated business event is Split, so listed splits appear as purchase/sale (with a zero price)

Figure 16-9 Listed Split adjustment



Cash Currency Currency cash is paid in.

Table 16-3 Free Attribution Adjustment field descriptions.

Field Description

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Listed Closing

Listed Closing simulates the maturity of listed options based on the security on which the corporate action is applied. The underlying closing price is specified in the 'coefficient' field. The maturity date is specified in 'date' field and value date in 'payment' field. A ticket is generated to close the option position. Depending on the payment method, the comparison strike/closing price and the nature of the option, the pay-off is paid if any. The option position is calculated on the trade date. The position will only be taken into account if it falls before the date specified in the corporate action. The security positions are aggregated by position, by depositary and by entity - counterparty and broker are not taken into account. The depositary and the entity are filled in the automatic tickets. The depositary is referenced by the counterparty.

This corporate action is applied when entered: it does not wait for the 'date' field. The associated business event is ‘Exercise’, so listed closings appear as purchase/sale (with zero price)

Figure 16-10 Listed Closing adjustment.

Table 16-4 Listed Split Adjustment field descriptions.

Field Description


Coefficient





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Demerger

You receive/give a number of new securities specified in the 'diffused code' field at the price specified in the 'coefficient' field, equal to the security position on which the corporate action is applied. Trade date of the demerger is specified in the 'date' field and value date in 'payment' field. The security position is calculated on the trade date or value date depending on the ownership parameter. The position will only be taken into account if it falls before the date specified in the corporate action. The security positions are aggregated by position, by depositary and by entity - counterparty and broker are not taken into account. Third party fields are not filled in the automatic tickets. The associated business event is ‘Exercise’, so demergers appear as purchase/sale (with a zero price).

Figure 16-11 Demerger adjustment

Table 16-5 Listed Closing Adjustment field descriptions.

Field Description


Settlement Settlement amount.

Business Event The business event associated with this adjustment.



Counterparty fees Counterparty Fees for this adjustment.


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Merger

You receive/give a number of new securities specified in the 'diffused code' field at the price specified in the 'coefficient' field instead of the security position on which the corporate action is applied. Trade date of the merger is specified in 'date' field and value date in 'payment' field. The system also merges the share included in baskets/packages. The security position is computed on trade date or value date depending on the ownership parameter. The position will only be taken into account if it falls before the date specified in the corporate action. The security positions are aggregated by position, by depositary and by entity - counterparty and broker are not taken into account. For automatic tickets which close the original position (security on which the corporate action is applied), The depositary and the entity are filled in the automatic tickets and the depositary is referenced as the counterparty. Third party fields are not filled in the automatic tickets of the new security. The associated business event is Exercise, so mergers appear as Purchase/Sale (with zero price) In case of baskets/packages, its new composition replaces the old one in the PANIER table.

Table 16-6 Demerger Adjustment field descriptions.

Field Description


Unit Price Price of the unit.











Cash Currency

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Figure 16-12 Merger adjustment.

You have three options for a Merger/Take-Over:

• Quantity Share A -> Quantity Share B • Quantity Share A -> Cash • Quantity Share A -> Quantity Share B + Cash

Table 16-7 describes the fields of the Merger Adjustment dialog.

Table 16-7 Merger Adjustment field descriptions.

Field Description


Spot Defines the price of tickets.


Conversion Ratio Allows you to define the quantities.



Takeover Specify the institution taken over.





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Right Demerger

You receive/give a number of new securities specified in the 'diffused code' field at the price specified in the 'coefficient' field equal to the security position on which the corporate action is applied. Trade date of the demerger is specified in 'date' field and value date in 'payment' field. The security position is computed on trade date or value date depending on the ownership parameter. The position will only be taken into account if it falls before the date specified in the corporate action. The security positions are aggregated by position, by depositary and by entity - counterparty and broker are not taken into account. Third party fields are not filled in the automatic tickets. The associated business event is Exercise so right demergers appear as purchase/sale (with zero price).

Figure 16-13 Right Demerger adjustment.



Cash Currency Specify the cash of the corporate action in a particular currency.

Table 16-7 Merger Adjustment field descriptions.

Field Description

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Renaming

This allows you to modify the nominal in the name of the bond - that is, in its definition - to the 'coefficient' field. In addition to this, for each bond position, you receive/give a certain quantity with a zero price to keep unchanged your total bond nominal amount and your P&L. The bond position is computed on trade date. The position will only be taken into account if it falls before the date specified in the corporate action. The bond position is done by depositary and by entity - counterparty and broker are not taken into account. The depositary and the entity are filled in the automatic tickets. The depositary becomes also the counterparty. The associated business event is split so renamings appear as purchase/sale (with zero price).

Table 16-8 Right Demerger Adjustment field descriptions.

Field Description


Unit Price Price per unit.





Diffused Code







Cash Currency Currency of the cash payment.

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Figure 16-14 Renaming adjustment.

Table 16-9 Renaming Adjustment field descriptions.

Field Description


New Nominal The new nominal.





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Redemption

This corporate action allows you to redeem a bond.

Figure 16-15 Redemption adjustment.

Table 16-10 Redemption Adjustment field descriptions.

Field Description


Redemption The amount of the redemption.

Business Event Business Event of the Corporate Action





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Figure 16-16 Cash adjustment.

Table 16-11 Cash Adjustment field descriptions.

Field Description


Dividend


Business Event The business event associated with this adjustment.





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Merger Average Price

When the forecasts are launched, this corporate action creates the following three electronic tickets:

• one that closes the position at the average price• one that opens the position at the average price, fixed by the conversion

ratio• one for the cash of the deal

Residue is closed at the average price and the difference between the take over price and the average price is added to the cash ticket. The business event specified in the Business Event 1 drop down list is used for the first two tickets. The business event specified in the Business Event 2 drop down list is used for the last ticket.

Technical Considerations

This section describes the database modifications and other technical considerations of Corporate Actions.

Dividend Technical considerations

The corporate action is stored in the AJUSTEMENTS table. Its ID is stored in the REFCON field and comes from the SEQAJUST sequence.

When the generated main automatic tickets linked to that corporate action are transmitted, they are inserted in the HISTOMVTS table with an audit trail in the table AUDIT_MVT. In the CREATION field of the table HISTOMVTS, 1 means Automatic.

The AJUSTEMENT field of HISTOMVTS table is filled in with the ID of the corporate action.

Split Technical Considerations


Once the generated main automatic tickets linked to that corporate action are transmitted, they are inserted in the HISTOMVTS table with an audit trail in the AUDIT_MVT table. In the CREATION field of the table HISTOMVTS, 1 means Automatic.

The AJUSTEMENT field of the HISTOMVTS table is filled in with the ID of the corporate action.

In the case of dividends/tax credits, its new value replaces the existing one in the DIVIDENDE table. However, all date is recorded in the audit of the share:

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Table INFOS_HISTO

As market tables can be chosen by the user, the default DIVIDENDE table is actually defined by the TYPE_TABLE field = 2 for Dividend and the NOM_TABLE field (contains the chosen user value) - displayed in the audit of the instrument.

In the case of volatility, its new value replaces the old one in the VOLAT_INFOS table. But everything is kept in the audit of the share:

Table INFOS_HISTO

As market tables can be chosen by the user, the default VOLAT_INFOS table is actually defined by the TYPE_TABLE field = 1 for Volatility and the NOM_TABLE field (contains the chosen user value) - displayed in the audit of the instrument.

In case of baskets/packages, its new composition replaces the old one in the PANIER table. But everything is kept in the audit of the basket/package:

Table INFOS_HISTO

Table 16-12

Field Description

SICOVAM Filled with the ID of the share

MODIF Filled with the type of modification (4 signifies a Split)

NEW_SICOVAM Filled with a virtual id of the share, which references its previous version so that its old dividend/tax credit table is stored in DIVIDENDE table with that SICOVAM.

Table 16-13

Field Description

SICOVAM Filled with the ID of the share


NEW_SICOVAM Filled with a virtual id of the share, which references its previous version so that its old volatility is stored in the VOLAT_INFOS table with that SICOVAM,

Table 16-14

Field Description

SICOVAM Filled with the ID of the basket/package

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Table TITRES_HISTO

The previous version of the basket/package is stored under the virtual id. In the case of arbitrage, its new value replaces the existing one in the ARBITRAGE table.

Free Attribution Technical Considerations




Tax Credit Technical Considerations




Demerger Technical Considerations




NEW_SICOVAM Filled with a virtual id of the basket/package, which references its previous version so that its old composition is stored in the PANIER table with that SICOVAM.

Table 16-14

Field Description

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The REFERENCE field of the HISTOMVTS table is filled in with the REFCON field equal to - 1.

Merger Technical Considerations


Once the generated main automatic tickets linked to that corporate action are transmitted, they are inserted in the HISTOMVTS table with an audit trail in the AUDIT_MVT table, In the CREATION field of the table HISTOMVTS, 1 means Automatic.


The REFERENCE field of the HISTOMVTS table is filled in with the reference id (the REFCON field) of the linked ticket (reference of the position ticket in new/old security for the position ticket in old/new security).

In case of baskets/packages, its new composition replaces the old one in the PANIER table. But everything is kept in the audit of the basket/package:

Table INFOS_HISTO

The PANIER table is not a market table. So, TYPE_TABLE field = 7 for Clause and NOM_TABLE field = titres - displayed in the audit of the instrument.

Table TITRES_HISTO

The previous version of the basket/package is stored under the virtual id.

Table 16-15

Field Description

SICOVAM Filled with the ID of the basket/package

MODIF Filled with the type of modification (4 stands for Split)

NEW_SICOVAM Filled with a virtual id of the basket/package, which references its previous version so that its old composition is stored in the PANIER table with that SICOVAM

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Right Demerger Technical Considerations

The Corporate Action is stored in the AJUSTEMENTS table. The Corporate Action’s ID is generated by the SEQAJUST sequence and is stored in the REFCON field.



The REFERENCE field of the HISTOMVTS table is filled in with the REFCON field - 1.

Renaming Technical Considerations

The corporate action is stored the AJUSTEMENTS table. The Corporate Action’s ID is generated by the SEQAJUST sequence and is stored in the REFCON field.


The ID of the corporate action is entered in the AJUSTEMENT field of the HISTOMVTS table and the value of the nominal is updated in the NOMINAL field of the TITRES table.

Listed Split Technical Considerations

The corporate action is stored in the AJUSTEMENTS table. The Corporate Action’s ID is generated by the SEQAJUST sequence and is stored in the REFCON field. After the generated automatic tickets linked to that corporate action are transmitted, they are inserted in the HISTOMVTS table with an audit trail in the AUDIT_MVT table. In the CREATION field of the table HISTOMVTS, 1 means Automatic.

The ID of the corporate action is entered in the AJUSTEMENT field of the HISTOMVTS table.

Listed Closing Technical Considerations

The corporate action is stored in the AJUSTEMENTS table and the ID of the Corporate Action is stored in the REFCON field. The ID comes from the SEQAJUST sequence.

After the generated main automatic tickets linked to that corporate action are transmitted, they are inserted in the HISTOMVTS table with an audit trail in the AUDIT_MVT table. In the CREATION field of the table HISTOMVTS, 1 means Automatic.

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The ID of the corporate action is entered in the AJUSTEMENT field of the HISTOMVTS table.

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Chapter 17 Deals on Cash Instruments

This chapter describes the processes involved in making deals on cash instruments in the portfolio. This is described in the following sections:

• “Shares” on page 325• “Bonds” on page 326• “Baskets” on page 332• “Commissions” on page 334• “Blocking a Security” on page 335• “Crossings” on page 336

Shares

This section describes deals on shares.

Booking a deal on share is done using the standard Deal Input window, see “Creating Deals” on page 285 for more information on this window.

You can open this window in one of the following ways:

• By dragging and dropping the share you want to trade into the portfolio.• Using the Security option of the Tickets menu in the Portfolio window.

Complete the following steps to create a deal on a security:

1 Click the Tickets button and select Security.

The Deal Input window is displayed, as shown in figure 17-1.

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Figure 17-1 Deal Input window

If you want to create a new deal based on an existing deal, select the deal then select Security from the Tickets menu. Only the reference and specified currency from the existing deal is used in the new deal.

2 Complete the fields as described in “Using the Deal Input Dialog” on page 288.

Automatic Tickets

Automatic tickets are generated for dividends with the Business Event of Coupon. To receive a dividend, the share must be purchased before the ex-div date specified in the instrument.

Bonds

To create a deal on a bond, do one of the following:

• Drag and drop a bond from the Bonds list window into the relevant portfolio in the Portfolio window.

• Choose Security from the Ticket toolbar menu and enter the bond reference in the Reference field.

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The Deal Input dialog for a bond is shown in figure 17-2.

Figure 17-2 New Deal on Bond

The Deal Input window displays the same fields as deals on other cash instruments. The following fields, however, displays data that is specific to deals on bond instruments:

• Next Coupon — the value of the next coupon in the redemption schedule. This is displayed for the receiving leg of the bond.

• Coupon Rate — the interest rate used to calculate the next coupon. This is displayed for the receiving leg of the bond.

• Interest in Days — the number of days for which the accrued interest is calculated from the start of the current coupon. This is displayed for the receiving leg of the bond.

• Accrued Amount — the accrued interest amount from the last coupon to the current date. This is calculated as the accrued amount percentage multiplied by the notional. This is displayed for the receiving leg of the bond.

• Accrued Interest — the accrued interest, as a percentage, from the last coupon to the current date.

• Accrued Interest Date — the date on which the accrued interest was calculated. This is set to the payment date of the deal by default.

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Automatic Tickets

Automatic tickets are generated for each type of bond for their redemption table. These are described in the following sections:

• “Fixed Bonds” on page 328• “Fixed Bonds with Amortising” on page 328• “Floating Bonds” on page 329• “Partial Redemption Bonds” on page 329• “Fixed to Float Bonds” on page 329

Important: Tickets for deals on bond instruments are generated according to the corporate action defined for bonds. To transmit tickets for all bond tickets, you must transmit tickets for the corporate action. This transmits all bond tickets.

To generate individual bond tickets, you must validate the corporate action and then send the bond ticket individually.

Fixed Bonds

Tickets are generated for fixed bonds as follows:

• A coupon ticket is generated for each cash flow in the redemption table on the cash flow’s payment date. The amount of the ticket is the amount in the Coupon column on the Redemption tab of the Bond dialog.

• An expiry ticket is generated at the maturity date of the bond. This ticket closes the position and its amount is the notional of the bond.

Fixed Bonds with Amortising

Tickets for fixed bonds with amortising, also known as sinkable bonds, are generated in the same way as fixed bond tickets. However, because these bonds also include the partial redemption of the notional, the following ticket is also generated:

• A partial redemption ticket is generated on the payment date of cash flows that have a partial redemption of the notional. The amount of the ticket is equal to the partial redemption amount. The partial redemption amount is calculated according to the Number of Redemptions fields on the Amortizing tab of the Bond dialog. The amount of coupon tickets after partial redemptions is calculated based on the remaining notional amount.Note: The expiry ticket that is generated for a partial redemption bond

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includes the remaining notional amount of the bond.

Partial Redemption Bonds

Tickets for fixed bonds with partial redemptions, are generated in the same way as fixed bond tickets. The following ticket is also generated:

• A partial redemption ticket is generated on the payment date of cash flows that have a partial redemption of the notional. The amount of the ticket is equal to the partial redemption amount.The partial redemption ticket amount is the amount of the Redemption column on the Redemptions tab of the Bond dialog.Note: The expiry ticket that is generated for a partial redemption bond includes the remaining notional amount of the bond.

Floating Bonds

Tickets are generated for floating bonds as follows:

• A fixing ticket is generated at the either the start date of the cash flow or the fixing date if it has been changed from the cash flow start date. The fixing rate of this ticket is blank and you must define the fixing rate to be used to calculate the coupon ticket.

• A coupon ticket is generated for each cash flow in the redemption table on the cash flow’s payment date. The amount of the ticket is the notional amount of the bond multiplied by the fixing rate defined in the fixing ticket.


Fixed to Float Bonds

Tickets are generated for fixed to floating bonds as follows:

• A coupon ticket is generated for each fixed rate cash flow according to the redemption schedule.

• A fixing ticket is generated on the start date of the first floating rate cash flow. The fixing rate of this ticket is blank and you must define the fixing rate to be used to calculate the coupon ticket. A fixing ticket is generated at the start of each subsequent floating rate cash flow.

• A coupon ticket is generated for each floating rate cash flow according to the redemption table. The amount of the ticket is the notional amount of the bond multiplied by the fixing rate defined in the fixing ticket.


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ABS Bonds

Booking a deal on an ABS bond is the same as booking other bond deals, with the exception that the pool factor is included in the nominal amount of the deal.

To create a deal on an ABS bond, do the following steps:

1 Start the deal in one of the following ways:

- Drag and drop a bond from the ABS Bonds list window into the relevant portfolio in the Portfolio window.

- Select the portfolio for the deal and press Ctrl + n.- Select the portfolio for the deal and click New from the File menu.- Choose Security from the Ticket toolbar menu and enter the ABS bond

reference in the Reference field.

The Deal Input dialog is displayed, as shown in figure 17-3

Figure 17-3 ABS Deal Input Window

2 Enter the number of bonds in the Quantity field. For an explanation of the field relevant to ABS bonds, see “Deal Input Dialog for ABS Bonds” on page 331.

3 Book the deal. The deal is booked with the pool factor taken into account.

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Deal Input Dialog for ABS Bonds

For ABS bonds, the Nominal and Floating Nominal fields are populated based on the quantity entered. The Nominal field is populated by the quantity x notional of the ABS bond. The Floating Nominal field is the quantity x notional x pool factor at the trade date.

The text fields to the right of the Nominal and Floating Nominal fields reflect the pool factor and pool factor date of the ABS that are applicable on the trade date. The pool factor date is the date that the pool factor displayed is applicable from.

The Gross Amount field is calculated as follows:

(quantity x price x floating notional) + accrued

The Net Amount field is calculated as follows:

gross amount + fees

As with a deal on any bond, the accrued coupon information relative to the trade date is listed in the bottom left-hand corner of the Deal Input window. For a full explanation of these fields, see “Bonds” on page 326.

Automatic Tickets for ABS Bonds

At each end date of an ABS flow, an automatic ticket for the coupon is generated. This corresponds to the amount in the Coupon column in the underlying’s Explanation tab.

An additional automatic ticket is created when an adjustment is made to the pool factor. The amount paid in the ticket corresponds to the ABS Flow column of the Redemption tab.

For example, an ABS with a notional of €1,000,000, a net coupon of €49, 863. 39 and a pool factor of 0.95 creates two tickets, one with a Coupon business event and one with an ABS Repayment business event, as shown in figure 17-4:

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Figure 17-4 Automatic Ticket Window

The Coupon ticket reflects the coupon and the ABS Repayment ticket reflects the 5% reduction in the notional.

Baskets

Manually Creating a Deal

To manually create a deal on an existing basket, drag and drop the required basket from the Indexes and Baskets menu to the required portfolio.

The Deal Input window for baskets differs from the standard Deal Input window, as shown in figure 17-5.

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Figure 17-5 New basket deal input window

The basket shown in figure 17-5 contains two shares. It is possible to add deals to the basket using the icons shown in table 17-1.

Movements

There are two kinds of movement window associated with baskets. The standard one, available from the portfolio and another, internal to the Add Basket window.

To view movements on the various deals in the basket, double-click on an entry in the basket. This opens the Movement window:

Table 17-1 Add deal icons

Icon Description

Add another deal to the basket. This opens the Deal Input window, allowing you to add another deal to the basket.

Create crossing deal. This creates a deal in the basket, but also creates a deal for the negative amount of that specified in the basket.

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Figure 17-6 Movement window

This window allows you to create new deals on the components of the basket. The quantity shown in the main basket window is the sum of the quantities of the deals made in this window.

New deals added to the basket as the deal is created are marked in red. It is also possible to remove deals from the basket. If you specify a zero quantity for a particular component of the basket, it is marked with a red strike-through.

Basket Ticket Method

This section describes how to create a deal on a basket using the Ticket menu.

Complete the following steps to capture a movement on a basket transaction:

1 Click the Tickets button and select Basket from the menu.

The Add Basket window is displayed.

2 Enter the reference of the basket.

3 To create a new deal on a stock, select a stock in the Add basket window, then click the Create deal button.

The Deal Input window is displayed.

4 To create a cross on a stock, select a stock in the Add basket window, then click the Create crossing deal button.


See “Crossings” on page 336 for further detail.

Commissions

This section describes how to book a commission.

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Note: Commissions only appear in closed positions.

1 Select Cash Movement from the pop-up menu. The following window is displayed:

Figure 17-7 New Commission

2 Enter the following:

- The reference for the commission- The negotiation date- The value date- The amount (which will be taken into account in the income value in a

result calculation)- The counterparty- Any remarks


Blocking a Security

This section describes how to block a security.

You block a security to indicate in the portfolio that part or all of the securities should not be sold. A blocking is used as an indicator, it is not enforced. It is possible to sell blocked securities.

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Complete the following steps to block a security:

1 Select a security. Select Blocking from the Tickets menu. This displays the Securities Lock-in window:

Figure 17-8 Securities Lock-in window

2 Enter appropriate values in the text boxes.

3 Click OK.

This blocks the number of securities specified in the Number of Securities field.

This also means that the amount of information available in the movement window decreases and can no longer be configured. That is, you cannot add, or remove columns from Movement windows of folders containing a Security Blocking.

Crossings

This section describes how to create a crossing on two sub-portfolios.

1 In the Portfolio toolbar, select Crossing from the Tickets menu.

2 Enter the ticket as a standard security ticket.

3 In the ticket deal, specify the target folder in the Folder pop-up menu.

The ‘mirror’ ticket is generated in this folder (same characteristics except for the transaction direction). The drop-down list shows all folios in the portfolio in a hierarchical method with the specific folder on the left instead of on the right.

The same process can be applied to a basket transaction using the Basket Crossing sub-menu.

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Chapter 18 Deals on Swaps

This chapter describes deals on swaps. the following topics are described:

• “Asset Swaps” on page 337• “Total Return Swaps” on page 338• “Basket Swaps” on page 341• “Automatic Tickets for Swaps” on page 346• “Payment Definitions” on page 348

Asset Swaps

Bond Maturity

If a bond matures before the maturity of the swap:

• Its last coupon is calculated by applying this floating rate (+ the spread) to the notional of the bond, capitalized between the maturity of this bond and the maturity of the swap.

If a bond matures after the maturity of the swap:

• The last coupon is the accrued coupon of this bond calculated at its maturity date.

• If ‘Stop if Default’ is ticked, the Asset Leg is credit risky. Its value depends on the credit risk data of each bond.

• If one of the bonds has no credit risk parameters defined, or if it is not priced with the ‘CDS Pricing’ model, it is considered credit insensitive.

• The difference between a Total Return Swap and an Asset Swap is that, in Total Return Swaps, the asset leg is credit risky. In Asset Swaps, it is credit insensitive. An asset swap is composed of an asset leg and an interest rate leg (fixed rate or floating rate leg).

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Total Return Swaps

In RISQUE, a total return swap (TRS) is created by setting the Paying leg payoff (interest leg) to either Fixed or Floating and by setting the Receiving leg payoff (asset leg) to either Floating Asset (Notional Reset) or Fixed Asset (No Notional reset).

Creating a Deal on a Total Return Swap

1 In the Root window, select the relevant, loaded portfolio.

2 Press Ctrl + n. The Deal Input dialog is displayed as shown in figure 18-1. In the Reference field, enter the reference code of the total return swap on which you want to book a deal.

Note: You can also create a deal by dragging and dropping a total return swap from the instruments list into a loaded portfolio.

Table 18-1 Total return swaps leg payoff options.

Receiving leg payoff (Asset leg) Paying leg payoff (Interest leg)

Fixed Asset (No Notional Reset) Floating

Fixed Asset (No Notional Reset) Fixed

Floating Asset (Notional Reset) Floating

Floating Asset (Notional Reset) Fixed

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Figure 18-1 Deal Input dialog

3 Complete required the fields on the Deal Input dialog. The Reference and Price Type fields are predefined by underlying.

4 Click the New deal pending button. The Deal Input dialog closes.

Booking a Deal on TRS

1 In the portfolio, double-click the relevant total return swap. The Movements dialog displays as shown in figure 18-2.

Figure 18-2 Movements dialog

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2 Double-click on a movement in the Movements dialog, the Deal Input dialog displays. The buttons for accepting or refusing a deal are described in Table 18-2.

Payment Tickets


• If the ticket is in the first leg, the sign of the quantity in the ticket is the same as the position sign.

• If the ticket is in the second leg, the sign of the quantity in the ticket is the opposite of the position sign.

• The spot type is always ‘Amount’. The spot is calculated as follows:Quantity * Spot * Quotity = AMOUNT.Note: The payments for swaps are displayed in the Alert Book (available from the Portfolios menu) along with the fixing date for the floating index.

Dividends on Total Return Swaps

It is possible for an equity swap to pay dividends within a predefined number of days. This can be done by opening the Advanced tab in TRS dialog, and selecting the Immediate option button. This allows you to specify a number of days, after which the dividend is paid. If you leave the date blank, the dividend is paid immediately.

Table 18-2 Deal Input dialog buttons

Button Explanation/Status

FO Modify Deal not yet accepted by front office. Status changes to FO Pending

FO Accept Deal accepted by the front office. Status changes to Checked FO

Note: The deal is not accepted until the BO accept the deal.

BO refuse in pending deal Deal not accepted by back office. Changes the status to Checked FO/Refused BO

FO Cancel Changes made by BO not accepted by FO. Status changes to Checked BO/Cancelled FO

BO Accept Deal accepted by back office. Status changes to Checked FO/Checked BO

New deal accept The deal has been accepted.

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Basket Swaps

A basket swap is a total return swap whose underlying is a multi-currency share basket. To create a basket swap, both the asset leg and interest rate leg must be set as floating. Table 18-3 describes the basket-swap, leg-payoff options.

The underlying assets of a basket swap can be made up of a combination of multi-currency shares. You can add other instruments to the basket but these instruments will not be included in the calculations of the basket.

For further information on how to create a basket swap, see the RISQUE Instrument Reference Guide.

Booking a Deal on a Basket Swap

You can book a deal, on the basket, from the Deals tab of the Swaps dialog. To book a deal on a basket swap do the following:

1 Click Book in the Deals tab.

The Basket Swap Booking dialog is displayed, as shown in figure 18-3.

Table 18-3 Total Return Swaps Leg Payoff Options.

Receiving leg payoff (Asset leg) Paying leg payoff (Interest leg)

Floating Asset (Notional Reset) Floating

Floating Floating Asset (Notional Reset)

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Figure 18-3 Basket Swap Booking dialog.

2 Complete the fields as required. The fields of the Basket Swap Booking dialog are described in table 18-4.

3 Click the relevant workflow button.

The Basket Swap Booking dialog closes and a new deal is displayed in the Deal tab.

Table 18-4 Elements of the Basket Swap Booking Dialog (Sheet 1 of 2)

Name Description

Reference The reference of the total return swap. This field is filled automatically by RISQUE.

Name The name of the total return swap. This field is filled automatically by RISQUE.

Nominal The nominal value of the total return swap. This field is filled automatically by RISQUE.

Sign The sign of the deal. Changing the sign switches the legs in the deal.

The possible values are as follows:• Buy• Sell

Spread The spread of the swap plus the floating rate.

Trade Date The date you want the deal to take place.

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Payment Date The payment date of the deal with payment gap included.

Maturity Date The maturity date of the total return swap. This field is automatically filled.

Portfolio The name and code of the portfolio where the deal is being booked.

FO Remarks Additional information and remarks from the front office.

BO Remarks Additional information and remarks from the front office.

Entity The name of the entity for which the trade is being made.

Counterparty The name of the counterparty. The list shown in the drop-down list is made from all third parties that have been defined as counterparties and who can operate on the market.

Upfront Fees The upfront fees of the swap in the predefined total return swap currency.

Depositary The name of the depositary. The list shown in the drop-down list box is made up of the third parties that are defined as depositaries and can operate on the specified market.

Ticket ID The ID of the deal ticket . This field is filled automatically.

Business Event The business event associated with the deal. You can select the relevant business event from the drop-down menu, the value is automatically set to Purchase/Sale. For further information see “Business Events for Basket Adjustment Coupons” on page 344.

Workflow status and buttons

The back-office workflow buttons and status.

Table 18-4 Elements of the Basket Swap Booking Dialog (Sheet 2 of 2)

Name Description

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Business Events for Basket Adjustment Coupons

Each time a basket or its positions are modified and then validated, a modification coupon is automatically generated. To configure the basket adjustment business event, do the following:

1 Select Parameters from the BO Kernel menu. The Back Office Parameters dialog is displayed as shown in figure 18-4.

Figure 18-4 Back Office Parameters

2 Select a value from the TRS Basket Adjustment drop-down menu. Setting this parameter ensures that a coupon is automatically generated for each position each time a basket is adjusted.

3 Select a value from the TRS Spread and Fees drop-down menu. Setting this parameter ensures that a coupon is automatically generated each time the spread is modified on a basket’s position.

4 Select Purchase/Sale from the Initialisation drop-down menu. Setting this parameter automatically sets the business event of tickets generated on basket swaps to Purchase/Sale. You can change this parameter manually from the Basket Creation dialog.

5 Click OK to save your changes.

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Basket Adjustment Ticket

Each time a basket is adjusted or the spread is modified, a basket adjustment ticket is generated for each position on the basket swap.

To view the changes made to a specific position, do the following:

1 Double-click on the position in its portfolio folder.

The Movements window is displayed.

2 Double-click the Basket Adjustment movement. The TRS Basket Adjustment dialog is displayed as shown in figure 18-5.

Table 18-4 describes the elements of the TRS Basket Adjustment dialog.

3 Click the relevant workflow button.

Figure 18-5 TRS Basket Adjustment dialog.

Table 18-5 Elements of the TRS Basket Adjustment Dialog

Name Description

Business Event The business event of the spread modification or basket adjustment.

Reference The reference of the total return swap. This field is filled automatically by RISQUE.

Name The name of the total return swap. This field is filled automatically by RISQUE.

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EQUITY_SWAP_FINAL

This preference allows you two ways to deal with the payment and end dates of Equity Swaps with an Equity Leg frequency set to Final.

• If EQUITY_SWAP_FINAL = 0 — The Cash Flow Payment Date the same as that specified in the Swap End date field. If you specify a Payment offset, the End date is equal to the Payment Date minus the specified offset.For example, if the specified End Date is 01/07/2005 and the Payment Offset is set to 2 days, the Payment date is taken as 01/07/2005 while the End Date is set to 29/06/2005.

• If EQUITY_SWAP_FINAL = 1 — The Cash Flow End Date the same as that specified in the Swap End date field. If you specify a Payment offset, the Cash Flow Payment date is equal to the Cash flow end Date plus the specified offset.

Automatic Tickets for Swaps

A coupon is generated for the cash flow of each leg. For a fixed leg, the coupon is generated if the swap is not in a package, and with the Back Office module, the day after cash flow departure. Without Back Office, it will be the end day of the cash flow. If it is in a package with the Back Office module, it depends on the package market.

Adjustment Type The fees adjustment type. This value is set in the Basket Adjustment dialog.

Spread The new spread of the total return swap. This value is defined in the Basket Adjustment dialog.

Upfront Fees The upfront fees defined in the Basket Adjustment dialog.

Trade date The date of the spread adjustment, typically today.

Value date Modification date calculated as the trade date plus any specified payment gap.

Workflow status and buttons

The back-office workflow buttons and status.

Table 18-5 Elements of the TRS Basket Adjustment Dialog

Name Description

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Floating rate

An automatic ticket is generated in advance after the start date of the debt instrument, and according to the Coupon Generation Shift specified in the instrument market, if the swap is in a package.

Fixing tickets for the floating leg are generated on the fixing date, using the fixing date of the GetDate method rate. This is the Start Date of the swap cash flow, minus the settlement lag of the interest rate, using the calendar of the interest rate. The default value is ‘0’.

Floating leg fixing tickets are not generated in the following circumstances:

• If the interest rate has a Last price for this date• If the fixing rate is defined in the cash flow• If the interest rate used is EONIA.

When validated, the fixing ticket updates the interest rate history, if the cash flow has not been modified. Otherwise, it populates the fixing rate in the cash flow.

Note: When the ‘Interpolated Rate’ or ‘London Interpolated Rate’ model is used, two fixings appear, if it is a broken date.

These fixings are saved either in the floating leg itself, if its schedule has been modified, or in the historical record of the rate.

Equity leg

The payment of the performance, and the dividends of the period in ex-div, are generated, if those dividends are paid at the end of the period. If those are generated immediately, they are generated by the Corporate Action dividend. The dividend ratio percentage applies to the gross dividend. The gross dividend is defined in the dividend table, without any tax rebate.

Furthermore, for equity legs, the amount can be overloaded with the CSRSwap::GetTicketCoupon method. A fixing is generated at the beginning date of each leg and is stored in the basis field of the cash flow. In the case of a swap compo, the fixing is the product of the fixing of the equity and the exchange rate between the leg currency and the swap currency.

Payment Tickets


• If the ticket is in the first leg, the sign of the quantity in the ticket is the same as the position sign

• If the ticket is in the second leg, the sign of the quantity in the ticket is the opposite of the position sign

• The spot type is always ‘Amount’. • The spot is calculated as follows: Quantity * Spot * Quotity = AMOUNT.

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The payments for swaps are displayed in the Alert Book (available from the Portfolios menu) along with the fixing date for the floating index.

Payment Definitions

Table 18-6 Payment definitions. (Sheet 1 of 2)

Payments With Back Office Module Without Back Office Module

Payment for Floating Leg

For Swaps booked individually:• trading date = final date of the

cash flow• value date = payment date

When the amount is known, for example, after the fixing date for a Libor, the generation date is after the start date.

The business event is that defined in the Back Office Parameters window.

Generated on the trade date, with:• trading date = final date of the

cash flow• value date = payment date.

The business event is always ‘Coupon’.

Payment for fixed leg

The same conditions apply - the difference is that the amount is always known.

The same conditions apply - the difference is that the amount is always known.

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Payment for equity

Generated on the trade date, with:• trading date = final date + 1

(without any calendar) of the cash flow

• value date = payment date.


Generated on the trade date, with:• trading date = final date + 1



The business event is always ‘Coupon’.

Payment for dividend equity rebate with differed payment

Generated on trade date, with:• trading date = final date + 1




Generated on trade date, with:• trading date = final date + 1



The business event is always ‘Commission’.

Payment for dividend equity rebate with no differed payments

Generated with the corporate action on the record date.

Generated with the corporate action on the record date.

Table 18-6 Payment definitions. (Sheet 2 of 2)

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Chapter 19 Deals on Stock Loans

This chapter provides instructions for booking stock loans.

The methods that are available for booking stock loans depend on the setting of a global preference that enables or disables the Advanced Stock Loan (ASL) module. These methods are described in this chapter and table 19-1 summarises the methods and their availability for use.

In the portfolios, stock loans can be assessed as marked-to-market or as a discount, according to the options in the P&L tab within the Preferences window.

Reporting must be run to calculate the commission fees, interest on collateral and margin calls amounts. Each month, three automatic tickets are generated for the entity, counterparty, and depositary, during the forecast:

• The commission - entity• The margin call - counterparty• The interest on collateral - depositary

You must run the forecast and margin call at least once a month for the calculations to be correct. You must also run reporting when a ticket has been validated.

Table 19-1 Availability of specific functionality.

Method Available with ASL

Available without ASL

Select stock loan instrument from Deal Input window.

No Yes

Drag and drop a stock loan instrument to a portfolio.

No Yes

Select the Security loan and Repo option in the Tickets menu.

Yes Yes

Select the Lending and Borrowing option in the Blotters menu (for multiple stock loan deals)

Yes Yes

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Booking a Stock Loan using the Deal Input Window

Before using this procedure, ensure that the stock loan instrument exists in the Loans on stock window. For more information, see the Instrument Reference Guide.

Note: This method is unavailable when the Advanced Stock Loan module is enabled.

To book Stock Loan using the Deal Input window, do the following:

1 Select the portfolio what you want to book the stock loan in.

2 Select File, and New, or press ctrl+n.


3 Select the stock loan instrument you want to trade on.

4 Complete the deal parameters. Click OK.

This method produces a ticket in the portfolio for the new stock loan, virtual positions for the underlying instruments of the principal and collateral in the same portfolio, and a new Loan on Stock instrument in the General List.

Booking a Stock Loan using Drag&Drop to Portfolio

Before using this procedure, ensure that the stock loan instrument exists in the Loans on stock window. For more information, see the Instrument Reference Guide.

Note: This method is unavailable when the Advanced Stock Loan module is enabled.

To book Stock Loan using the drag-and-drop to the portfolio method, do the following:

1 From the Instruments menu, select Loans on Stock.

The Loans on stock window is displayed.

2 Select the stock loan instrument that you want to trade on.

3 Drag and drop the selected instrument to the portfolio that you want to book the stock loan in.

The Deal Input window is displayed with the Reference field showing the stock loan instrument reference.

4 Complete the deal parameters. Click OK.

This method produces a ticket in the portfolio for the new stock loan, virtual positions for the underlying instruments of the principal and collateral in the same portfolio, and a new Loan on Stock instrument in the General List.

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Booking a Stock Loan Using the Tickets Menu

The Security loan/repo option in the Tickets menu allows you to simultaneously create a loan on stock instrument and book the stock loan.

Note: This method is available when the Advanced Stock Loan module is enabled or disabled. However, when it is enabled, this method is more restricted because the user must select a collateral agreement and stock loan template before booking the loan.

To book a stock loan using the Tickets menu, do the following:

1 Select the portfolio that you want to book the stock loan in.

2 Click the Tickets icon, and select Security loan/repo from the menu.

The Stock loan input window is displayed.

Note: When the Advanced Stock Loan is enabled, a Template Selector window is displayed before the Book a Security loan/repo window. See “Template Selector Window” on page 355.

3 An example is provided in figure 19-1:

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Figure 19-1 Book a Security Loan or Repo window.

The window has the following structure:

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4 For the loan-specific fields, do the following:

- Instrument Type—select “Stock Loan”.- Direction of loan—Select “Lending” when the Entity is loaning the

shares to a third party. Otherwise, select “Borrowing.”- Real or Simulation Mode—Select the appropriate mode.- Nb of Securities—After entering the instrument reference, enter the

number of securities that the loan covers.

5 Complete the remaining stock loan instrument and deal parameters.

6 Click the Back Office event button to book the stock loan.

After booking the loan, a position is created in the ticket’s portfolio for each of the following:

• Loan, that is, the principal.• Underlying instruments of the loan.• Underlying instrument of the collateral.

The position for the loan is a real one, whereas those for the underlyings are virtual.

The position for the virtual positions are marked with the shared icon, , and you cannot generate new tickets on these positions. The system displays the error message “A borrowed line is not a movement!” if you try to create a new ticket on this underlying position.

Template Selector Window

The Advanced Stock Loan (ASL) module allows users to quickly book a stock loan using an existing stock loan as a template. It ensures that new stock loans are subject to conditions defined in a lending and borrowing agreement between the

Table 19-2

Loan-Specific Fields Instrument-Specific Fields

Deal Ticket Fields

Loan-specific fields are located in the following fields in Figure 19-1:

• Instrument Type

• Direction of loan• Real or Simulation

Mode• Nb of Securities• Loan price• Coll. Price

Instrument-specific fields are located in the following frames:

• LOAN OR REPO CHARACTERISTICS

• CALLABLE LOAN• COMMISSION• COLLATERAL

See the Instrument Reference Guide for more details.

Deal-specific fields are located underneath the instrument-specific fields at the bottom of the window.

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entity and third parties. Therefore, when the ASL module is enabled, users create a stock loan using an existing template which is ties the stock loan to an agreement through the entity, counterparty and convention that are selected in the Template Selector.

The Stock Loan Template Selector window is displayed when the Advanced Stock Loans module is enabled, and you have selected the Security loan/repo option from the Tickets menu.

Figure 19-2 shows the Stock Loan Template Selector window.

Figure 19-2 Stock Loan Template Selector window.

To select a stock loan template, do the following:

1 Select a counterparty, entity and convention for which a Collateral Agreement has been configured.

For more information about Collateral Agreements, see the Collateral Management User Guide.

2 Select a template from the list of Default Templates.

3 Click Open.

The Book a Stock Loan or Repo window is displayed. See Figure 19-1.

Important: The available and editable fields in the Book a Stock Loan or Repo window depend on the setting of Editable Fields parameter of the template in the collateral agreement.

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Stock loans with Margin Calls

You can redefine and generate new commission and Loan/Repo margins for stock loans that accept margin calls.

From the portfolio containing Stock Loans with margin calls, the following options are available from the right-click menu:

• “Commission Modification” on page 357• “Collateral/Repo Spread Modification” on page 358

The Business Event for the new deals generated is “Loan/Repo Commission” and the third parties are the same as those specified in the deal ticket for the stock loan.

Commission Modification

The Commission Modification window allows you to modify the following parameters of the Stock Loan:

• Commission Rate (Commission Type currently defined)• Trade Date• Value Date

Figure 19-3 shows the Commission Modification window.

Figure 19-3 Commission Modification window.

To change or add a loan commission, do the following:

1 Select the stock loan position in the portfolio.

2 Right-click and select Commission Modification.

3 Enter the new commission parameters.

The commission will be paid from the specified Value date, either until the maturity of the stock loan or until the commission is changed again.

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Collateral/Repo Spread Modification

The Collateral/Repo Spread Modification window allows you to modify the following parameters:

• Spread (Interest Rate currently defined)• Trade Date• Value Date

Figure 19-3 shows the Loan/Repo Margin window.

Figure 19-4 Collateral/Repo Spread Modification window.

To change or add a Collateral/Repo Spread, do the following:

1 Select the stock loan position in the portfolio.

2 Select Collateral/Repo Spread Modification from the context menu.

3 Enter the new parameters.

The margin rate is changed and applies from the specified Value date, either until the maturity of the stock loan or until another rate is set.

Stock Loan Deal Modification

From the Portfolio window, you can make changes to stock loan deals through the context menu. The following options are available:

- “Maturity Modification” on page 359- “Spot Modification” on page 360- “Partial Return” on page 362

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Maturity Modification

The Maturity Modification dialog allows you to change the maturity date of the stock loan, repo or CFD.

To perform a Maturity Modification, do the following:

1 Select the stock loan position in the Portfolio

2 Select Maturity Modification from the context menu.

The Maturity Modification dialog is displayed.

Figure 19-5 Maturity Modification.

3 Enter the Maturity Modification parameters.

Table 19-3 contains a description of the Maturity Modification dialog parameter fields.

Table 19-3 Maturity Modification Parameters.

Field Description

Loan Reference Reference of the stock loan, repo or CFD.

Loan Name Name of the stock loan, repo or CFD instrument.

Principal Ref. Reference of the underlying stock.

Principal Quantity The principal quantity.

Maturity The date that the agreement expires on.

When the end date is reached, no more transactions may be made for this agreement.

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Spot Modification

The Spot Modification dialog allows you to change the spot of the underlying of the stock loan, repo or CFD.

Important: A spot modification is only possible for stock loans with the Commission Type Fixed Price with Reviseable Spot.

To perform a spot modification, do the following:

1 Select the stock loan position in the Portfolio.

2 Select Spot Modification from the context menu.

The Spot Modification dialog is displayed.

Trade Date The date that you want the trade to occur. The trade date defaults to today.

The trade date must be strictly between the trade date of the stock loan initiation ticket and the maturity date, if it exists.

Counterparty/Entity The specified counterparty and entity.

BO Workflow The specified Back Office Workflow.

BO Status The current Back Office status.

Table 19-3 Maturity Modification Parameters.

Field Description

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Figure 19-6 Spot Modificatin dialog

3 Enter the Spot Modification parameters.

Table 19-4 contains a description of the Spot Modification dialog parameter fields.

Table 19-4 Spot Modification Dialog Fields.

Field Description

Loan Reference Reference of the stock loan, repo or CFD.



Principal Quantity The principal quantity.

Principal Spot The last spot price of the principal underlying. This is calculated according to credit risk preferences.

Trade Date The date that you want the trade to occur. The trade date defaults to today.

The trade date should be strictly between the trade date of the stock loan initiation ticket and the maturity date, if it exists.

Value Date The value date


BO Workflow The specified Back Office Workflow.


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Partial Return

The Partial Return dialog allows the user to return a portion of the principal, and also a portion of the collateral, depending on the collateral type.

Partial Returns can be performed on the following stock loan types:

• Cash Vs Securities Per Contract• Securities Vs Cash Per Contract• Cash Vs Securities Pool• Securities Vs Cash Pool• Securities Vs Securities Pool• Securities (No Collateral)

Important: The Partial Return dialog parameter fields vary according to the type of stock loan. For example, the Partial Return dialog for a Cash Vs Securities Per Contract stock loan reflects the fact that the current principal is a currency and therefore contains a Ccy field. This field is not displayed if the stock loan type is, for example, Securities Vs Securities Pool.

To perform a Partial Return, do the following:


2 Select Partial Return from the context menu.

The Partial Return dialog is displayed.

3 Enter the Partial Return parameters.

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Figure 19-7 Partial Return dialog

Table 19-5 contains a description of the Partial Return dialog parameter fields.

Table 19-5 Partial Return Fields (Sheet 1 of 4)

Field Description


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Loan Reference Reference of the stock loan, repo or CFD instrument.


Deals To Take Into Account

Allows you to specify which deals to take into account for the Partial Return. The default is All.

Current Principal Frame Fields

Ref. Reference of the principal stock. Note: Not applicable for Cash Vs Securities Per Contract and Cash Vs

Securities Pool stock loans.

Average Price A weighted sum of Sell/Buy prices of deals. Note: For Securities Vs Cash Per Contract and Securities Vs Cash Pool

only.

Qty The principal quantity.Note: Not applicable for Cash Vs Securities Per Contract and Cash Vs


Principal Amount The current amount (Quantity * price) of the principal.

Ccy The currency of the principal. Note: For Cash Vs Securities Per Contract and Cash Vs Securities Pool

stock loans only.

Spot The current spot. The spot is set to 1 if the principal is cash.Note: Not applicable for Securities Vs Cash Per Contract and Securities

Vs Cash Pool stock loans.

Current Collateral Frame Fields

Ref. Reference of the collateral. Note: For Cash Vs Security Per Contract stock loans only.

Spot The spot price of the collateral underlying. Note: For Cash Vs Security Per Contract only.

Qty The quantity of securities held as collateral. Note: For Cash Vs Security Per Contract only.

Ccy/Rate The currency and interest rate of the collateral.Note: For Securities Vs Cash Per Contract and Securities Vs Cash Pool

only.

Collateral Amount The value of the collateral.

Partial Return Frame, Principal Frame Fields

Amount to Return The amount of cash to return.Note: For Cash Vs Securities Per Contract and Cash Vs Securities Pool

stock loans only.


Field Description

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Qty to Return The amount of securities to return.Note: Not applicable for Cash Vs Securities Per Contract and Cash Vs


Principal Spot The last spot price of the principal underlying, according to credit risk preferences.Note: Not applicable for Cash Vs Securities Per Contract and Cash Vs


Collateralized Spot Price with Hedging and Haircut applied.Note: For Securities Vs Cash Per Contract and Securities Vs Cash Pool

stock loans only.

Remaining Principal The amount of principal that remains after the partial return.

Partial Return Frame, Collateral Frame Fields

Amount to Return The amount of cash collateral to return.Note: For Securities Vs Cash Per Contract and Securities Vs Cash Pool

stock loans only.

Qty to Return The amount of securities collateral to return.Note: For Cash Vs Securities Per Contract stock loans only.

Qty Remaining The amount of securities remaining after the partial return.Note: For Cash Vs Securities Per Contract stock loans only.

Remaining Collateral

The amount of collateral remaining after the partial return.

Main Transaction Frame Fields

BO Workflow The specified Back Office workflow.

Depositary The depositary of the trade.

Depositary of the Counterparty

The depositary of the counterparty of the trade.

SM/DT The Settlement Method/Delivery Type to apply to the trade.

Payment Method The payment method for the trade.

Collateral Section Frame Fields Note: Displayed only for Securities Vs Securities Pool stock loans.

BO Workflow The specified Back Office workflow for the collateral.

Depositary The depository for the collateral part of the trade.

SM/DT The Settlement Method/Delivery Type to apply to the collateral part of the trade.

Payment Method The payment method for the collateral part of the trade.

General Trade Information Area

Ticket ID The ID of the ticket.


Field Description

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Repricing

Repricing allows you to reprice the underlying of a stock loan. When a reprice occurs, cash transfers are generated for the rolling commission and rolling interest, and the delta cash amount is calculated.

The Fees Repricing drop-down list in the Fees and Interest tab of the Collateral Agreements dialog allows you to enable repricing for stock loans. The possible values are as follows:

• None — Repricing is not enabled.• Delta Cash Only — Repricing is enabled, but only the Delta Cash amount is

generated.• Total and Delta Cash — Repricing is enabled, and both Delta Cash and

commission and interest are returned.

Note: Repricing is only available for stock loans with a billing frequency set to Final and a Fixed Price with Revisable Spot commission type.

To perform a repricing, do the following:


2 Select Repricing from the context menu.

The Repricing dialog is displayed.

3 Enter the repricing parameters.

The Repricing dialog is shown in Table 19-8:


Business Event The business event to apply to the trade.

Trade Date The date that you want the trade to occur. Default is today.

The trade date must be strictly between the trade date of the stock loan initiation ticket and the maturity date, if it exists.

Payment Date The specified payment date for the trade.

Settlement Date The settlement date that applies to the trade.

Comments Comments.


Field Description

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Figure 19-8 Repricing dialog

Table 19-6 describes the fields in the Repricing frame and in the general area of the Repricing dialog:

Table 19-6 The Repricing frame and General fields

Name Description


Deals To Take Into Account

Allows you to specify which deals to take into account for the repricing. The default is All.

Loan Reference Reference of the stock loan.

Loan Name The name of the loan.


Principal Quantity The quantity of the principal.

Principal Spot The last spot of the principal.

Trade Date The trade date of the loan.

Value Date The value dat of the loan.

BO Workflow The back office workflow assigned to the loan.

BO Status The curren back office status of the loan.

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Table 19-7 describes the fields in the Delta Cash frame of the Repricing dialog:

Table 19-8 describes the fields in the Rolling Commission frame of the Repricing dialog:

Table 19-9 describes the fields in the Rolling Commission frame of the Repricing dialog:

Table 19-7 The Delta Cash frame

Name Description

Hedging The hedging amount, in percent, of the delta cash.

Haircut The haircut amount, in percent, of the delta cash.

Collateralised Spot Price with Hedging and Haircut applied.

Currency The currency of the collateralised spot.

Delta Cash The current position quantity multiplied by the difference in repricing.

Table 19-8 Rolling Commission frame

Name Description

Yesterday’s The total commission paid on yesterdays’ date.

Paid Today The total commission paid today.

Currency The currency of the commission.

Commission The total commission paid.

From The start date for the commission and interest period.

To The end date for the commission and interest period.

Amount The value of the principal in the contract.

This is calculated as:

Principal Qty * Principal Spot.Note: For bonds, the equation is calculated as Principal

Qty * Dirty Spot.

Rate The rate used to calculate the fees.

Commission The total fees due since the previous date

Spot The spot price.

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Automatic Tickets

This section describes the Automatic tickets for Stock Loans.

Stock Loan without Margin Calls

For Lending & Borrowing, the commissions, expiration and interest on the collateral are generated. The dividends rebate is generated by the Corporate Action.

Commissions and interest on the collateral, can be generated:

• at expiration• at the end of the month• at a fixed date

These options can be specified in the definition of the L&B. The global preference MARKETSHIFTSTOCKLOAN is used to check if the commission between the last of the period and the open commission is included or not.

To get the interest on the collateral, the method CSRStockloan::GetCollateralInterestAtExpiry is called, and is generated for L&B only.

When using Repos, interest is added to the expiry tickets. The Business Event is Collateral Rebate. The commission is calculated using the CSRStockloan::GetCommissionAtExpiry method, with the currency set by the CSRStockloan::GetCommissionCurrency method. By default, the commission is expressed in the currency of the collateral, if it is fixed. If the collateral is not fixed,

Table 19-9 The Rolling Commission frame

Name Description

Yesterday’s The total interest paid on yesterdays’ date.

Paid Today The total interest paid today.

Currency The currency of the interest.

Interest The total interest paid.

From The beginning of the period for interest.

To The end of the period for interest.

Amount The total amount of cash margin calls performed on the cash pool or cash collateral.

Spread The rate used to calculate the fees.

Interest The total interest paid since the previous date

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the commission is expressed in the currency of the principal. The closing price of Repo bonds includes the commission and is expressed with the accrued coupon if the bond is quoted cleanly.

Stock Loan with Margin Calls

Stock loans with margin calls behave differently from those without margin calls. The position is not enough to calculate the commission, the entire transaction is required. Only Purchase/Sale tickets are taken in account. The following automatic tickets are generated:

• The commission - entity• The margin call - counterparty• The interest on collateral - depositary

At the end date, an expiry ticket is also generated. The dividend rebate is generated by the corporate action.

When the Back Office is available, the ticket for commission uses the Business Event that is specified in the Commission field of the Stock Loan (General) section in the Stock Loan tab of the Back Office Parameters. When the Back Office is unavailable, the “Commission” Business Event is used.

When the Back Office is available, the ticket for interest on collateral uses the Business Event that is specified in the Collateral Remuneration field of the Stock Loan (General) section in the Stock Loan tab of the Back Office Parameters with Back Office. When the Back Office is unavailable, the “Coupon” Business Event is used.

The margin call ticket is calculated by taking the last price of the principal multiplied by the collateral percentage minus all margin calls and all deprecated collateral.

When tickets are to be validated, the P&L of the book is incorrect. Commissions and interest are doubled and a reporting is necessary.

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Chapter 20 Deals on Stock Derivatives

This chapter describes how to make deals on equity derivatives. The following types of derivative deals are described:

• Standard options• Barrier options• Two-Underlying options• Digital options• Look-Back options• Average options• Convertible Bonds

Standard Options

Standard options are entered in the same manner as deals on stock. It is also possible to create an option and book it in the portfolio simultaneously. To do this, use the standard option ticket from the Portfolio window’s Ticket menu.

The Standard Option ticket contains all the fields from the Standard Option window, and from the Deal Input window.

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Figure 20-1 Buy/Sell Standard option window.

For more information on the Standard Option window, see the Instrument Reference Guide.

Barrier options

This section describes how to create a deal on a barrier option using the ticket menu of the portfolio window. This allows you to enter a deal on a barrier option and specify the underlying characteristics at the same time.

1 Select an option.

2 Select Barrier option from the Tickets menu. The following window is displayed:

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Figure 20-2 New Barrier option.

3 This dialog allows you to both create a new barrier option and create a deal on that option in one dialog. For more information on the Barrier option fields, see the RISQUE Instrument Reference Guide.


This section describes Automatic Tickets generated for Options, and includes a description of Automatic Ticket generation for each delivery type of Stock Derivative.

If the Option delivery is cash payment, RISQUE tries to estimate the delivery price. For an exotic option (CSROption::ExoticPaiement method), the rate is estimated by calculating a theoretical value with market data at null volatility and null rate curve. For a non-exotic option, RISQUE tries to estimate the security value itself. The price of the spot used corresponds to the option maturity with the security fixing: open, last.

If the price is positive and the Back Office module is not present, an exercise ticket is generated. If the Back Office module is present, the generated ticket has the Business Event specified in the Cash payment field of the Options section of the

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Corporate Actions Parameters menu. If the option is in a package, the Business Event is Coupon, and the option is deleted from the package by a ticket, if the option expiry is set to before the package expiry.

If the price is negative, a cancellation ticket is generated with the amount set to 0 (zero). If the Back Office module is present, the Business Event is Cancelled, if the Back Office module is not present the Business Event is Exercise. The cancellation ticket is not generated by an option in a package.

If the delivery is physical, the new share is dealt with as an old share.

If the delivery is in Old Share, the option position is cancelled at 0 (zero) and a position in share is opened at the strike. In case of physical in bonds delivery, the payment date of the option is used rather than the deal payment date.

In the case of cash & apply, the bond is purchased at the quoted price, the difference between the spot and the strike appears in cash form on the option expiry ticket.

Note: Deals of the coupon day are always taken into account.


Automatic tickets for Stock Derivatives and their business events depend on the delivery type, specified in the payment section.

The following delivery types are offered in the standard definition screen:

• “Share” on page 374• “New Shares” on page 375• “Market delivery” on page 375• “Cash” on page 376• “Cash and Apply” on page 377• “Currency” on page 377• “Future” on page 378

The following sections illustrate ticket generation for each delivery type. Each is based on the purchase of a Put. At the expiration date, automatic tickets are generated if the option finishes either In The Money or Out The Money.

Note: Stock derivatives generate tickets for their Expiration Date only.

Share

In the Money

A ticket is generated to close out the position where:

• Instrument — The option• Quantity = minus the number of securities in the position• Price = 0

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• Amount = 0• Business event = as defined in the 'Physical exercise (option)' field in the CA


A ticket to receive the pay off is also generated:

• Instrument = the underlying of the option• Quantity = minus the number of securities in the position• Price = strike• Business event = as defined in the Physical exercise (action) field in the

CA screen (corporate action, BO/Parameters menu).

Out the money

A unique ticket to close out the position is generated:

• Instrument = the option• Quantity = minus the number of securities• Price = 0• Business event = as defined in the Cancelled field in the CA screen


New Shares

In the Money

No automatic tickets are generated. Instead, the user is alerted that he must manage the expiration of this product. An alert is generated in the ' Portfolio / Alert book ' window. The Portfolio/Alert displays where this product is booked.

Out the money

No automatic tickets are generated. Instead, the user is alerted that he has to manage the expiration of this product. An alert is generated in the ' Portfolio / Alert book ' screen. The Portfolio/Alert displays where this product is booked.

Market delivery

In the Money

A ticket is generated to close out the position

• Instrument = the option• Quantity = minus the number of securities in the position• Price = 0

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• Amount = 0• Business event = as defined in the 'Physical exercise (option)' field in the CA


A ticket to sell, a put option, the underlying at the predefined price is also generated.

• Instrument = the underlying of the option• Quantity = -1• Price = strike• Business event = as defined in the 'Market application' field in the CA


Out the money

A unique ticket is generated to close out the position

• Instrument = the option• Quantity = minus the number of securities.• Price = 0• Business event = as defined in the Cancelled field in the CA window


Cash

In the Money

A unique ticket to close out the position and to receive the payoff (paid in cash) is generated.

• Instrument = the option• Quantity = minus the number of securities.• Price = Strike Minus Spot (K-S) = pay off• Business event = as defined in the first Cash Payment field in the CA

window (corporate action, BO/Parameters menu)

Out the money

A unique ticket is generated to close out the position.



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Cash and Apply

In the Money

A unique ticket is generated to close out the position and receive the pay-off:

• Instrument = the option• Quantity = minus the number of securities in the position• Price = (K-S) = payoff

• Business event = as defined in the second 'Cash Payment' field in the CA screen (corporate action, BO/Parameters menu)

A ticket is also generated to sell the underlying at the Market price:

• Instrument = the underlying of the option• Quantity = minus the number of securities• Price = current spot• Business event = as defined in the 'Market application' field in the CA screen


Out the Money


• Instrument = the option• Quantity = minus the number of securities.• Price = 0• Business event = as defined in the 'Cancelled' field in the CA screen


Note: Currency - this delivery type is only applicable to Exchange rate options. For example, if you buy a put option on USD / EUR - USD/EUR means you buy USD, pay in EUR.

Currency

Out the Money




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In the Money

A ticket is generated to close out the position and receive the pay-off:

• Instrument = the option• Quantity = minus the number of securities in the position• Price = (K-S) = payoff• Business event = as defined in the first Cash Payment field in the CA


We generate also a ticket to sell (it is a put option) the underlying at the Market price.

• Instrument = the underlying of the option• Quantity = minus the number of securities• Price = current spot of the exchange rate USD/EUR• Business event = Nothing is displayed into this deal ticket but the business

event exists as defined in the Physical exercise (action) field in the CA window (corporate action, BO/Parameters menu).

Note: If you choose a business event in the Corporate Action window, that is not permitted for this instrument in the Back office Allotment window, nothing is generated in the deal ticket. The user must then define the appropriate business event.

Future

In the Money

Firstly, a ticket is generated to close out the position:

• Instrument = the option• Quantity = minus the number of securities in the position• Price = 0• Amount = 0• Business event = as defined in the Physical exercise (option) field in the

CA window (corporate action, BO/Parameters menu).

Secondly, a ticket is generated to receive the pay off:

• Instrument = the underlying of the option• Quantity = minus the number of securities• Price = strike• Business event = as defined in the Physical exercise (action) field in the

CA window (corporate action, BO/Parameters menu).

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Early Exercise of an Option

You can perform an early exercise on the following types of options in the Exercise dialog, shown in figure 20-3:

• American option• Bermudan option• European option• Convertible bonds

Note: This dialog is used for physical delivery instruments only.

Figure 20-3 Exercise dialog

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Table 20-1 describes the fields of the Exercise dialog.

Table 20-2 describes the fields in the Transaction Tag frame of the Exercise dialog.

Table 20-1 Exercise dialog fields

Field Description

Underlying reference The reference for the underlying of the derivative.

Quantity Sold The number of options that you want to exercise.

Unit price The value of the option per unit. Before you enter this value, consider the way you want the portfolio result to appear.

Deal Size The number of corresponding underlyings bought or sold.

Deal Price The deal price is equal to the strike of the option.

Fees The market fees charged for the exercise.

Negotiation date Negotiation date of the trade.

Negotiation time Negotiation time of the trade.

Value Date Date of the last received quote of the underlying associated of the exercise.

CB Derived Conversion Ratio

Select to include the conversion ratio if the exercise is a convertible.

Table 20-2 Transaction Tag Frame of the Exercise Dialog

Name Description

Counterparty The counterparty of the exercise.

Entity The entity of the exercise.

Broker The broker of the exercise.

Depositary The depositary of the exercise.

Operator The operator of the exercise.

Exercise Select if you want the business event of the deal to be Exercise.

Comments Text comments.

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Table 20-3 describes the fields in the Mirroring frame of the Exercise dialog.

Booking an Early Exercise

The following steps describe the process of performing an early exercise on an option:

1 Select an option in your portfolio.

2 Select Operation from the Tickets menu.

The Exercise dialog is displayed, as shown in figure 20-3.

3 Enter the number of options to exercise in the Quantity Sold field.

4 In the Unit Price field, enter a value based on the following behaviours of the exercise in your portfolio:

- Enter a positive integer value for a call option or a negative integer value for a put option.

- Enter 0 to generate a realised loss for the option.- Enter the strike price of the option to generate a positive unrealised for

the underlying share.

5 In the Deal Size field, enter the number of corresponding underlying securities bought or sold.

6 Click Exercise if this is an exercise event.

Note: If you do not select this check box, the exercise is listed as a Purchase/Sale event in the Movements window.

7 If the exercise is on a convertible bond, select the CB Derived Conversion Ratio check box to include the conversion ratio specified for the bond. The shares booked in your portfolio are multiplied by the amount specified in the Conversion Ratio field of the convertible.

8 Enter the relevant transaction parties in the Transaction Tags frame.

9 Click on a Back Office Workflow button.

Table 20-3 Mirroring Frame of the Exercise Dialog

Name Description

Mirror Rule The mirror rule to apply to mirrored exercise deals.

Creating a mirrored exercise on a position results in two deals:

• The closing of the position

• The actual purchase/sale of the underlying.

If an exercise is mirrored, two families of mirrored deals are created, one for the exercise and one for the underlying.

For more information on mirrored deals, see “Deal Mirroring” on page 525.

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The Deal Input dialog is displayed with the values you specified.

10 Book the deal.

In your portfolio, the following occurs:

- For cash delivery, one deal is displayed.- For physical delivery options, one deal is generated for the option and

one deal is generated for the shares.

Capturing a Movement on an OTC Option

This section describes how to capture a movement on an OTC option.

You can enter a movement on a standard option regardless of its characteristics.

Complete the following steps to capture a movement on an OTC option:

1 Select an option.

2 Select Standard Option from the tickets menu.

This displays a window with the definition of the underlying and of the option in addition to the transaction ticket.

Note: An entry corresponding to the defined option is automatically generated in the Derivatives list.

Digital, Look-Back, Two-Underlying and Average Options

For Digital, Look-Back, Two-Underlying and Average Options, there is no menu option for creating deals in the Tickets menu of the Portfolio window.

Complete the following steps to create a deal on an Digital, Look-Back, Two-Underlying or Average options:

1 Drag and drop the option from the list into the relevant portfolio.


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Figure 20-4 Deal Input window, showing a deal on an Average Option.

2 Enter the quantity, price and fees.

3 Click New deal accept.

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Chapter 21 Deals on Listed Options

This chapter describes the various methods of creating deals on Listed Options. For more information on creating Listed Options and a full description of Listed options Markets, see the Administration Guide. This chapter contains the following sections:

• “Booking a Listed Option” on page 385• “Booking Deals on Listed Options” on page 387

Booking a Listed Option

This section describes how to capture a transaction on a Listed Option Market.

Selecting a folder with an underlying and clicking on the Strategy item in the Tickets menu, opens the Strategy dialog, as shown in figure 21-1.

You can also hold down the Alt button and click the Positions icon in the Portfolios window. This opens a context menu containing all the Listed Options on the active market. Selecting one of the Listed Options opens the strategy window.

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Figure 21-1 Strategy window

If a folder includes an entry for an underlying in a listed market, you can create tickets for related calls and puts.

Complete the following steps to create a deal on a listed option:

1 In the Portfolio window, select an underlying.

Note: To create option tickets on the portfolio’s underlying, you must not select an underlying in the portfolio.

2 In the Portfolios toolbar, click the icon.

3 Select Strategy.

A window similar to the following opens:

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Figure 21-2 Strategy window

4 In the blank cells of the window, enter the price and quantity of the call or put that you want to buy or sell.

5 Enter the price and the quantities of call/put you want to buy/sell in the blank cells of the window.

6 Enter the number of underlyings that you want to buy/sell in the Nb underlying text box.

7 Enter the price in the Price text box.

8 Click Save. This integrates the new deals in your portfolio.

Booking Deals on Listed Options

To book deals on Listed Options:

1 Open the portfolio.

2 Ensure that the relevant market is displayed in the Market menu.

3 Press the Ctrl key and click on the Positions button in the portfolio window.

A menu containing the available contracts is displayed, as shown in figure 21-3.

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Figure 21-3 Positions drop down list

4 Select the desired contract.

The Position window is displayed, as shown in figure 21-4.

Figure 21-4 The Position window

5 Check the following in the Position window:

- The strike corresponds to the given rules.- The volatility is valid. This is an average over daily futures, so the

volatility should be smaller than the future volatility.- The option prices are consistent. For a very small strike, the price is

roughly the spot minus the strike and the delta is roughly equal to 1. The delta should not be 1 for strikes that are closer to the spot.

- The dates, price, volatility, and greeks as follows:1. Select one option. 2. Click on the blue price.3. Press Ctrl+o to open the Option window. 4. Select Standard from the displayed dialog. The underlying should be a MASP Future.

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To create tickets in the selected portfolio:

1 Select the desired listed option price in the Position window, as shown in figure 21-4.

2 Type Ctrl+N.

The corresponding ticket with a standardised reference is displayed, as shown in figure 21-5.

Figure 21-5 Deal Input window

Note: Once you have booked a deal, the Quantity column in the Positions window is updated for the quantity that has been booked for the maturity.

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Chapter 22 Deals on TAPOs

This chapter describes how to book deals on TAPOs.

Booking Deals on TAPOs

You can book deals on TAPOs as follows:

1 Open the portfolio.

2 Ensure that the relevant market is displayed in the Market menu.

3 Press the Ctrl key and click on the Positions button in the portfolio window.

A menu containing the available contracts is displayed, as shown in figure 22-1.

Figure 22-1 Positions drop down list.

4 Select the desired contract.

The Position window is displayed, as shown in figure 22-2.

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Figure 22-2 TAPO position window.

5 Select an option and select Ctrl+n to create a new movement.

The movement is displayed in the portfolio.

6 Open the Strategy window from the Market menu, as shown in figure 22-3.

Figure 22-3 TAPO Strategy window.

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Note: The PUT options are not displayed because their premium is zero.

7 Check the following in the Strategy window:

- The strike corresponds to the given rules.- The volatility is valid. This is an average over daily futures, so the

volatility should be smaller than the future volatility.- The option prices are consistent. For a very small strike, the price is

roughly the spot minus the strike and the delta is roughly equal to 1. The delta should not be 1 for strikes that are closer to the spot.

- The dates, price, volatility, and greeks as follows:1. Select one option. 2. Click on the blue price.3. Press Ctrl+o to open the Option window. 4. Select Standard from the displayed dialog. The underlying should be a MASP Future.

8 Open the Standard Option dialog, as shown in figure 22-4.

Figure 22-4 TAPO Standard Option.

Note: If the underlying is the commodity (or anything else), it means that the MASP Future has not been found. There was no MASP Future in the

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worksheet with an expiry on the LastBusinessDay of the month.

9 Check that the dates are consistent with the strategy window.

10 Check that the price, the volatility and the greeks are strictly identical to those in the Strategy window.

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Chapter 23 Deals on Futures and Forwards

This chapter describes deals made on Futures and Forwards.

Futures Spread Transaction

Important: You must have 2 futures listed on the market to capture this transaction.

This section describes how to book a futures spread transaction.

Booking a Futures Spread Transaction:

1 Select Spread from the Tickets menu. The Buy Spread dialog is displayed.

Figure 23-1 Buy Spread dialog.

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2 From the Market drop-down list, select the listed market. Only those Markets which contain listed futures are accessible.

3 Specify the quantity you want to purchase.

4 Specify the two futures you want to book the spread on.

5 Specify the prices you want to book the spread at.

6 Define the other parameters as necessary.

Note: Market and brokerage fees are distributed equally between the two future tickets.

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Chapter 24 Forex Deals

This chapter describes deals made on currencies and forex rates.

The following topics are described:

• “The Foreign Exchange Deals Dialog” on page 397• “Booking a Spot Deal” on page 402• “Booking a Forex Forward Outright Deal” on page 403• “Booking a Forex Non-Deliverable Forward” on page 403• “Booking a Forex Swap” on page 404• “Forex Tickets” on page 404

The Foreign Exchange Deals Dialog

Foreign exchange deals are created in the FX Deals dialog. This dialog supports the creation of spot and forward deals on currency pairs.

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To open the FX Deals dialog, do the following:

• In the Portfolios toolbar, select FX Deals from the Tickets menu. The FX Deals dialog is displayed, as shown in figure 24-1.

Figure 24-1 FX Deals Dialog

There are five frames in the FX Deals dialog:

• Forex — the currency pair and the deal type.• Spot deal — the date and exchange values for a spot deal.• Forward deal — the date and exchange values for the forward leg of a

forward deal.• Forward Rate Calculation — the rates used for forward deals. • Transaction — details of the parties involved, fees charged, portfolio

location, and related comments for the deal.

Table 24-1 describes the fields in the Forex frame.

Table 24-1 Forex Frame of the FX Deals Dialog (Sheet 1 of 2)

Name Description

BUY/SELL toggle button Toggles between buy or sell deals. This defines the action taken of the first currency of the pair. For example, click SELL to sell euros in a EUR/USD pair.

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The Spot deal frame contains the date and exchange values for spot deals.
Table 24-2 describes the fields in the Spot deal frame:

Note: The radio buttons displayed beside the Paying or Receiving fields indicate that the associated amount was used to calculate the other values.

The Forward deal frame contains the date and exchange values for forward deals.

Table 24-3 describes the fields in the Forward deal frame:

First currency drop-down list

The base currency in the swap. If the deal is a buy deal, this is the currency bought. If the deal is a sell deal, this is the currency sold.

Second currency drop-down list

The second currency in the swap, also known as the quote currency.

FX Forward Outright check box

If selected, the deal is a forward outright deal. The value date is set to the future payment date.

Deal Type drop-down list

The type of delivery of the deal. Select from the following values:

• Forward — an obligation to buy or sell the currency at a specified price, quantity, and date.

• Non Deliverable Forward — a contract to exchange the profit or loss of a forex deal at the Forward Date. Calculated by taking the difference between the agreed exchange rate and the spot rate at the time of settlement.

Table 24-2 Spot Deal Frame of the FX Deals Dialog

Name Description

Value Date The value date of the deal.

Rate fields The rate fields display the relevant buy and sell exchange rates for the specified.

Paying currency The paying amount of the currency deal. When the value of the Paying or Receiving field is changed, the other Paying and Receiving fields are re-calculated.

Receiving currency The receiving amount of the currency deal.

Table 24-1 Forex Frame of the FX Deals Dialog (Sheet 2 of 2)

Name Description

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The Forward Rate Calculation frame contains the rates used for forward deals.

Table 24-3 describes the fields in the Forward Rate Calculation frame:

Table 24-3 Forward Deal Frame of the FX Deals Dialog

Name Description

Forward Date The expiry date of the forward deal. Entering a date in this field activates the forward leg of the deal.

Days The number of days from the Value Date to the Forward Date.

Rate fields Automatically displays the relevant buy and sell exchange rates when the currencies are entered.

Paying currency The paying amount of the currency deal. When the value of a Paying or Receiving field amount is changed, the other Paying and Receiving fields are calculated.

The radio buttons displayed beside each Paying or Receiving field indicate that the value was used to calculate the other Paying or Receiving fields.

Note: The radio buttons displayed beside the Paying or Receiving fields indicate that the associated amount was used to calculate the other values.

Receiving currency The receiving amount of the currency deal.

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The Transaction frame contains the rates used for forward deals.

Table 24-3 describes the fields in the Transaction frame:

Table 24-4 Forward Rate Calculation Frame of the FX Deals Dialog

Name Description

Calculation Type The method used for calculating the forward leg of the deal. The rate types calculate the second ticket quantity and price, depending on the rate of the first and second currencies.

If the type is relative, the number of days between the Expiry Date and the Value Date is taken into account when performing the calculation.

The following types are available:• Absolute Rate — the default currency rates in the

Forward Rate Calculation frame are used without time adjustment to calculate the forward leg.

• Relative Forward — the rate in the Forward Rate Calculation frame are used. The rate is percentage of the spread from the quoted market rate adjusted for the number of days between the Expiry Date and the Value Date.

• Relative Rate — the rate for the forward leg is calculated relative to the time between the value and forward dates, taking into account the market way and basis of the currencies.

• Absolute Forward Add Point — the rate used for the forward leg is:Price of forward = Price of 1st deal + (FxMarketway * Fwd Point Real/100)

• Relative Forward Add Point — the rate used for the forward leg:Price of 2nd deal = Price of 1st deal + [FxMarketway * Fwd Point Real/100 * (Maturity Date - Value Date)/basis]

Premium/Discount The spread of the deal. When specified, this value is added to the forward deal amount in the currency swap pair.

Rate The rate used if Absolute Rate or Relative Rate is selected in the Calculation Type drop-down list.

Table 24-5 Transaction Frame of the FX Deals Dialog

Name Description

Negotiation Date Enter the negotiation date of the swap.

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Booking a Spot Deal

To book a currency deal for immediate delivery, use the fields of the Spot deal frame.

To book a spot deal, do the following:

1 Click the BUY/SELL toggle button to select the type of deal.

2 Select a currency pair from the currency drop-down lists. The Rate field for the pair is populated from market data.

3 Enter an amount in the Receiving or Paying field of the Spot deal frame.

4 Click outside the field to see the amount of the other leg.

5 Enter your transaction details in the Transaction frame.

6 Accept the deal.

Note: The Forward Date, Calculation Type, and Premium/Discount fields are not applicable for spot deals.

Time The time of the swap details entry.

Folder The portfolio to which the swap will belong from the drop-down list.

Mirror Rule The mirror rules. For more information, see “Creating Mirror Deals” on page 532.

Broker The broker of the swap from the drop-down list.

Counterparty The counterparty of the swap from the drop-down list.

Depositary The depositary of the swap from the drop-down list.

FO Remarks Text remarks from the front office.

BO Remarks Text remarks from the back or middle office.

Operator The operator making the deal.

Entity The entity for the deal.

Broker Fees The broker fees for the deal.

Counterparty Fees The counterparty fees for the deal.

Market Fees The market fees for the deal.

BO Status The back office status of the deal when entered.

Comments Text comments.

Table 24-5 Transaction Frame of the FX Deals Dialog

Name Description

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Booking a Forex Forward Outright Deal

A forex forward outright deal is created in the same way as a forex spot except that the forward date is used rather than the value date. A forex outright deal is priced in a similar way to a spot forex deal, with the addition of a Premium/Discount. For a forex outright deal, we recommended the Absolute Forward Add Point calculation type.

A forex forward outright deal must have an outright settlement date defined in the Forward Date field of at least three working days after the trade date. The term of the forward deal is the period between the Value date and the outright settlement date.

To book a forward outright deal, do the following:



3 Select a type from the Calculation Type drop-down list. Typically, the Absolute Forward Add Point rule is used to price a forward outright deal.

4 Enter a value in the Premium/Discount field.

5 Enter the outright settlement date in the Forward Date field. The Rate field for the pair is populated, based on the Calculation Type.

6 Select the FX Forward Outright check box.

7 Enter an amount in the Receiving or Paying field.


9 Enter transaction details in the Transaction frame.

10 Accept the deal.

Booking a Forex Non-Deliverable Forward

To book a non deliverable forward (NDF), you must specify a value date where the difference between the contracted NDF price or rate and the prevailing spot price or rate is calculated.

To book a forex non deliverable forward, do the following:


2 Select Non Deliverable Forward from the Deal Type drop-down list.

3 Enter the outright settlement date in the Value Date field of the Spot deal frame. The Rate field for the pair is populated, based on the Calculation Type.

Note: The forward date of an NDF is entered in the Value Date field, not the

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Forward Date field.

4 Enter an amount in the Receiving or Paying field.


6 Enter transaction details in the Transaction frame.

7 Accept the deal.

Booking a Forex Swap

A forex swap consists of a spot deal and forward deal booked simultaneously with identical amounts of two currencies with two different value dates. The forward is the reverse of the spot and the spot purchase is offset by the forward selling.

To book a forex swap, do the following:



3 Enter an amount in the Receiving or Paying field of the Spot deal frame.

4 Select Forward from the Deal Type drop-down list.

5 Enter dates in the Value Date and Forward Date field. When you enter a forward date, both legs are editable.

6 Enter a rate in the Premium/Discount field.

7 Enter an amount in one of the currency fields. The other currency field is populated automatically.

8 Enter your transaction details in the Transaction frame.

9 Accept the deal.

Forex Tickets

For forex swaps, two tickets are created:

• One ticket with a payment date equal to the value date.• One ticket with a payment date equal to the forward date.

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Chapter 25 Deals on Debt Instruments

You can book a new debt instrument in the portfolio using one of three methods:

• Deal Input window — Define a debt instrument, as explained in the Instrument Reference Guide, and drag and drop it into the required folio of the portfolio.

• Defining and entering simultaneously — Using the Ticket button and selecting Debt Instrument from the sub-menu to define a new stock loan and enter it in the Portfolio in one step.

• Defining several loans and entering at one time — Using the Blotters button and select Lending and Borrowing from the sub-menu. Enter the details of as many debt instrument as necessary and close the window to send the tickets.

The three methods result in a new stock loan in the instrument list and a ticket in the portfolio on this stock loan. In the portfolios, stock loans can be assessed as marked-to-market or as a discount, according to the options in the P&L tab within the Preferences window.

Booking a Loan on Cash

This section describes how to capture a loan on cash.

You can manage all your funding transactions with this type of ticket.

Note: The fields of the ticket come partly from the definition of a debt instrument. For more information concerning these fields, see Chapter 13 Cash Deposits, Stock Borrowing and Lending.

1 Click the Tickets button and select Debt Instrument from the drop-down menu.

The Commercial Paper Deal window is displayed.

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Figure 25-1 Commercial Paper Loan window.

2 Enter the notional amount of the loan in the Notional Amount field.

Note: The Principal field above Remarks contains a value calculated by the system. The cash amount that is received by the borrower at the beginning of the loan. This amount depends on the type of lending (deducted beforehand or not).

Automatic Tickets for Debt Instruments

This section describes how Automatic Tickets are generated for Debt instruments of the following types:

• Unpackaged• Packaged

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Unpackaged Debt Instrument

If a debt instrument is not part of a package, an expiry ticket is generated, in Amount. The ticket takes the expiry positions of the day into account, along with the Business Event of the StockLoanExpiry, if the Back Office module is available. If the Back Office module is not available, it is processed with a Business Event of Purchase/Sale.

The StockLoanExpiry Business Event can be set in the Parameters section of the Back Office menu. See the Expiry drop-down list of the Repo/Margin section in the Corporate Actions tab.

Packaged Debt Instrument

If the debt instrument is part of a package, and the debt instrument expiration date is set to a date before the package expiration date, an expiry ticket is generated for the package component, on which the Business Event is always Coupon. The debt instrument is then deleted from the package.

Note: Day deals on the package are only taken into account if the Not In Package option is selected.

For both Packaged and Unpackaged debt instruments, if using the Back Office module, a ticket is generated in advance according to the Coupon Generation Shift specified for the debt instrument, or for the package market, and after the start date of the debt instrument. The ticket is also generated in advance if the amount is known using the CSRInterestRate::AmountAlreadyKnown method.

The possible values for coupon generation shift are as follows:

• -1 — Generate as soon as possible.• 0 — Generate according to specified expiry date.• A number of days — The Expiry date minus the number of days specified

here.

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Chapter 26 Deals on Commodities

This chapter describes deals on different types of commodities. It contains the following sections:

• “Standard Commodities” on page 409• “LME Commodities” on page 416• “Power and Gas Commodities” on page 418• “Asian Options” on page 430

Standard Commodities

This section describes booking deals on standard commodities and the generation of automatic tickets for these deals. It contains the following sections:

• “Deals on Standard Commodities” on page 409• “Automatic Tickets for Standard Commodities” on page 413

Deals on Standard Commodities

This section describes information specific to the booking of standard commodity instruments. It contains the following sections:

• “Swap Leg with Standard Fixing Type” on page 409• “Standard Swaption — Physical Delivery” on page 412

Note: For more general information about booking deals, see “Deals” on page 285.

Swap Leg with Standard Fixing Type

The coupon for a swap leg with a standard fixing type is generated on the Trade Date, which is the End date, as shown in figure 26-1, plus the Payment gap, as shown in figure 26-2.

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Figure 26-1 End Date of Swap Leg with Standard Fixing Type

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Figure 26-2 Payment Gap of Swap Leg with Standard Fixing Type

To book a deal on a swap with a standard fixing type, set the Trade Date and Payment fields of the Deal Input dialog according to the End date and Payment gap of the swap, as shown in figure 26-3.

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Figure 26-3 Trade Date and Payment Date of Deal Input Dialog

Standard Swaption — Physical Delivery

To book a standard swaption with physical delivery, ensure that the Strike of the swaption matches the cash leg amount of the underlying swap.

If the strike of the swaption does not match the cash leg amount of the underlying swap, a warning is displayed in the Remark field of the Deal Input dialog, as shown in figure 26-4.

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Figure 26-4 Swaption with Physical Delivery Swap

Automatic Tickets for Standard Commodities

This section describes automatic tickets for deals on standard commodities. Table 26-1 shows the automatic tickets that are generated by deals on commodities with the Standard fixing type. The tickets are generated on the date shown in the Forecast Date column of table 26-1.

Table 26-1 Standard Tickets (Sheet 1 of 2)

Instrument Ticket Type Forecast Date Value

Swap — Future Leg Coupon Float leg settlement date

The float leg average.

Swap — Physical Leg Future Purchase

Float leg settlement date

The swap price.

Swap Future Purchase

Payment date of the cash flow

The average price between the Start date and the End date of the swap.

For more information, see “Swap Leg with Standard Fixing Type” on page 409.

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Note: One automatic ticket is not always generated for one instrument. For example, tickets are generated when purchasing an asian option and tickets are generated on the end date of each cash flow leg within the underlying swap of the option.

Swaption — Cash Settlement

Exercise Exercise date The proposed price is the Theoretical value of the swap.

For more information, see “Standard Swaption — Cash Settlement” on page 415.

Swaption — Physical Delivery

Swap purchase Exercise date Purchase the swap. The purchase price is zero.

For more information, see “Standard Swaption — Physical Delivery” on page 415.

Option on a future — Cash Settlement

Exercise ticket Option expiry date

For the call, the value is the future minus the Strike, if greater than 0.

For the put, the value is the Strike minus the future, if greater than 0.

Option on a future — Physical Delivery

Exercise ticket

Purchase of the Future

Option expiry date

The exercise price is zero.

The purchase price is the strike, if the option is in-the-money.

Asian Option — Cash Settlement Only

Coupon Float leg settlement date

The average minus the strike, if positive.

Note: The P&L is incorrect on the settlement date until the coupon is generated and transmitted to the portfolio. This is because the coupon value is removed from the swap prices on the day of settlement.

Table 26-1 Standard Tickets (Sheet 2 of 2)

Instrument Ticket Type Forecast Date Value

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The following sections show examples of standard commodity automatic tickets:

• “Standard Swaption — Cash Settlement” on page 415• “Standard Swaption — Physical Delivery” on page 415

Standard Swaption — Cash Settlement

Figure 26-5 shows a standard swaption with cash settlement and the generated automatic ticket.

Figure 26-5 Swaption with Cash Settlement and Automatic Ticket

An Exercise coupon is generated on the Expiration date, which is December 9th 2005 in the example in figure 26-5. The Net Price of the coupon, which is 73.721 in the example in figure 26-5, is the theoretical price of the underlying swap.

Standard Swaption — Physical Delivery

Figure 26-6 shows a standard swaption with physical delivery.

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Figure 26-6 Swaption with Physical Delivery and Automatic Ticket

Two coupons are generated on the Expiration date, which is December 9th 2005 in the example in figure 26-6. Figure 26-4 shows the ticket for the swap purchase at zero price.

LME Commodities

This section describes booking deals on LME commodities and the generation of automatic tickets for these deals. It contains the following sections:

• “Deals on an LME Commodities” on page 416• “Automatic Tickets for LME Commodities” on page 417

Deals on an LME Commodities

This section describes information specific to the booking of LME commodity instruments. It contains the following sections:

• “LME Swaption — Physical Delivery” on page 416

Note: For more general information about booking deals, see “Deals” on page 285.

LME Swaption — Physical Delivery

To book an option on an LME swap with physical delivery, ensure that the Strike of the swaption matches the cash leg amount of the underlying swap.

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Automatic Tickets for LME Commodities

This section describes automatic tickets for LME commodities. Table 26-2 shows the automatic tickets that are generated by deals on commodities with the LME fixing type. The tickets are generated on the date shown in the Forecast Date column of table 26-2.

Table 26-2 LME Tickets (Sheet 1 of 2)

Instrument Fixing Type

Ticket Type Forecast Date Value

Swap — Future Leg LME Coupon Float leg settlement date

The float leg average.

Swap — Physical Leg LME Future Purchase


The swap price.

Swap LME Bullet Future Purchase

Payment date of the cash flow.

Average price between the Start date and End date of the swap.

Swaption — Cash Settlement

LME Exercise Exercise date The proposed price is the swap theoretical value.

For more information, see “Standard Swaption — Cash Settlement” on page 415.

Swaption — Physical Delivery

LME Swap purchase Exercise date Purchase the swap. The purchase price is zero.

For more information, see “Standard Swaption — Physical Delivery” on page 415.

Option on a future — Cash Settlement

LME Exercise ticket Option expiry date

For the call, the value is the future minus the Strike, if greater than 0.

For the put, the value is the Strike minus the future, if greater than 0.

Option on a future — Physical Delivery

LME Exercise ticket

Purchase of the Future

Option expiry date

The exercise price is zero.

The purchase price is the strike, if option is in-the-money.

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Power and Gas Commodities

This section describes booking deals on power and gas commodities and the generation of automatic tickets for these deals. It contains the following sections:

• “Deals on Power and Gas Commodities” on page 418• “Automatic Tickets for Power and Gas Commodities” on page 418

Deals on Power and Gas Commodities

For general information about booking deals, see “Deals” on page 285.

Automatic Tickets for Power and Gas Commodities

This section describes the generation of automatic tickets for power and gas commodities. Automatic tickets for power and gas commodities are both generated in the same way. These tickets represent the physical and financial delivery contracts of the commodity.

Table 26-3 shows the automatic tickets that are generated by deals on power and gas commodities. The tickets are generated on the date shown in the Forecast Date column of table 26-3.

LME Asian Option — Cash Settlement Only

LME Coupon Float leg settlement date

The average minus the strike, if positive.

Note: The P&L is incorrect on the settlement date until the coupon is generated and transmitted to the portfolio. This is because the coupon value is removed from the swap prices on the day of settlement.

Table 26-2 LME Tickets (Sheet 2 of 2)


Ticket Type Forecast Date Value

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Table 26-3 Power and Gas Tickets (Sheet 1 of 4)


Ticket Type Forecast Date

Value

Swap — Physical contract

Power or Gas Coupon for cash leg only.

Note: The physical leg is displayed in the PowerGas Physical Scheduling portfolio analysis scenario.

For more information, see “Swap — Physical Contract” on page 422.

Swap — Financial contract

Power or Gas Coupon for cash leg.

Future purchase ticket for future leg.


Float leg total

For more information, see “Swap — Financial Contract” on page 423.

Monthly Strip of Options — Cash Settlement

Power or Gas Coupon, if the theoretical value of the corresponding forward is positive.

Float leg strip exercise date

The proposed price is the estimated coupon amount.

Note: Tickets on a strip of options are generated when purchasing the option and for each strip leg of the underlying swap.

For more information, see “Strip of Options — Monthly Cash Settlement” on page 424.

Monthly Strip of Options — Physical Delivery

Power or Gas Swap purchase

Float leg strip exercise date

A new swap is generated according to the option strike and flow dates.


For more information, see “Strip of Options — Monthly Physical Delivery” on page 425.

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Daily Strip of Options — Cash Settlement

Power or Gas Coupon Float leg strip exercise date

The proposed price is the estimated coupon amount.


Daily Strip of Options — Physical Delivery

Power or Gas Coupon, according to the swap.


The coupon amount for daily flows not deleted.

Note: Tickets on a strip of options are generated when purchasing the option as well as for each strip leg of the underlying swap.

The physical leg is displayed in the PowerGas Physical Scheduling portfolio analysis scenario.

For more information, see “Strip of Options — Daily Physical Delivery” on page 425.

VPP Options Power VPP Coupon Settlement date, according to the receiving and paying flow

The quantity delivered during the flow multiplied by the strike of the option.

Note: The amount exercised for VPP coupons is determined during the Power Physical Management process. For more information about this process, see “Power and Gas Scheduling” on page 660.




Value

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GRD Options Power GRD Exercise Settlement date, according to the receiving and paying flow

The price for each hour is the minimum between the spot and the cap, given as the strike of the option. As a result, the value of the coupon is similar to a financial float leg amount, based on the scheduling delivery quantities and hourly prices, where the prices are replaced by the minimum of the price and the cap.

Note: The amount exercised for GRD coupons is determined during the Power Physical Management process. For more information about this process, see “Power and Gas Scheduling” on page 660.




Value

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The following sections show examples of power or gas automatic tickets:

• “Swap — Physical Contract” on page 422• “Swap — Financial Contract” on page 423• “Strip of Options — Monthly Cash Settlement” on page 424• “Strip of Options — Monthly Physical Delivery” on page 425• “Strip of Options — Daily Physical Delivery” on page 425

Swap — Physical Contract

Figure 26-7 shows a swap with a physical receiving leg with a delivery period of Q4 2005 on the 6th of December 2005 and the generated automatic ticket.

Swing Power Swing Coupon Settlement date, according to the receiving and paying flow

The value of the cash leg coupon is the notional of the contract multiplied by the cash leg price and by the number of hours during the flow.

The coupon of the float leg represents the part that was not a physical delivery. Thus, the value corresponds to the float leg of a financial deal, where the quantity of each hour is the difference between the notional and the physical quantity.

Note: The amount exercised for Swing coupons is determined during the Power Physical Management process. For more information about this process, see “Power and Gas Scheduling” on page 660.




Value

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Figure 26-7 Power or Gas Swap Physical Contract and Automatic Ticket

In the example in figure 26-7, the coupon has a Net Price of 5040, which corresponds to the amount on the Full explanation tab of the swap. This value is calculated as follows: 24 hours * 30 days in November * 7 amount in cash leg.

Important: No tickets are generated for the physical leg. You can use the PowerGas Physical Scheduling portfolio analysis scenario to manage the physical delivery of power and gas commodities. For more information, see “Power and Gas Scheduling” on page 660.

Swap — Financial Contract

Figure 26-8 shows a swap with a financial receiving leg with a delivery period of Q4 2005 on the 6th of December 2005.

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Figure 26-8 Power or Gas Swap Financial Contract and Automatic Ticket

As shown in figure 26-8, two coupons are generated for the swap. One for the cash leg and one for the receiving financial leg. The Net Price of the coupon corresponds to the amount on the Full explanation tab of the swap.

Strip of Options — Monthly Cash Settlement

Figure 26-9 shows a strip of options with cash settlement with a swap for Q1 2006 as the underlying.

Figure 26-9 Power or Gas Strip of Options Monthly Cash Settlement and Automatic Ticket

As shown in figure 26-9, a coupon is generated at the Strip Maturity date. The proposed price is equal to the theoretical value of the corresponding flow.

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In the example in figure 26-9, the price of the coupon generated on the 6th of December 2005 corresponds to the theoretical value of the January 2006 period of the contract.

Strip of Options — Monthly Physical Delivery

Figure 26-10 shows a strip of options with physical delivery with a swap for Q1 2006 as the underlying.

Figure 26-10 Power or Gas Strip of Options Monthly Physical Delivery and Automatic Ticket

As shown in figure 26-10, a coupon is generated at the Strip Maturity date. This enables the purchase of a contract corresponding to the flow. The purchase price of the coupon is zero, but the cash leg, which corresponds to the commodity unit price, is given by the strike of the option. In other words, a new swap instrument is created that corresponds to the flow. The cash amount of this swap instrument is set to the strike value of the option.

Strip of Options — Daily Physical Delivery

Figure 26-11 shows a strip of options with physical delivery with a swap for January 2006 as the underlying.

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Figure 26-11 Power or Gas Strip of Options Physical Delivery and Automatic Ticket

You can display all strips that mature within a particular period using the PowerGas Daily strips exercise scenario from the Analysis menu, as shown in figure 26-11. In the example in figure 26-11, the PowerGas Daily strips exercise scenario was launched for the period between 07/12/2005 and 05/01/2006. The exercise date for each daily option corresponds to the Strip Maturity date of the underlying swap instrument.

The Received leg cash flow tab of the swap instrument shows a list of all of the strips over the period. If a strip is not to be exercised it can be deleted from the list, by selecting the line and clicking the X button at the top of the dialog, as shown in figure 26-12.

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Figure 26-12 Received leg cash flow Tab of the Swap Dialog

On the payment date only those strips that were exercised, that is those strips on the Received leg cash flow list, are used for calculation. In the example in figure 26-12, the strip for 1st January 2006, maturing on 7th December 2005, is not used in the calculation.

Settlement of Daily Options

The settlement of daily options occurs on the daily flow settlement dates. An automatic ticket is generated, which corresponds to the settlement of all flows that have not been deleted.

For example, for a daily strip with physical delivery and a swap as underlying for Nov. 2005, two coupons are generated, as shown in figure 26-13.

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Figure 26-13 Power or Gas Strip of Daily Options Automatic Ticket

The second coupon in figure 26-13 corresponds to payment for the underlying swap, as show in figure 26-14.

Figure 26-14 Power or Gas Strip of Daily Options Underlying Swap

As shown in figure 26-14, the Trade Date corresponds to the settlement date of the flow. The Quantity field corresponds to the following:

Number of legs with ticket * Number of daily flows * Number of securities

In the example in figure 26-14, the underlying swap has a physical leg, the number of securities is 1, and the number of flows is 30, and so Quantity is set to 30.

The Net Amount corresponds to the total of the financial and cash legs for each flow. Again, the physical legs are ignored as physical delivery is managed by the PowerGas Scheduling scenario. The Net Amount corresponds to the cash payment. In the example in figure 26-14, this is 40€/MWh * 24h * 30days.

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Closing the Strip Position

On the last day of settlement of the swap, a coupon closing the strip instrument position is generated. As shown in figure 26-15, this is an Exercise coupon that closes the position at zero price.

Figure 26-15 Power or Gas Strip of Daily Options Closing Automatic Ticket

Settlement

The second coupon for the payment of the underlying swap has a Net Amount that is calculated in the same way as the settlement for the daily strip physical delivery, as described in “Settlement of Daily Options” on page 427. Figure 26-16 shows a coupon for the settlement of the payment of the underlying swap.

Figure 26-16 Settlement Automatic Ticket for the Payment of the Underlying Swap

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In the example shown in figure 26-16, the Net Amount of 2700 is calculated as follows: 2 legs * 30 flows * 45 securities.

Asian Options

Tickets are generated for asian options with barriers, as follows:

• If the Cross Date of a prompt barrier clause is null and a fixing used for the computation of the underlying swap crosses the barrier between the start date of the barrier and the current day, a cross barrier ticket is generated.

• If the Cross Date of an Asian clause is null and the End date of the underlying swap is between the start date of the barrier and the current day and the price crosses the barrier, a cross barrier ticket is generated.

If a target redemption is defined for an asian option, a ticket is generated on the same date as the coupon ticket. The Net Amount of the ticket is the same as the value of the coupon. When this ticket is transmitted the TGR clause is updated as follows:

• The Net Amount is added to the Minimum value of the TGR clause.• The Pay Date is set to the Payment date of the coupon.

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Chapter 27 Deals on Inflation Instruments

This chapter describes the processes involved in making deals on inflation instruments in the portfolio. This is described in the following sections:

• “Inflation Bonds” on page 431• “Inflation Swaps” on page 433• “Inflation Caps/Floors” on page 435• “Inflation Futures” on page 437

Deals on inflation instruments are created in the Deal Input dialog. This chapter describes the fields of that dialog that are specific to deals on inflation instruments. For a description of all of the fields of the Deal Input dialog, “Using the Deal Input Dialog” on page 288.

Inflation Bonds

Deals on inflation bonds are created using the standard Deal Input window. To create a deal on an inflation bond, do one of the following:

• Drag and drop a bond from the Inflation Bonds list window into the relevant portfolio in the Portfolio window.

• Choose Security from the Ticket toolbar menu and enter the bond reference in the Reference field.

The Deal Input dialog for an inflation bond is shown in figure 27-1.

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Figure 27-1 New Deal on an Inflation Bond

Deals on inflation bonds are defined in the same way as deals on bonds. The following fields of the Deal Input dialog display data that is specific to deals on inflation bonds:

• Floating nominal— the notional amount of the bond multiplied by the current index value, divided by the index value on the issue date of the bond.

• Next Coupon — the value of the next coupon in the redemption schedule. This is displayed for the receiving leg of the bond.

• Coupon Rate — the interest rate used to calculate the next coupon. This is displayed for the receiving leg of the bond.

• Interest in Days — the number of days for which the accrued interest is calculated from the start date of the current coupon. This is displayed for the receiving leg of the bond.

• Accrued Amount — the accrued interest amount from the last coupon to the current date. This is calculated as the accrued interest, in percent, multiplied by the floating nominal. This is displayed for the receiving leg of the bond.



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Note: The Net Amount of deals on inflation bonds is calculated as the Quantity multiplied by the Nominal and the Accrued Interest.

Automatic Tickets

Tickets are generated for inflation bonds in the same way as fixed bond tickets. A coupon ticket is generated for each yearly cash flow and an expiry ticket is generated at the maturity date for the bond notional redemption.

For all inflation bond coupon and expiry tickets, the coupon and redemption amount is adjusted by the amount in the Index Ratio column on the Explanation tab of the Bond dialog.

Inflation Swaps

Deals on inflation swaps are created using the standard Deal Input window. To create a deal on an inflation swap, do one of the following:

• Drag and drop a bond from the Inflation Swaps list window into the relevant portfolio in the Portfolio window.

• Choose Security from the Ticket toolbar menu and enter the swap reference in the Reference field.

The Deal Input dialog for an inflation swap is shown in figure 27-2.

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Figure 27-2 New Deal on an Inflation Swap

Deals on inflation swaps are defined in the same way as deals on swaps. The following fields of the Deal Input dialog display data that is specific to deals on inflation swaps:

• ex coupon — determines if the next coupon is included in the deal. If this box is checked, the next coupon is not included in the deal. Note: This check box is automatically checked if the ex-coupon date of the swap is after the trade date and unchecked if the ex-coupon date is before the trade date.

• Next Coupon — the value of the next coupon in the redemption schedule. This is displayed for both the receiving and paying leg of the swap.

• Coupon Rate — the interest rate used to calculate the next coupon. This is displayed for both the receiving and paying leg of the swap.

• Interest in Days — the number of days for which the accrued interest is calculated from the start date of the current coupon. This is displayed for both the receiving and paying leg of the swap.

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• Accrued Amount — the accrued interest amount from the last coupon to the current date. This is calculated as the accrued interest, in percent, multiplied by the notional. Note: This is only displayed for the fixed rate leg of the swap.



Automatic Tickets

Inflation swaps are configured as a swap of a fixed rate and an inflation rate. The tickets for deals on these instruments are generated as follows:

• A coupon ticket for each fixed rate cash flow on the payment date of the cash flow. The amount is defined as the fixed rate multiplied by the bond notional.

• A coupon ticket for each inflation cash flow on the payment date of the cash flow. The amount is defined as the inflation rate multiplied by the bond notional. Note: The last inflation cash flow ticket also includes the inflation on the notional amount.

• An expiry ticket is generated at the maturity date of the swap with an amount of 0. This closes the swap position.

Inflation Caps/Floors

Deals on inflation caps and floors are created using the standard Deal Input window. To create a deal on an inflation cap or floor, do one of the following:

• Drag and drop a bond from the Inflation Caps and Floors list window into the relevant portfolio in the Portfolio window.

• Choose Security from the Ticket toolbar menu and enter the cap or floor reference in the Reference field.

The Deal Input dialog for an inflation cap is shown in figure 27-3.

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Figure 27-3 New Deal on an Inflation Cap

Deals on inflation caps and floors are defined in the same way as deals on caps and floors. The following fields of the Deal Input dialog display data that is specific to deals on inflation caps and floors:

• Interest in Days — the number of days for which the accrued interest is calculated from the start date of the current coupon. This is displayed for the receiving leg of the cap or floor.

• Accrued Amount — the accrued interest amount from the last coupon to the current date. This is calculated as the accrued interest, in percent, multiplied by the notional. Note: This is only displayed for the fixed rate leg of the swap.



Automatic Tickets

Tickets for inflation caps and floors are generated as follows:

• A coupon ticket is generated as follows:

- Caps — a coupon ticket is generated if the inflation rate is below the

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strike. The ticket amount is the strike amount multiplied by the notional.- Floors — a coupon ticket is generated if the inflation rate is above the

strike. The ticket amount is the strike amount multiplied by the notional.

• An expiry ticket is generated at the maturity date of the cap/floor with an amount of 0. This closes the cap/floor position.

Inflation Futures

Deals on inflation futures are created using the standard Deal Input window. To create a deal on an inflation futures, do one of the following:

• Drag and drop a bond from the Inflation Futures list window into the relevant portfolio in the Portfolio window.

• Choose Security from the Ticket toolbar menu and enter the future reference in the Reference field.

The Deal Input dialog for an inflation future is shown in figure 27-4.

Figure 27-4 New Deal on an Inflation Future

The Deal Input window displays the same fields as deals on futures. The fields displayed in the Deal Input window for a deal on a future are the same as deals on shares. For more information, see “Shares” on page 325.

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Automatic Tickets

Tickets for inflation futures are generated once, on the maturity date, in the same way as tickets for stock derivatives with future delivery. Tickets for this instrument are then calculated using the inflation rate defined as the underlying. See “Future” on page 231.

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Chapter 28 Deals on Packages

This chapter describes how to create and manage deals on packages. Packages are containers that enable you to define a collection of instruments that can then be booked as a single instrument. For more information about defining packages, see the Instrument Reference Guide. This chapter contains the following sections:

• “Booking Packages” on page 439• “Generating Automatic tickets” on page 439

Booking Packages

To book a package in a portfolio, use the standard Deal Input dialog. For more information about this window, see “Creating Deals” on page 285. The Nominal value of a deal on a package is the Notional value manually set in the Package dialog or the weighted sum of each component of the package.

Generating Automatic tickets

Automatic tickets are generated by forecasts during the life of the booked package. Coupons are generated for each instrument contained in a package, as per the usual behaviour of the instrument, but with the name of the package.

Package adjustment tickets are generated for amortizing instruments. When the package adjustment ticket is transmitted, the values of the package are adjusted based on the notional redeemed.

On the expiry of an instrument contained in a package, or on the expiry of the package if that occurs first, a package expiry ticket is also generated. The business event of this ticket is defined in the Package frame of the Corporate Action tab of the Back Office Parameters dialog. When the package expiry ticket is transmitted, the quantity of the instrument in the package is set to 0.

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Chapter 29 Creating Deals on External Funds

This section describes the procedures required to create deals on external funds and the user rights that control access to external funds. These are described in the following sections:

• “Creating Deals on External Funds” on page 441

Creating Deals on External Funds

Creating deals on external funds is as straightforward as buying any other instrument. To create a deal on an external fund, do the following:

1 Select a fund in the Funds list window.

2 Drag the fund to the relevant folder in the Portfolio window.

3 In the Deal Input window define the parameters of the deal on the external fund. The Deal Input window is shown in table 29-1.

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Figure 29-1 The Deal Input Window for a Deal on an External Fund

Table 29-1 describes the fields that are specific to deals on external funds.

Table 29-1 External Fund fields of the Deal input window. (Sheet 1 of 2)

Field Description

Series The external fund’s series of shares. This drop-down list appears only when the Use series of shares check-box is selected in the Series tab of the fund’s Edition dialog. For more information on series of shares, see Series of Shares in the RISQUE Instrument Reference Guide.

Price The last price of the external fund B.

Market Fees The internal fees amount.

Broker Fees The external fees amount.

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Note: By default, a deal on an external fund will follow the deals workflow. However, the External Fund condition is available in the Workflow Selector to allow you to define a specific workflow for external funds.

Quantity The quantity of the deal. If you enter an amount in this field, the SR Type drop down list is automatically set to In quantity. and the quantity is the number of shares.

If you enter an amount in the Net Amount field, the quantity is multiplied by the fund’s quotity and according to the fund’s rounding mode and the SR Type drop down list is automatically set to In amount.

Entity Entity of Fund A.

NAV Date The date on which the price of the external fund deal will be validated. This field is automatically filled with the next NAV date of the external fund, depending on the cut-off time. This date, however, can be changed.

Cut Off Time The defined cut-off time for the external fund. This is calculated as the external fund’s cut-off time plus any defined cut off delay. For more information on cut-off delays, see Editing Funds in the RISQUE Instrument Reference Guide.

SR Type Determines how the deal ticket is calculated. This can be set to one of:

• In quantity - Subscriptions/Redemptions are validated with the deal quantity set and the amount recalculated.

• In amount - Subscriptions/Redemptions are validated with the deal amount set and the quantity recalculated.

If you enter an amount in the Net Amount field, the SR Type field is set to In amount and the Quantity is calculated according to the price.

If you enter an amount in the Quantity field, the SR Type field is set to In quantity and the Net Amount is calculated.

Net Amount The net amount of the deal. If you enter an amount in this field, the Quantity field is automatically calculated using the fund’s quotity and according to the fund’s rounding mode and the the SR Type drop down list is automatically set to In amount.

Last NAV Date This is displayed beside the Price field and is the last calculated NAV date for this fund. The price of the deal is an estimate until the external fund is validated during EOD.

Table 29-1 External Fund fields of the Deal input window. (Sheet 2 of 2)

Field Description

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Lock-up Status in Redemption Deals

The lock-up status of external fund subscriptions is displayed in the Deal Input window for redemption deals. When a redemption is defined by entering a deal on a subscription with a negative quantity, the Subscription to redeem drop down list is displayed below the Quantity field.

The entries in the Subscription to redeem drop down list is dependent on the lock-up rule for the external fund. The Subscription to redeem drop down list is based on the deal’s NAV date and depository. This drop down list is only displayed for redemption deals with a NAV date after the subscription’s NAV date and with the same depository as the redemption.

The Subscription to redeem drop down list is displayed in figure 29-2.

Figure 29-2 The Subscription to redeem drop down list.

The following may appear for redemption deals:

• If the subscription is fully redeemed — No subscription to redeem is displayed.

• If the deal’s NAV date is within a hard lock-up period — No subscription to redeem is displayed. The drop down list is also populated with a greyed out entry that displays the subscription’s NAV date, the remaining subscription amount, the total subscription amount and the day on which the lock-up period expires.

• If the deal’s NAV date is within a soft lock-up period — The drop down list is populated with an entry that displays the deal’s lock-up fee, the subscription’s NAV date, the remaining subscription amount, the total subscription amount and the day on which the lock-up period expires. This is shown in figure 29-3.

Figure 29-3 Subscriptions to redeem within a soft lock-up period.

• If the deal’s NAV date is outside the lock-up period — The drop down list is populated with an entry that displays the subscription’s NAV date, the remaining subscription amount, and the total subscription amount.

Any lock-up fees are applicable to the deal are added to the deal’s redemption fees and are displayed in the Broker Fees field.

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Chapter 30 Multiple Deals

This chapter describes the process of creating multiple deals simultaneously. This is done using either a spreadsheet or the blotters functionality in the Portfolio window. This chapter contains the following sections:

• “Capturing a Series of Trades via Spreadsheet” on page 445• “Entering Multiple Deals with the Trade Blotters” on page 448

Capturing a Series of Trades via Spreadsheet

You can add a series of deals to RISQUE whose characteristics are defined in a spreadsheet, such as an Excel worksheet.

To add a series of deals, do the following:

1 Ensure that all deal characteristics are correctly defined in the spreadsheet.

The following fields are mandatory for each deal:

- Folio Code- Reference or Code- Negotiation Date

- Value Date- Quantity- Price- Net Amount

For more information about these fields, see “Column Names” on page 446.

2 Copy the lines of the deals.

3 Select Insert worksheet from the Edit menu of RISQUE.

4 Paste the lines of the deals into the Insert worksheet window.

5 Right-click on the name of each column to define the column headers.

A drop-down list with all of the available column headers is displayed.

6 Select an area from the spreadsheet.

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7 Select Insert SQL from the Functions menu on the worksheet toolbar.

This updates the HISTOMVTS database table and the deals are displayed in the portfolio.

Note: If you re-select the same area and choose Insert SQL, you can duplicate the deals you created.

Table 30-1 describes the worksheet functions.

Column Names

Table 30-2 describes the worksheet columns.

Table 30-1 Worksheet Functions

Functions Arguments Returns

BROKERFEES Sicovam, quantity, price, gross amount, broker id

Broker Fees

GROSSAMOUNT Sicovam, quantity, price, accrued (optional)

Gross Amount

MARKETFEES Sicovam, quantity, price Market Fees

INSTRUMENTCODE One of the following: Mnemo, Reference, External_reference

Code

VALUEDATE Sicovam, date_neg Value Date

NETAMOUNT Sicovam, quantity, price, date_neg, broker_id

Net Amount

ACCRUEDAMOUNT Sicovam, quantity, date_neg Accrued amount

Table 30-2 Column Names (Sheet 1 of 3)

Name Description

None Deselects the currently selected column.

Accrued Amount The amount of the accrued in the deal.

Accrued Coupon The accrued coupon amount in the deal.

Back Office The back office status of the deal.

Back Office Information

Comments associated with the deal entered by a back office user.

Broker Code The reference of the third party that is the broker of the deal.

Broker Name The name of the third party that is the broker of the deal.

Broker Fees The broker fees associated with the deal.

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Currency The currency of the deal.

Code The internal reference of the instrument. This corresponds to the SICOVAM column in the TITRES table. You can refer to an instrument using this internal reference or using the Reference or Code Name fields.

Code Type Specify this field to insert simulated deals and not real deals. The values in this field correspond to the column TYPESICO in the HISTOMVTS table.

Counterparty Code The code of the third party that is the counterparty of the deal.

Counterparty Fees The counterparty fees associated with the deal.

Counterparty Name

The name of the third party that is the counterparty of the deal.

Code Name The instrument name. This corresponds to the LIBELLE column in the TITRES table. The instrument name is not a unique identifier for the instrument and so it is usually more appropriate to use the Reference or Code fields.

Delivery type ID The settlement method or delivery type of the deal. This corresponds to the SM/DT field of the Deal Input window.

Depositary Code The reference of the third party that is the depositary of the deal.

Depositary Name The name of the third party that is the depositary of the deal.

Depositary of Counterparty Code

The reference of the third party that is the depositary of the counterparty of the deal.

Depositary of Counterparty Name

The name of the third party that is the depositary of the counterparty of the deal.

Entity Code The reference of the entity of the deal. This corresponds to the IDENT column in the TIERS table.

Entity Name The name of the entity of the deal. This corresponds to the NAME column in the TIERS table.

Folio Code The reference of the portfolio containing the deal.

Folio Name The name of the portfolio containing the deal.

FX Exchange rate The forex exchange rate of the deal.

FX Uncertain The uncertain forex rate of the deal.

Information Comments associated with the deal.

Market Fees Market fees associated with the deal.

Movement Type This is the business event of the deal. The default value is Purchase/Sale. This corresponds to the TYPE column in the HISTOMVTS table.


Name Description

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Entering Multiple Deals with the Trade Blotters

The portfolio deal blotters enable you to enter multiple deals at one time. The following types of blotter are available:

• “Cross-Asset Blotter” on page 449• “Asian/Swaption Trade Blotter” on page 451• “Fixed Swap Trade Blotter” on page 453• “Float Swap Trade Blotter” on page 454• “LME Daily Future Trade Blotter” on page 456• “Power and Gas Asian/Swaption Trade Blotter” on page 458• “Power and Gas Float Swap Trade Blotter” on page 459• “Power and Gas Trade Blotter” on page 459• “Credit Default Event Blotter” on page 461• “Credit Default Swap Blotter” on page 462• “Forex Swap” on page 464• “Vanilla FX Option Blotter” on page 466• “Forex Basis Swap Blotter” on page 468• “Interest Rate Swap Blotter” on page 472• “Variance Swap Blotter” on page 473

Negotiation Date The negotiation date of the deal.

Negotiation Time The negotiation time of the deal.

Net Amount The net amount of the deal.

Operator Code The internal reference of the operator associated with the deal.

Operator Name The name of the operator associated with the deal.

Price The price of the instrument of the deal.

Quantity The number of units of the instrument in the deal.

Quotation Type The price type of the deal.

Repo n/a

Refcon The internal reference of the instrument associated with the deal.

Reference The reference of the instrument. This corresponds to the REFERENCE column in the TITRES table.

Value Date The date of the last received quote of the instrument associated with the deal.

Workflow ID The workflow of the deal.


Name Description

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Cross-Asset Blotter

If you make many deals on simple instruments, it can be time-consuming to manually define individual deal tickets for each deal. A blotter facility is provided to enable you to enter any number of deals at the same time.

1 Click on the Blotter button.

2 Select Cross-Asset Blotter from the drop-down list

The Cross-Asset Blotter window is displayed, as shown in figure 30-1.

Figure 30-1 Cross-Asset Blotter window

Table 30-4 describes the columns of the Cross-Asset Blotter window.

Table 30-3 Deal Blotter Icons

Button Description

Blotter icon

Save Icon

Delete Icon

Generate Icon

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3 In the first line of the Cross-Asset Blotter, enter the details of a deal you wish to make.

Table 30-4 Cross-Asset Blotter

Field Description

Instrument Code The reference of the instrument.

This value must match one of the instrument references on the system. To check an instrument reference, open an instrument window, and view the References field.

Instrument Name The name of the instrument. This value is automatically generated when a valid value is entered in the Instrument Code field.

Quantity Units of the instrument of the deal.

Price Price of the instrument.

Negotiation Date Negotiation date of the trade.

Portfolio Select a portfolio from the drop-down list.

You can select either the portfolio on which the Multiple Deals icon was clicked, or any of its sub-portfolios.

Value Date Value date of the trade.

Folio Ticket Template Allows you to select a pre-defined template from the drop-down list.

Broker Broker of the trade.

Counterparty Counterparty of the trade.

Depositary Depositary of the trade.

Market Fees Market fees for the trade.

Broker Fees Broker fees for the trade.

Counterparty fees The counterparty fee for the deal.

FO Comments Allows you to enter comments on the deal.


Net Amount Currency The currency of the net amount.

Business Event The business event associated with the deal.

Forex Rate The forex rate used to convert the currencies of the deal.

Forex Pair The Forex rate used to convert the payment currency if it is different to the underlying currency.

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4 Click on the Generate button in the main window toolbar, to automatically enter the value date and negotiation date.

5 Enter as many deals as required in the subsequent lines of the blotter.

Asian/Swaption Trade Blotter

Complete the following steps to open an Asian/Swaption Trade Blotter from the Portfolio window:


2 Select Asian/Swaption Trade Blotter from the drop down list.

The Asian/Swaption Trade Blotter is displayed, as shown in figure 30-2.

Figure 30-2 Asian Swaption Trade Blotter

Table 30-5 describes the field names in the Asian/Swaption Trade Blotter window.

Table 30-5 Asian Swaption Trade Blotter list window (Sheet 1 of 2)

Field Description

Underlying Template The name of an existing swap to be used as the template.

Reference The reference of the swap.

Commodity The name of an existing commodity.

Option Type The type of the option. You can choose one of the following:

• Asian• Swaption

Start The start date for the swap.

End The end date for the swap.

Fixing type Select a fixing type from the drop-down list.

Maturity The maturity date for the swap.

C/P Select Call or Put from the drop down list.

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Opt. currency The currency of the option.

ATM Average The at-the-money average of the swap.

Strike The strike price of the swap.

Global Th. Price The theoretical price of the swap.

Average Th. Price The average theoretical price of the swap.

Average Price The average transaction unit price of the instrument being bought or sold.

Quantity Enter the number of units of the instrument of the deal.

Market The market of the deal.

FO Comments Enter free-text comments.

Name The name of the swap, automatically generated when you click on the Wizard button.


Folio Ticket Template Select a pre-defined template from the drop-down list.

Broker Select the broker of the swap from the drop-down list.

Counterparty Select the counterparty of the swap from the drop-down list.


Value Date Enter the value date of the swap.

Freq Select the frequency of the payments, for example, monthly, quarterly.

Payment Offset Enter the payment offset in days.

Underlying Model Select a model from the drop-down list.

Option Model Select a model from the drop-down list.

Swaption Delivery Select the delivery type of the swap.

Depositary Select the depositary of the swap from the drop-down list.

Broker Fees The broker fees for the swap.

Market Fees Enter the market fees for the swap.

Table 30-5 Asian Swaption Trade Blotter list window (Sheet 2 of 2)

Field Description

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Fixed Swap Trade Blotter

Complete the following steps to open a Fixed Swap Trade Blotter from the Portfolio window:


2 Select Fixed Swap Trade Blotter from the drop down list.

The Fixed Swap Trade Blotter is displayed, as shown in figure 30-3.

Figure 30-3 Fixed Swap Trade Blotter

Table 30-6 describes the field names in the Fixed Swap Trade Blotter window.

Table 30-6 Fixed Swap Trade Blotter (Sheet 1 of 2)

Field Description

Swap Template Enter a defined Commodity Swap Template.

Reference Enter the swap reference.

Swap Currency Select the Swap currency from the drop-down list.

Commodity Enter the commodity reference associated with the Commodity Swap template.

Start Enter the start date of the swap.

End Enter the end date of the swap.

Fixing Type Select the float fixing type from the drop-down list.


Model Select a model from the drop-down list.

ATM Value The at-the-money value of the swap.

Price The price of the deal.

Name Displays the name of the swap, which is generated when you click on the Generate Data button.

Quantity Enter the number of units of the instrument of the trade.

Float Currency Select the Float currency from the drop-down list.

Fixed Currency Select the Fixed currency from the drop-down list.

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Float Swap Trade Blotter

Complete the following steps to open a Float Swap Trade Blotter from the Portfolio window:


2 Select Float Swap Trade Blotter from the drop down list.

The Float Swap Trade Blotter is displayed.

Figure 30-4 Float Swap Trade Blotter

Th. Cash Enter a theoretical cash amount to nullify the value if the swap

Cash Enter a cash amount.








Broker fees Enter the broker fees for the swap.

Market fees Enter the market fees for the swap.


Payment Gap The number of days between the expiry and payment dates. The Payment Gap Type drop-down list on the Advanced tab of the Swap window specifies the type of days. The default value of this drop-down list is Open Days.

Table 30-6 Fixed Swap Trade Blotter (Sheet 2 of 2)

Field Description

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Table 30-7 describes the field names in the Float Swap Trade Blotter window.

Table 30-7 Float Swap Trade Blotter (Sheet 1 of 2)

Field Description



Swap Currency Select the swap currency from the drop-down list.

Commodity 1 Enter the first commodity reference.

Commodity 2 Enter the second commodity reference.

Currency Leg 1 Select the currency of the first leg from the drop-down list.

Currency Leg 2 Select the currency of the second leg from the drop-down list.

Start Leg 1 Enter the start date of first leg.

End Leg 1 Enter the end date of first leg.

Start Leg 2 Enter the start date of second leg.

End Leg 2 Enter the end date of second leg.

Leg notional Indicates where the notional of the legs is inherited

from. You can choose one of the following:• Modify Paying Leg• Template

Fixing Type 1 Select a Fixing Type for the first leg from the drop-down list.

Fixing Type 2 Select a Fixing Type for the second leg from the drop-down list.


Model Select a model from the drop-down list. Select from Standard, Convertible Asset Swap, Credit Swap, Dividend Swap, Market To Market, No Increase of nominal, Nominal Increase, Rediscount.

Th. Cash 1 Theoretical cash on the first Leg that nullifies the first leg equivalent float/fixed swap

Th. Cash 2 Theoretical cash on the second Leg that nullifies the second leg equivalent float/fixed swap

Th. Spread Theoretical Spread on the second leg that nullifies the current float swap

Spread Enter the spread to be applied to the swap.

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LME Daily Future Trade Blotter

This section describes how to enter multiple daily future deals on LME commodities.


2 Select LME Daily Future Trade Blotter from the drop down list.

The LME Daily Future Trade Blotter is displayed, as shown in figure 30-5.

Figure 30-5 LME Daily Future Trade Blotter

Name The Name of the Swap, generated when you click on the Generate Data button

Quantity Enter the number of units of the commodity of the deal.



Broker Select a broker from the drop-down list.





Broker Fees Enter the broker fees for the swap.



Align flow dates Indicates if the flow dates of the legs are aligned.


Table 30-7 Float Swap Trade Blotter (Sheet 2 of 2)

Field Description

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Table 30-8 describes the field names in the LME Daily Future Trade Blotter window.

Table 30-8 LME Daily Future Trade Blotter list window.

Field Description

Strips Enter the number of strips that are generated for the deal. These strips are generated as deals on daily futures.

Commodity Code The commodity reference.

Commodity Name The name of the commodity.

Future Cur. Select the future currency from the drop-down list.

Delivery Date The delivery date of the future. You can also define the delivery date using the following shortcuts:

• 3m — A deal on a three month future.• t — A deal on a future that expires tomorrow.• c — A deal on a future that expires on the current

date.• mmm yy — A deal on a future that expires on the

third wednesday of the specified month and year.

Theo. Theoretical value of the future.

Price Price of the future.

Quantity Enter the number of units of the future of the deal.



Broker Select a broker from the drop-down list.





Broker Fees Enter the broker fees for the swap.



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Power and Gas Asian/Swaption Trade Blotter

This section describes how to enter multiple asian option or swaption deals on power or gas commodities.


2 Select Power&Gas Asian/Swaption Trade Blotter from the drop down list.

The Power&Gas Asian/Swaption Trade Blotter is displayed, as shown in figure 30-6.

Figure 30-6 Power&Gas Swap Trade Blotter

Asian option and swaption deals on power and gas commodities are created in the the same way as standard asian options and swaptions in the Asian/Swaption Trade Blotter.

Table 30-9 describes the fields of the Power&Gas Swap Trade Blotter window that are unique to power and gas asian options and swaptions. All other fields are described in “Asian/Swaption Trade Blotter” on page 451.

Table 30-9 Power and gas fields in the Power&Gas Asian/Swaption Trade Blotter

Field Description

Period Standard delivery period of the option.

Load Delivery load of the option.

Th. Price per hour Price of the option per granular unit.

Quantity The number of units to be traded. This quantity is delivered for each granular unit in the delivery period.

Total Period Quantity Total number of securities to be traded for the delivery period of the swap.

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Power and Gas Float Swap Trade Blotter

This section describes how to enter multiple float/float swap deals on power or gas commodities.


2 Select Power&Gas Float/Float Trade Blotter from the drop down list.

The Power&Gas Float/Float Swap Trade Blotter is displayed, as shown in figure 30-7.

Figure 30-7 Power&Gas Float Swap Trade Blotter

Float/float swap deals on power and gas commodities are created in the same way as standard floating swaps in the Float Swap Trade Blotter.

Table 30-10 describes the fields of the Power&Gas Float Swap Trade Blotter window that are unique to power and gas floating swaps. All other fields are described in “Float Swap Trade Blotter” on page 454.

Power and Gas Trade Blotter

This section describes how to enter multiple deals on power or gas commodities.


2 Select Power&Gas Swap Trade Blotter from the drop down list.

The Power&Gas Swap Trade Blotter is displayed, as shown in

Table 30-10 Power and gas fields in the Power&Gas Float Swap Trade Blotter

Field Description

Period 1 Delivery period of the receiving leg of the swap.

Load 1 Delivery load defined for the receiving leg of the swap template.

Period 2 Delivery period of the paying leg of the swap.

Load 2 Delivery load defined for the paying leg of the swap template.

459


figure 30-7.

Figure 30-8 Power&Gas Swap Trade Blotter

Table 30-10 describes the field of the Power&Gas Swap Trade Blotter window.

Table 30-11 Power&Gas Swap Trade Blotter (Sheet 1 of 2)

Field Description

Line Reference number of the line in the blotter.


Commodity 1 Reference code of the commodity defined for the receiving leg of the swap template.

Quantity Enter the number of units to trade.

Delivery Period 1 Delivery period of the receiving leg of the swap.

Delivery Load 1 Delivery load defined for the receiving leg of the swap template.

Commodity 2 Reference code of the commodity defined for the paying leg of the swap template.

Delivery Period 2 Delivery period of the paying leg of the swap.

Delivery Load 2 Delivery load defined for the paying leg of the swap template.

Th. Cash or Spread Theoretical value of the cash or spread amount. This is automatically calculated when you populate the columns of the row.

Cash or Spread Defines the cash value amount of the cash leg or the spread amount of futures leg of the swap.

Name Name of the swap. This is automatically created when you populate the columns of the swaps.


Model Swap model. By default, this is set to Standard.

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Credit Default Event Blotter

This section describes how to enter multiple Credit Default Swaps.


2 Select Credit Default Event Blotter from the drop-down list.

The Credit Default Event Blotter is displayed, as shown in figure 30-9.

Figure 30-9 Credit Default Event Blotter

Total Period Quantity Total number of securities to be traded for the delivery period of the swap.

Notional The notional of the swap.

Broker Broker to be used for the swap. Only defined brokers appear in this drop down list.

Broker Fees Fees that are charged by the broker for the deal.

Counterparty Counterparty to be used for the swap. Only defined counterparties appear in this drop down list.

Depositary Depositary to be used for the swap. Only defined Depositaries appear in this drop down list.

FO Comments Optional comments for the deal. These comments will appear in the FO Comments field of the deal.

Folio Ticket Template Populates the Counterparty, Broker, and Depositary columns according to those defined in the folio ticket template. Only defined folio ticket templates appear in this drop down list.

Market Fees Fees that are charged for the deal on the market.

Negotiation Date Negotiation date of the deal. By default, this is set to the current date.

Portfolio Portfolio of the swap. This is automatically set to the portfolio for which you launched the report.

Value Date Value date of the swap. This is calculated as the negotiation date plus the payment offset.

Table 30-11 Power&Gas Swap Trade Blotter (Sheet 2 of 2)

Field Description

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3 Complete the following fields:

- CDS Reference — the reference of the CDS to close - Quantity — The quantity. If the quantity is 20 in the portfolio then -20

should be set in this field to close the position.- Delivered Bond Ref. — The reference of the bond delivered by the

protection buyer. - Received Bond Ref. — If the protection is another bond, specify the bond

reference used as protection here. If not selected, the protection is assumed to be cash.

4 Click on the Wizard button, the theoretical value of the Accrued Amount is displayed. This value can be changed and corresponds to the accrued amount of the CDS times the quantity.

5 Fill in the portfolio fields of the ticket.

6 Close the blotter window. When closing the window you are prompted to send the tickets, click Yes to generate the CDS closure.

If no Received Bond Ref. is selected two tickets are generated:

• One to close the swap with a price of notional minus the accrued interest• One to generate a ticket of bonds (Delivered Bond Ref.) with price set to 0

and the quantity set according to the notional of the swap.

If a Received Bond Ref. is selected three tickets are generated:

• One to close the swap with a price of minus the accrued interest. The notional is not received because a bond is received as protection.

• One to generate a ticket of bonds (Delivered Bond Ref.) with price set to 0 and the quantity set according to the notional of the swap.

• One to generate a ticket of bonds (Received Bond Ref.) with price set to 0 and the quantity set according to the notional of the swap.

Credit Default Swap Blotter

You can create multiple single name credit default swaps with the Credit Default Swap blotter. To book credit default swaps, do the following:

• Click Credit Default Swap from the Blotters toolbar menu. This opens the Credit Default Swap Blotter, as shown in figure 30-10.

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Figure 30-10 Credit Default Swap Blotter

Table 30-12 describes the fields of the Credit Default Swap Blotter window.

Table 30-12 Fields of the Credit Default Swap Blotter (Sheet 1 of 2)

Name Description

Obligation The underlying of the credit leg.

Reference Entity The issuer of the underlying.

Seniority The seniority of the issuer.

Default Event The default event of the swap.

Notional The notional amount of the swap.

Currency The swap currency.

Start Date The start date of the swap. This is today’s date.

End Date The end date of the swap

Name The name of the swap.

Reference The reference code of the swap.

Frequency The frequency of the swap.

Fixed Rate The fixed rate.

Basis The day count basis for the swap.

Mode The mode of the swap.

Buyer/Seller Choose if the deal is booked for a seller or a buyer.

Quantity If the deal is for a buyer, this field is populated with 1. If the deal is for a seller, this field is populated with -1.

Entity The entity for the swap.

Counterparty The counterparty for the deal.

Portfolio The portfolio that the deal is booked in.

Depositary The depositary for the deal.

Calculation Agent The calculation agent for the deal.

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Forex Swap

Forex Swaps refer to swaps that exchange a notional amount, expressed in a given currency, at two given dates in another currency. The first date is commonly the value date of the first forex forward contract available. The second date is the expiry of the forex swap.

Complete the following steps to enter a number of foreign exchange swaps:


2 Select Forex Swap from the drop-down list.

The Forex Swap Blotter is displayed, as shown in figure 30-11.

Figure 30-11 Forex Swap Blotter

Broker The broker for the swap.

FO Comments Comments for the front office.

Break Even The break even of the fixed leg.

Theo. Value The theoretical value of the swap in %.

Amount The difference between the present value of the legs of the swap.

Price The price of the swap.

Table 30-12 Fields of the Credit Default Swap Blotter (Sheet 2 of 2)

Name Description

Table 30-13 Forex Swap Blotter (Sheet 1 of 2)

Field Description

First currency The first currency involved in the swap.

Second currency The second currency involved in the swap.


Value Date The value date of the swap.

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3 In the first line of the Forex Swap blotter, enter the details of the swap you wish to make. You must define the following fields:

- the two currencies involved- an expiry date

Forex Expiry The forward date of the swap.

Days The number of days of the swap based on the Forex Expiry. This is a read-only field.

Spot Rate The spot rate of the forex.

Fwd Point Real. This value is used to calculate the price of the second forex tickets (absolute and relative forward).

Amount First Currency The quantity of the first currency of the forex.

Amount Second Currency The quantity of the second currency of the forex.

First Currency Rate The rate of the first currency of the forex swap.

Second Currency Rate The rate of the second currency of the forex swap.

Type The type of the swap. This can be one of the following:• Absolute Forward• Relative Forward• Absolute Forward Add Point• Relative Forward Add Point• Absolute Rate• Relative Rate






Broker Fees The broker fees for the swap.

Market Fees The market fees for the swap.

Forex Spot The spot of the foreign exchange swap.

Forex Theo. The foreign exchange theoretical value.

Fwd Point Theo. This value is calculated when you generate information using the Wizard toolbar button. Fwd Point Theo = (ForexTheo/Forex Spot) - 1.


Table 30-13 Forex Swap Blotter (Sheet 2 of 2)

Field Description

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- a forward point computation mode and day count basis (or the - ticket information via a ticket template (broker, counterparty,

depositary).

4 Click on the Generate button in the main window toolbar to automatically populate the following fields:

- the negotiation date (today) the value date (taking into account the forex payment leg)

- the theoretical spot value of the forex at the value date- the theoretical forward value of the forex at the expiry date- the theoretical forward point (spread over the spot forex, taking into

account the computation mode and the day count basis)

5 You can choose the real forex at the value date and the real forward point of the deal (or the real forex forward at the expiry date), the Broker and Market fees and the Portfolio where the swap is to be booked.

6 Enter as many swaps as required, in the subsequent lines of the blotter.

7 When closing the blotter window, two positions are generated:

- one long position for the forex at value date.- one short position for the forex at expiry date.

Vanilla FX Option Blotter

Complete the following steps to open a vanilla FX option blotter from the Portfolio window:


2 Select Vanilla FX Option Blotter from the drop-down list.

The Vanilla FX Option Blotter window is displayed, as shown in figure 30-12.

Figure 30-12 Vanilla FX Option Blotter

Table 30-14 describes the fields of the Vanilla FX Option Blotter window.

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Table 30-14 Vanilla FX Option Blotter (Sheet 1 of 2)

Name Description

Forex The forex of the option.

Quotation Curr. The currency of the option.

Maturity The maturity of the option.

Spot The spot of the option. This is a read-only field.

Fwd. Price The forward price of the option. This is a read-only field.

Strike The strike of the option.

Nominal The nominal of the option.

Theo. Value The theoretical value of the option in %. This is a read-only field.

Delta The delta of the option. This is a read-only field.

Gamma The gamma of the option. This is a read-only field.

Vega The vega of the option. This is a read-only field.

Volatility The volatility of the option. This is a read-only field.

Delivery Date The delivery date of the swap. This field is automatically filled based on the value entered in Maturity.

Transaction Date The transaction date of the swap. This field is automatically filled with today’s date.

Premium The premium of the price of the deal.

Premium Curr. The currency of the premium of the deal.

Prem. Payment Date The payment date of the premium of the deal.

Call / Put Indicates if the option is a call or put option.

Exercise Type The exercise type of the option. You can choose one of the following:

• European• American

Allotment The allotment of the option. The default value is the allotment of the forex.

Buy / Sell Indicates if the option is a buy or sell option.

Fixing type The fixing type of the option.

Delivery Type The delivery type of the option.

Name The automatically generated name of the option, in the following form:

Call/Put FXO Forex @ Strike->Maturity

This is a read-only field.

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Forex Basis Swap Blotter

In order to define basis swaps using the Forex Basis Swap Blotter, you must have the following defined:

• A swap curve family created for the currency of the swap.• A yield curve defined with the Model drop-down list set to Forex Curve.• The interest rate defined in the Long Rate field of the yield curve defined

with the Model drop-down list set to Basis Swap Curve.

This information is used to populate fields in the blotter.

Complete the following steps to open a forex basis swap blotter from the Portfolio window:


2 Select Forex Basis Swap Blotter from the drop-down list.

The Forex Basis Swap Blotter window is displayed, as shown in figure 30-13.

Option Model The model of the option.

Entity The entity of the deal.

Type The hedge type of the option.

Rate The rate of the hedge deal.

Notional in Curr. 1 The notional in the first currency of the hedge deal.

Notional in Curr. 2 The notional in the second currency of the hedge deal.

Broker The broker of the deal.

Broker fees The fees of the broker of the deal.

Counterparty The counterparty of the deal.

Counterparty fees The fees of the counterparty of the deal.

FO Comments Any additional free-text comments.

Market fees The market fees of the deal.

Portfolio The portfolio containing the deal on the option.

Table 30-14 Vanilla FX Option Blotter (Sheet 2 of 2)

Name Description

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Figure 30-13 Forex Basis Swap Blotter

Table 30-15 describes the fields of the Forex Basis Swap Blotter window.

Table 30-15 Forex Basis Swap Blotter (Sheet 1 of 2)

Name Description

Swap Currency The currency of the swap.

Swap Rate Family The curve family of the swap.

Receiving leg Indicates if the receiving leg of the swap is fixed or floating.

Start Date The start date of the swap. This field is automatically filled with today’s date plus the settlement lag of the swap rate.

End Date The end date of the swap.


IR Curve The reference of the index rate of the swap.

Notional Exchange Defines when the notional exchange occurs in the lifecycle of the swap. Defined as follows:

• No exchange — There is no exchange of notional.• Final — The exchange occurs at the end of the swap.• Initial — The exchange occurs at the beginning of

the swap.• Both — The exchange occurs at the beginning and

the end of the swap.

Receiving Currency The currency of the receiving leg.

Receiving IR Index The reference of the index rate of the receiving leg.

Receiving Spread The spread of the receiving leg.

Paying Currency The currency of the paying leg.

Paying IR Index The reference of the index rate of the paying leg.

Paying Spread The spread of the paying leg.

Name The automatically generated name of the swap, in the fol-lowing form:

IRS Floating rate ref @ Fixed rate End date

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Tenor Basis Swap Blotter

In order to define several basis swaps using the Tenor Basis Swap Blotter, you must have the following defined:

• A swap curve family is created for the currency of the swap.• An interest rate is defined in the Long Rate field of the yield curve.

The information for these curves is used to populate fields in the blotter.

Complete the following steps to open the Tenor Basis Swap Blotter from the Portfolio window:


2 Select Tenor Basis Swap Blotter from the drop-down list.

The Tenor Basis Swap Blotter window is displayed, as shown in figure 30-14.

Forex The swap forex pair.

Rate Exchange The amount of the forex exchange of the swap currencies.

Break Even The break even of the fixed leg. This is a read-only field.

Theo. Value The theoretical value of the swap in %. This is a read-only field.

Amount The swap amount value. This is a read-only field.



Counterparty The counterparty of the swap.

Counterparty fees The counterparty fees for the swap.

Depositary The depositary of the deal.



Portfolio The portfolio containing the deal on the swap.

Table 30-15 Forex Basis Swap Blotter (Sheet 2 of 2)

Name Description

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Figure 30-14 Tenor Basis Swap Blotter

Table 30-16 describes the fields of the Tenor Basis Swap Blotter window.

Table 30-16 Tenor Basis Swap Blotter

Name Description


Discount Rate Family The curve family of the swap.




Receiving Rate Family The rate family of the swap receiving leg.

Receiving IR Index The reference of the index rate of the receiving leg.

Receiving Spread The spread of the receiving leg.

Paying Rate Family The rate family of the swap paying leg.

Paying IR Index The reference of the index rate of the paying leg.

Paying Spread The spread of the paying leg.

Name The automatically generated name of the swap, in the fol-lowing form:

TBS Floating rate ref @ Fixed rate End date

Receiving Break Even The break even of the receiving leg. This is a read-only field.

Paying Break Even The break even of the paying leg. This is a read-only field.






Counterparty fees The counterparty fees for the swap.





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Interest Rate Swap Blotter

Complete the following steps to open a interest rate swap blotter from the Portfolio window:


2 Select Interest Rate Swap Blotter from the drop-down list.

The Interest Rate Swap Blotter window is displayed, as shown in figure 30-15.

Figure 30-15 Interest Rate Swap Blotter

Table 30-17 describes the fields of the Interest Rate Swap Blotter window.

Table 30-17 Interest Rate Swap Blotter (Sheet 1 of 2)

Name Description

Currency The currency of the swap.


IR Index The reference of the index rate of the swap.

Rate Family The name of the rate curve family.

Name The automatically generated name of the swap, in the following form:

IRS Floating rate ref @ Fixed rate End date



Receiving leg Indicates if the receiving leg of the swap is fixed or floating.

Frequency The fixed rate frequency of the swap. This field is automatically filled based on the value entered in IR Index.

Basis The basis of the swap. This field is automatically filled based on the value entered in IR Index.

Mode The fixed rate mode of the swap. This field is automatically filled based on the value entered in IR Index.

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Variance Swap Blotter

The Variance Swap Blotter allows you to create and book multiple variance swaps from the Portfolio window.

To create a variance swap and book a deal on it, do the following:

1 Load a portfolio in the Portfolio window.

2 Select Variance Swap Blotter from the Blotters button drop-down menu.

The Variance Swap window is displayed, as shown in figure 30-16.

Figure 30-16 Variance Swap Window

Rate The rate of the swap.

Break Even The break even of the fixed leg. This is a read-only field.










Table 30-17 Interest Rate Swap Blotter (Sheet 2 of 2)

Name Description

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Table 30-18 Fields of the Variance Swap Window

Name Description

Receiving Leg The fixed or variance leg of the swap.

Currency The currency of the underlying.

Start Date The start date of the swap.


Vega Notional The notional amount of the swap, in terms of Vega. The Vega notional is calculated as:

(10,000 x Vega Notional)/(2 x Strike)

Swap notionals The swap notional value, as calculated by the Vega Notional field.

Name The name generated by RISQUE for the swap, in the form:

Varswp[Underlying Name]@[Volatility Strike][End Date]


Underlying The underlying of the receiving leg of the swap.

Fixing Column Specifies which fixing to use. The possible values are as follows:

• Last• First• High• Low

Variance Cap Cap applied to total variance*multiplication factor.

Volatility Strike(%) The value used to compute the variance strike of the swap.

Variance Strike (%) The variance strike of the swap. The variance strike is calculated as:

(Volatility^2)/100

Fair Vol Strike The square root of the break-even value. This is equal to the average volatility when entering the variance swap.



Amount The difference between the swap legs.

Entity The entity of the swap.



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Portfolio The portfolio in which the deal is booked.

Reference The reference of the receiving leg of the swap.

Table 30-18 Fields of the Variance Swap Window

Name Description

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Chapter 31 One Deal Blotters

You can create a swap or option on an existing instrument and book a deal on that swap or option from within one dialog, using the One Deal Blotters toolbar menu on the Portfolio window. For more information about the Portfolio window, see “Portfolio Window” on page 53. The One Deal Blotters menu opens a [New Deal] dialog for the following types of instruments:

• “Asian/Swaption” on page 478• “Asian/Swaption in Lots” on page 480• “Fixed Swap” on page 480• “Float Swap” on page 483• “LME Daily Future” on page 486• “Power&Gas Asian/Swaption” on page 488• “Power&Gas Float/Float” on page 491• “Power&Gas” on page 494• “Credit Default Event” on page 496• “Credit Default Swap” on page 499• “Cross-Asset” on page 501• “Forex Swap” on page 503• “Vanilla FX Option” on page 506• “Forex Basis Swap” on page 509

• “Tenor Basis Swap” on page 513• “Interest Rate Swap” on page 516• “Variance Swap Blotter” on page 519

Each [New Deal] dialog contains event buttons that let you choose which workflow event to use, such as validating and creating the deal or leaving the deal pending validation from the back office.

If you try to send tickets for a deal for which fields in the dialog have not been correctly filled, RISQUE displays an error message showing the fields that you must correct.

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Asian/Swaption

You can create and book a deal on an asian option or a swaption by choosing Asian/Swaption from the One Deal Blotters toolbar menu. This opens the [New Deal] Asian/Swaption dialog, as shown in figure 31-1.

Figure 31-1 [New Deal] Asian/Swaption Dialog

The following sections describe the frames of the [New Deal] Asian/Swaption dialog:

• “Asian / Swaption Contract Frame” on page 478• “Deal Frame” on page 479

Asian / Swaption Contract Frame

Table 31-1 describes the fields of the Asian / Swaption Contract frame of the [New Deal] Asian/Swaption dialog.

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Deal Frame

Table 31-2 describes the fields of the Deal frame of the [New Deal] Asian/Swaption dialog.

Table 31-1 Fields of the Asian / Swaption Contract Frame

Name Description

Underlying Template The swap template for the option.

Reference The reference of the option. If you do not enter a value, RISQUE generates a reference.

Name The name generated by RISQUE for the option, in the form:

Commodity Freq Start date-End date CStrike Type




Commodity The reference of the commodity instrument of the option.


Start The start date of the swap.

End The end date of the swap.

C/P Indicates if the option is a call or put option.

Strike The strike price of the option.

Freq The frequency of the payments.

ATM Average The at-the-money average of the option. This is a read-only field.


Market The market of the option.

Payment Offset The payment offset of the option. The payment date is the end date plus this value.

Underlying Model The model of the underlying of the option.


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Asian/Swaption in Lots

You can create and book a deal on an asian option or a swaption in lots by choosing Asian/Swaption in Lots from the One Deal Blotters toolbar menu. This opens the [New Deal] Asian/Swaption in Lots dialog. The fields of the [New Deal] Asian/Swaption in Lots dialog are the same as the fields of the [New Deal] Asian/Swaption dialog. For more information about these fields, see “Asian/Swaption” on page 478.

Fixed Swap

You can create and book a deal on a fixed swap by choosing Fixed Swap from the One Deal Blotters toolbar menu. This opens the [New Deal] Fixed Swap dialog, as shown in figure 31-2.

Table 31-2 Fields of the Deal Frame

Name Description

Quantity per Period The number of securities bought (positive) or sold (negative) for each period selected in the Freq field.

Price The price of the trade.

Global Th. Price The theoretical price of the deal. This is a read-only field.

Folio Ticket Template A pre-defined template for the ticket.




Market fees The market fee for the deal.

Broker fees The broker fee for the deal.




FO Comments Any additional comments.

keep open If this checkbox is selected, the dialog remains open after the deal was booked and the fields remain populated. This allows you to create another swap and deal without having to define the swap using blank fields.

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Figure 31-2 [New Deal] Fixed Swap Dialog

The following sections describe the frames of the [New Deal] Fixed Swap dialog:

• “Swap Contract Frame” on page 481• “Deal Frame” on page 482

Swap Contract Frame

Table 31-3 describes the fields of the Swap Contract frame of the [New Deal] Fixed Swap dialog.

Table 31-3 Fields of the Swap Contract Frame (Sheet 1 of 2)

Name Description

Swap Template The swap template for the swap.

Reference The reference of the swap. If you do not enter a value, RISQUE generates a reference.


S:Commodity:Currency FreqPrice Start Date-End Date

Swap currency The currency of the swap.

Commodity The reference of the commodity instrument of the swap template.

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Deal Frame

Table 31-4 describes the fields of the Deal frame of the [New Deal] Fixed Swap dialog.


Model The model of the swap.

Fixing type The float fixing type of the swap.

ATM Value The at-the-money value of the swap. This is a read-only field.

Float Currency The float currency of the swap.

Fixed Currency The fixed currency of the swap.

Table 31-4 Fields of the Deal Frame (Sheet 1 of 2)

Name Description

Start The start date of the swap.

End The end date of the swap.

Price The transaction unit price of the instrument being bought or sold.












Table 31-3 Fields of the Swap Contract Frame (Sheet 2 of 2)

Name Description

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Float Swap

You can create and book a deal on a float/float swap by choosing Float Swap from the One Deal Blotters toolbar menu. This opens the [New Deal] Float Swap dialog, as shown in figure 31-3.

Figure 31-3 [New Deal] Float Swap Dialog




Name Description

483


The following sections describe the frames of the [New Deal] Float Swap dialog are described in the following sections:

• “Swap Frame” on page 484• “Leg 1 Frame” on page 485• “Leg 2 Frame” on page 485• “Deal Frame” on page 485

Swap Frame

Table 31-5 describes the fields of the Swap frame of the [New Deal] Float Swap dialog.

Table 31-5 Fields of the Swap Frame

Name Description




S:Commodity 1~Commodity 2 Swap Currency Spread Start Leg 1-End Leg 2


Commo 1 The reference of the commodity of the receiving leg of the swap.

Commo 2 The reference of the commodity of the paying leg of the swap.


Swap currency The currency of the swap.


Th. Spread The theoretical spread on the second leg that nullifies the current float swap. This is a read-only field.

Spread The spread of the swap.

Leg notionals Indicates where the notional of the legs is inherited from. You can choose one of the following:

• Modify Paying Leg• Template

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Leg 1 Frame

Table 31-6 describes the fields of the Leg 1 frame of the [New Deal] Float Swap dialog.

Leg 2 Frame

Table 31-7 describes the fields of the Leg 2 frame of the [New Deal] Float Swap dialog.

Deal Frame

Table 31-8 describes the fields of the Deal frame of the [New Deal] Float Swap dialog.

Table 31-6 Fields of the Leg 1 Frame

Name Description

Start Leg 1 The start date of the receiving leg of the swap.

End Leg 1 The end date of the receiving leg of the swap.

Fixing type 1 The fixing type of the receiving leg of the swap.

Th. Cash 1 The theoretical cash value of the receiving leg of the swap. This is a read-only field.


Name Description

Start Leg 2 The start date of the paying leg of the swap.

End Leg 2 The end date of the paying leg of the swap.

Fixing type 2 The fixing type of the paying leg of the swap.

Th. Cash 2 The theoretical cash value of the paying leg of the swap. This is a read-only field.


Name Description



485


LME Daily Future

You can create and book a deal on a LME daily future by choosing LME Daily Future from the One Deal Blotters toolbar menu. This opens the [New Deal] LME Daily Future dialog, as shown in figure 31-4.

Figure 31-4 [New Deal] LME Daily Future Dialog














Name Description

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The following sections describe the frames of the [New Deal] Float Swap dialog:

• “Forward Contract Frame” on page 487• “Deal Frame” on page 487

Forward Contract Frame

Table 31-9 describes the fields of the Forward Contract frame of the [New Deal] LME Daily Future dialog.

Deal Frame

Table 31-10 describes the fields of the Deal frame of the [New Deal] LME Daily Future dialog.

Table 31-9 Fields of the Forward Contract Frame

Name Description

Commodity Code The reference of the LME commodity.

Delivery Date The delivery date of the future.

Commodity Name The name of the LME commodity entered in the Commodity Code field. This is a read-only field.

Theo. The theoretical value of the LME future. This is a read-only field.


Name Description


Price The price of the future.








Negotiation Date The negotiation date of the deal. This field is automatically populated with today’s date.

487


Power&Gas Asian/Swaption

You can create and book a deal on a power or gas asian swaption by choosing Power&Gas Asian/Swaption from the One Deal Blotters toolbar menu. This opens the [New Deal] Power&Gas Asian/Swaption dialog, as shown in figure 31-5.

Figure 31-5 [New Deal] Power&Gas Asian/Swaption Dialog

Value Date The value date of the deal. This field is automatically populated with the value in Delivery Date.




Name Description

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The following sections describe the frames of the [New Deal] Power&Gas Asian/Swaption dialog:

• “Asian / Swaption Contract Frame” on page 489• “Deal Frame” on page 490

Asian / Swaption Contract Frame

Table 31-11 describes the fields of the Asian / Swaption Contract frame of the [New Deal] Power&Gas Asian/Swaption dialog.

Table 31-11 Fields of the Asian / Swaption Contract Frame (Sheet 1 of 2)

Name Description

Underlying Template The swap template for the option.

Reference The reference of the option. If you do not enter a value, RISQUE generates a reference.

Name The name of the option. This is generated by RISQUE by default in the following form:

Commodity Period CStrike Asian



Commodity The reference of the commodity instrument of the option.


C/P Indicates if the option is a call or put option. This field is automatically populated based on the value in Underlying Template.

Strike The strike price of the option.

Freq The frequency of the payments. This field is automatically populated based on the value in Underlying Template.

ATM Average The at-the-money average of the option. This is a read-only field.

Underlying Model The model of the underlying of the option.


Payment Offset The payment offset of the option. The payment date is the end date plus this value.


489


Deal Frame

Table 31-12 describes the fields of the Deal frame of the [New Deal] Power&Gas Asian/Swaption dialog.

Fixing type The fixing type of the option. This field is automatically populated based on the value in Underlying Template.


Name Description

Period The standard delivery period of the option.

Load The delivery load of the option. This field is automatically populated based on the value in Underlying Template.

Swap Notional The notional of the swap. This field is automatically populated based on the value in Underlying Template.

Total Period Quantity The total number of securities to be traded for the delivery period of the swap.

Th. Price per hour The price of the option per granular unit.

Quantity per Period The number of securities bought (positive) or sold (negative) for each period selected in the Freq field. This quantity is delivered for each granular unit in the delivery period.

Price The transaction unit price of the instrument being bought or sold.

Global Th. Price The theoretical price of the deal. This is a read-only field.










Table 31-11 Fields of the Asian / Swaption Contract Frame (Sheet 2 of 2)

Name Description

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Power&Gas Float/Float

You can create and book a deal on a power or gas float/float swap by choosing Power&Gas Float/Float from the One Deal Blotters toolbar menu. This opens the [New Deal] Power&Gas Float/Float dialog, as shown in figure 31-6.

Figure 31-6 [New Deal] Power&Gas Float/Float Dialog




Name Description

491


The following sections describe the frames of the [New Deal] Power&Gas Asian/Swaption dialog:

• “Swap Contract Frame” on page 492• “Leg 1 Frame” on page 492• “Leg 2 Frame” on page 493• “Deal Frame” on page 493

Swap Contract Frame

Table 31-13 describes the fields of the Swap Contract frame of the [New Deal] Power&Gas Float/Float dialog.

Leg 1 Frame

Table 31-14 describes the fields of the Leg 1 frame of the [New Deal] Power&Gas Float/Float dialog.

Table 31-13 Fields of the Swap Contract Frame

Name Description



Name The name of the option. This is generated by RISQUE by default in the following form:

S:Commodity 1~Commodity 2 Swap Currency Spread Start Leg 1-End Leg 2




Spread The spread of the swap.

Th. Spread The theoretical spread amount. This is a read-only field.

Table 31-14 Fields of the Leg 1 Frame (Sheet 1 of 2)

Name Description

Commo 1 The reference of the commodity of the receiving leg of the swap.

Start Leg 1 The start date of the receiving leg of the swap.

End Leg 1 The end date of the receiving leg of the swap.

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Leg 2 Frame

Table 31-15 describes the fields of the Leg 2 frame of the [New Deal] Power&Gas Float/Float dialog.

Deal Frame

Table 31-16 describes the fields of the Deal frame of the [New Deal] Power&Gas Float/Float dialog.

Fixing type 1 The fixing type of the receiving leg of the swap.

Load 1 The delivery load defined for the receiving leg of the swap template.

Th. Cash 1 The theoretical cash value of the receiving leg of the swap. This is a read-only field.


Name Description

Commo 2 The reference of the commodity of the paying leg of the swap.

Start Leg 2 The start date of the paying leg of the swap.

End Leg 2 The end date of the paying leg of the swap.

Fixing type 2 The fixing type of the paying leg of the swap.

Load 2 The delivery load defined for the paying leg of the swap template.

Th. Cash 2 The theoretical cash value of the paying leg of the swap. This is a read-only field.


Name Description





Table 31-14 Fields of the Leg 1 Frame (Sheet 2 of 2)

Name Description

493


Power&Gas

You can create and book a deal on a power or gas swap by choosing Power&Gas from the One Deal Blotters toolbar menu. This opens the [New Deal] Power&Gas dialog, as shown in figure 31-7.

Figure 31-7 [New Deal] Power&Gas Dialog












Name Description

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Gas

The following sections describe the frames of the [New Deal] Power&Gas dialog:

• “Swap Contract Frame” on page 495• “Deal Frame” on page 496

Swap Contract Frame

Table 31-17 describes the fields of the Swap Contract frame of the [New Deal] Power&Gas dialog.

Table 31-17 Fields of the Swap Contract Frame

Name Description

Swap Template The reference of the swap template for the swap.


Name The name of the swap. This is generated by RISQUE by default in the following form:

S:Commodity-Delivery Period/Delivery Load Cash or Spread



Th. Cash or Spread The theoretical cash or spread of the swap. This is a read-only field.

Cash or Spread The cash amount of the cash leg or the spread amount of the future leg of the swap.

Commodity 1 The reference of the commodity of the receiving leg of the swap.

Delivery Period 1 The delivery period of the receiving leg of the swap.

Delivery Load 1 The delivery load of the receiving leg of the swap.

Commodity 2 The reference of the commodity of the paying leg of the swap.

Delivery Period 2 The delivery period of the paying leg of the swap.

Delivery Load 2 The delivery load of the paying leg of the swap.

495


Deal Frame

Table 31-18 describes the fields of the Deal frame of the [New Deal] Power&Gas dialog.

Credit Default Event

You can create and book a credit default event to close a credit default swap by choosing Credit Default Event from the One Deal Blotters toolbar menu. This opens the [New Deal] Credit Default Event dialog, as shown in figure 31-8.


Name Description


Total Period Quantity The total number of securities to be traded for the delivery period of the swap.












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Figure 31-8 [New Deal] Credit Default Event Dialog

The following sections describe the frames of the [New Deal] Credit Default Event dialog:

• “Contract Frame” on page 497• “Deal Frame” on page 498

Contract Frame

Table 31-19 describes the fields of the Contract frame of the [New Deal] Credit Default Event dialog.

Table 31-19 Fields of the Contract Frame (Sheet 1 of 2)

Name Description

CDS Reference The reference of the credit default swap.

CDS Name The name of the credit default swap in CDS Reference. This is a read-only field.

Delivered Bond Ref. The reference of the bond delivered by the protection buyer.

Delivered Bond Name The name of the bond in Delivered Bond Ref.. This is a read-only field.

Received Bond Ref. If the protection is another bond, enter the reference of the bond used as protection. If this field is left blank, the protection is cash.

497


Deal Frame

Table 31-20 describes the fields of the Deal frame of the [New Deal] Credit Default Event dialog.

Received Bond Name The name of the bond in Received Bond Ref.. This is a read-only field.

Accrued Amount The accrued amount of the credit default swap times the quantity.

Theo. Accrued Interest The theoretical accrued interest of the credit default swap. This is a read-only field.

Theo. Accrued Amount The theoretical accrued amount of the credit default swap. This is a read-only field.


Name Description












Table 31-19 Fields of the Contract Frame (Sheet 2 of 2)

Name Description

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Credit Default Swap

You can create a single name credit default swap with the [New Deal] Credit Default Swap blotter. To book a credit default swap, do the following:

• Click Credit Default Swap from the One Deal Blotters toolbar menu. This opens the [New Deal] Credit Default Swap blotter, as shown in figure 31-9.

Figure 31-9 Credit Default Swap Dialog

Table 31-21 describes the fields of the Credit leg frame of the [New Deal] Credit Default Swap dialog.

Table 31-21 Fields of the Credit Leg Frame

Name Description

Obligation The underlying of the leg.

Reference Entity The issuer of the underlying.

Seniority The seniority of the issuer.

Default Event The default event of the swap.

Transaction Type The transaction type of the Obligation.

Recovery Rate Specify a recovery rate to override the default recovery rate specified for the default event.

499


Table 31-22 describes the fields of the Swap Parameters frame of the [New Deal] Credit Default Swap dialog.

Table 31-23 describes the fields of the Fixed leg frame of the [New Deal] Credit Default Swap dialog.

Table 31-24 describes the fields of the Deal frame of the [New Deal] Credit Default Swap dialog.

Table 31-22 Fields of the Swap Parameters frame

Name Description

Notional The notional amount of the swap.

Currency The swap currency.

Start Date The start date of the swap. This is today’s date.

End Date The end date of the swap

Name The name of the swap.

Reference The reference code of the swap.

Table 31-23 Fields of the Fixed Leg Frame

Name Description

Frequency The frequency of the swap.

Fixed Rate The fixed rate.

Basis The day count basis for the swap.

Mode The mode of the swap.


Name Description

Portfolio The portfolio that the swap is booked in.

Quantity If the deal is for a buyer, this field is populated with 1. If the deal is for a seller, this field is populated with -1.

Buyer/Seller Choose if the deal is booked for a seller or a buyer.

Entity The entity for the swap.

Calculation Agent The calculation agent for the swap.

Counterparty The counterparty for the swap.

Broker The broker for the swap.

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Table 31-25 describes the fields of the Calculation frame of the [New Deal] Credit Default Swap dialog.

Cross-Asset

You can book a deal on any simple instrument by choosing Cross-Asset from the One Deal Blotters toolbar menu. This opens the [New Deal] Cross-Asset dialog, as shown in figure 31-10.

Price The price for the swap.

FO Comments Comments for front office.

Table 31-25 Fields of the Calculation Frame

Name Description






Name Description

501


Figure 31-10 [New Deal] Cross-Asset Dialog

The following sections describe the frames of the [New Deal] Cross-Asset dialog:

• “Instrument Frame” on page 502• “Deal Frame” on page 503

Instrument Frame

Table 31-26 describes the fields of the Instrument frame of the [New Deal] Cross-Asset dialog.

Table 31-26 Fields of the Instrument Frame

Name Description

Instrument Code The instrument of the deal.

Instrument Name The name of the instrument in Instrument Code. This is a read-only field.

Spot The spot value of the deal. This is a read-only field.

Price The price of the deal.

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Deal Frame

Table 31-27 describes the fields of the Deal frame of the [New Deal] Cross-Asset dialog.

Forex Swap

You can create and book a deal on a forex swap by choosing Forex Swap from the One Deal Blotters toolbar menu. This opens the [New Deal] Forex Swap dialog, as shown in figure 31-11.


Name Description


Quantity The number of securities bought (positive) or sold (negative) for each period selected in the Freq field.







Counterparty fees The counterparty fee for the deal.






Net Amount Currency The currency of the net amount.

Business Event The business event associated with the deal.

Forex Rate The Forex rate used to convert the payment currency if it is different to the underlying currency.

Forex Pair The two currencies of the deal.

503


Figure 31-11 [New Deal] Forex Swap Dialog

The following sections describe the frames of the [New Deal] Forex dialog:

• “Forex Frame” on page 504• “Deal Frame” on page 505

Forex Frame

Table 31-28 describes the fields of the Forex frame of the [New Deal] Forex Swap dialog.

Table 31-28 Fields of the Forex Frame (Sheet 1 of 2)

Name Description

First Currency The first currency of the foreign exchange swap.

Second Currency The second currency of the forex swap.

Type The type of the swap. This can be one of the following:• Absolute Forward• Relative Forward• Absolute Forward Add Point• Relative Forward Add Point• Absolute Rate• Relative Rate

First Currency Rate The rate of the first currency of the forex swap.

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Deal Frame

Table 31-29 describes the fields of the Deal frame of the [New Deal] Forex Swap dialog.

Second Currency Rate The rate of the second currency of the forex swap.

Days The number of days of the swap based on the Forex Expiry. This is a read-only field.

Forex Spot The spot value of the forex. This is a read-only field.

Fwd Point Theo. ForexTheo/ForexSpot-1. This is a read-only field.

Forex Expiry The expiry of the forex swap.

Forex Theo. The theoretical value of the foreign exchange. This is a read-only field.

Fwd Point Real. Used to calculate the price of the second forex tickets (absolute and relative forward).


Name Description


Amount Second Currency The amount of the second currency.

Price The price of the forex swap.











Table 31-28 Fields of the Forex Frame (Sheet 2 of 2)

Name Description

505


Vanilla FX Option

You can create and book a deal on a vanilla FX option and any associated delta hedges by choosing Vanilla FX Option from the One Deal Blotters toolbar menu. This opens the [New Deal] Vanilla FX Option dialog, as shown in figure 31-12.

Figure 31-12 [New Deal] Vanilla FX Option Dialog

The following sections describe the frames of the [New Deal] Forex dialog:

• “Option Frame” on page 507• “Deal Frame” on page 508



Name Description

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• “Calculation Frame” on page 508• “Hedge (optional) Frame” on page 509

Option Frame

Table 31-30 describes the fields of the Option frame of the [New Deal] Vanilla FX Option dialog.

Table 31-30 Fields of the Option Frame (Sheet 1 of 2)

Name Description

Forex The forex of the option.

Quotation Curr. The currency of the option.

Spot The spot of the option. This is a read-only field.

Maturity The maturity of the option.

Strike The strike of the option.

Fwd. Price The forward price of the option calculated at the maturity date. This is a read-only field.

Nominal The nominal of the option.

Delivery Date The delivery date of the option. This field is automatically filled based on the value entered in Maturity.


Premium The premium of the deal.

Premium Curr. The currency of the premium of the deal.

Prem. Payment Date The payment date of the premium of the deal.

Call / Put Indicates if the option is a call or put option.

Exercise Type The exercise type of the option. You can choose one of the following:

• European• American

Allotment The allotment of the option. The default value is the allotment of the forex.

Buy / Sell Indicates if the option is a buy or sell option.


Delivery Type The delivery type of the option.

Option Model The calculation model of the option.


507


Deal Frame

Table 31-31 describes the fields of the Deal frame of the [New Deal] Vanilla FX Option dialog.

Calculation Frame

Table 31-31 describes the read-only fields of the Calculation frame of the [New Deal] Vanilla FX Option dialog.

Reference The reference of the option. If you do not enter a value, RISQUE generates a reference as the identifier of the new instrument.

Name The automatically generated name of the option, in the following form:

Forex Maturity Call/Put FXO @Strike Exercise Type Delivery Type


Name Description







Counterparty Fees The counterparty fee for the deal.


Table 31-32 Fields of the Calculation Frame (Sheet 1 of 2)

Name Description

Theo. Value The theoretical value of the forex option.

Delta The delta of the forex option.

Gamma The gamma of the forex option.

Table 31-30 Fields of the Option Frame (Sheet 2 of 2)

Name Description

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Hedge (optional) Frame

Table 31-33 describes the fields of the Hedge (optional) frame of the [New Deal] Vanilla FX Option dialog.

Forex Basis Swap

You can create and book a deal on a basis swap by choosing Forex Basis Swap from the One Deal Blotters toolbar menu. This opens the [New Deal] Forex Basis Swap dialog, as shown in figure 31-13.

Vega The vega of the forex option.

Volatility The volatility of the forex option.

Table 31-33 Fields of the Hedge (optional) Frame

Name Description

Type The type of hedging, if any. You can select one of the following:

• No Hedge - no hedge deal is created.• Spot — a spot hedge FX deal is created with the

option ticket.• Forward — a forward hedge FX deal is created

with the option ticket.

Rate The rate of the hedge option.

Notional in Curr. 1 The notional in the first currency of the option. The Hedge notional is automatically calculated from the option delta and notional. Changing this value changes the portfolio delta in CCY1.

Notional in Curr. 2 The notional in the second currency of the option. The Hedge notional is automatically calculated from the option delta and notional.


Table 31-32 Fields of the Calculation Frame (Sheet 2 of 2)

Name Description

509


Figure 31-13 [New Deal] Forex Basis Swap Dialog

The following sections describe the frames of the [New Deal] Forex Basis Swap dialog:

• “Swap Frame” on page 510• “Receiving Leg Frame” on page 511• “Paying Leg Frame” on page 511• “Forex Frame” on page 512• “Deal Frame” on page 512• “Calculation Frame” on page 513

Swap Frame

Table 31-34 describes the fields of the Swap frame of the [New Deal] Forex Basis Swap dialog.

Table 31-34 Fields of the Swap Frame (Sheet 1 of 2)

Name Description


Swap Rate Family The swap yield curve family.

Receiving Leg Indicates if the receiving leg of the swap is fixed or floating.

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Receiving Leg Frame

Table 31-35 describes the fields of the Receiving Leg frame of the [New Deal] Forex Basis Swap dialog.

Paying Leg Frame

Table 31-36 describes the fields of the Paying Leg frame of the [New Deal] Basis Swap dialog.

Start Date The start date of the swap. This is a read-only field set to today’s date.

End Date The end date of the swap. This can be absolute or relative.


IR Curve The swap yield curve.

Notional Exchange Defines when the notional exchange occurs in the lifecycle of the swap. Defined as follows:

• No exchange — There is no exchange of notional.• Final — The exchange occurs at the end of the

swap.• Initial — The exchange occurs at the beginning of

the swap.• Both — The exchange occurs at the beginning

and the end of the swap.


BS_/@End Date



Table 31-35 Fields of the Receiving Leg Frame

Name Description

Leg Currency The currency of the receiving leg.

IR Index The reference of the index rate of the receiving leg.

Spread The spread of the receiving leg.


Name Description

511


Forex Frame

Table 31-37 describes the fields of the Forex frame of the [New Deal] Forex Basis Swap dialog.

Deal Frame

Table 31-38 describes the fields of the Deal frame of the [New Deal] Forex Basis Swap dialog.

Table 31-36 Fields of the Paying Leg Frame

Name Description

Leg Currency The currency of the paying leg.

IR Index The reference of the index rate of the paying leg.

Spread The spread of the paying leg.

Table 31-37 Fields of the Forex Frame

Name Description

Forex The swap forex pair.

Rate Exchange The amount of the forex exchange of the swap currencies.


Name Description






Counterparty Fees The counterparty fee amount.


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Calculation Frame

Table 31-39 describes the read-only fields of the Calculation frame of the [New Deal] Forex Basis Swap dialog.

Tenor Basis Swap

You can create and book a deal on a basis swap between interest rates of the same currency using different tenors by choosing Tenor Basis Swap from the One Deal Blotters toolbar menu. This opens the [New Deal] Tenor Basis Swap dialog, as shown in figure 31-14.



Name Description

Break Even The fixed leg break even value.

Theo. Value The theoretical value of the swap.

Amount The amount value.


Name Description

513


Figure 31-14 [New Deal] Tenor Basis Swap Swap Dialog

The following sections describe the frames of the [New Deal] Tenor Basis Swap dialog:

• “Swap Frame” on page 514• “Receiving Leg Frame” on page 515• “Paying Leg Frame” on page 515• “Deal Frame” on page 515• “Calculation Frame” on page 516

Swap Frame

Table 31-40 describes the fields of the Swap frame of the [New Deal] Tenor Basis Swap dialog.


Name Description


Discount Family The rate curve families of the swap currency.



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Receiving Leg Frame

Table 31-41 describes the fields of the Receiving Leg frame of the [New Deal] Tenor Basis Swap dialog.

Paying Leg Frame

Table 31-42 describes the fields of the Paying Leg frame of the [New Deal] Tenor Basis Swap dialog.

Deal Frame

Table 31-43 describes the fields of the Deal frame of the [New Deal] Tenor Basis Swap dialog.

End Date The end date of the swap. This can be absolute or relative.


BS_/@End Date



Table 31-41 Fields of the Receiving Leg Frame

Name Description

Family The curve family of the receiving leg.

IR Index The reference of the index rate of the receiving leg.

Spread The spread of the receiving leg.

Table 31-42 Fields of the Paying Leg Frame

Name Description

Family The curve family of the receiving leg.

IR Index The reference of the index rate of the paying leg.

Spread The spread of the paying leg.


Name Description

515


Calculation Frame

Table 31-44 describes the read-only fields of the Calculation frame of the [New Deal] Tenor Basis Swap dialog.

Interest Rate Swap

You can create and book a deal on an interest rate swap by choosing Interest Rate Swap from the One Deal Blotters toolbar menu. This opens the [New Deal] Interest Rate Swap dialog, as shown in figure 31-15.


Name Description






Counterparty Fees The counterparty fee amount.




Name Description

Receiving Break Even The receiving leg break even value.

Paying Break Even The paying leg break even value.



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Figure 31-15 [New Deal] Interest Rate Swap Dialog

The following sections describe the frames of the [New Deal] Interest Rate Swap dialog:

• “Swap Frame” on page 510• “Floating Leg Frame” on page 518• “Fixed Leg Frame” on page 518• “Deal Frame” on page 519• “Calculation Frame” on page 519

Swap Frame

Table 31-45 describes the fields of the Swap frame of the [New Deal] Interest Rate Swap dialog.


Name Description

Receiving Leg Indicates if the receiving leg of the swap is fixed or floating.

Currency The currency of the swap.


Start Date The start date of the swap. This is a read-only field set to today’s date.

End Date The start date of the swap. This can be absolute or relative.

517


Floating Leg Frame

Table 31-46 describes the fields of the Floating Leg frame of the [New Deal] Interest Rate Swap dialog.

Fixed Leg Frame

Table 31-47 describes the fields of the Fixed Leg frame of the [New Deal] Interest Rate Swap dialog.


IR Index - C@Strike End Date



Table 31-46 Fields of the Floating Leg Frame

Name Description

Rate family The name of the rate curve family.

IR Index The reference of the index rate of the swap.


Name Description

Rate The rate of the swap. This field is automatically populated based on the value in IR Index in the Floating Leg frame.

Frequency The frequency of the payments. This field is automatically populated based on the value in IR Index in the Floating Leg frame. This is a read-only field.

Mode The yield calculation mode of the swap. This field is automatically populated based on the value in IR Index in the Floating Leg frame. This is a read-only field.

Basis The basis of the coupon rate of the swap. This field is automatically populated based on the value in IR Index in the Floating Leg frame. This is a read-only field.


Name Description

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Deal Frame

Table 31-48 describes the fields of the Deal frame of the [New Deal] Interest Rate Swap dialog.

Calculation Frame

Table 31-49 describes the read-only fields of the Calculation frame of the [New Deal] Interest Rate Swap dialog.

Variance Swap Blotter

The Variance Swap Blotter allows you to create and book a variance swap in the Portfolio window.

To create a variance swap and book a deal on it, do the following:

1 Load a portfolio in the Portfolio window.


Name Description









Name Description

Break Even The fixed leg break even value.



519


2 Select Variance Swap from the One Deal Blotters drop-down menu.

The [New Deal] Variance Swap dialog is displayed, as shown in figure 31-3.

Figure 31-16 [New Deal] Variance Swap dialog

The following sections describe the frames of the [New Deal] Variance Swap dialog:

• “Swap Frame” on page 484• “Variance Leg Frame” on page 521• “Fixed Leg Frame” on page 521• “Deal Frame” on page 485• “Calculation Frame” on page 522

Swap Frame

Table 31-5 describes the fields of the Swap frame of the [New Deal] Variance Swap dialog.


Name Description

Receiving Leg The fixed or variance leg of the swap.

Currency The currency of the underlying.

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Variance Leg Frame

Table 31-6 describes the fields of the Variance Leg frame of the [New Deal] Variance Swap dialog.

Fixed Leg Frame

Table 31-7 describes the fields of the Fixed Leg frame of the [New Deal] Variance Swap dialog.

Vega Notional The notional amount of the swap, in terms of Vega. The Vega notional is calculated as:

(10,000 x Vega Notional)/(2 x Strike)



Swap notionals The swap notional value, as calculated by the Vega Notional field.


Varswp[Underlying Name]@[Volatility Strike][End Date]

Reference The reference of the receiving leg of the swap.

Table 31-51 Fields of the Variance Leg Frame

Name Description

Underlying The underlying of the receiving leg of the swap.

Fixing Column Specifies which fixing to use. The possible values are as follows:

• Last• First• High• Low

Variance Cap Cap applied to total variance*multiplication factor.


Name Description

521


Deal Frame

Table 31-8 describes the fields of the Deal frame of the [New Deal] Variance Swap dialog.

Calculation Frame

Table 31-8 describes the fields of the Calculation frame of the [New Deal] Variance Swap dialog.


Name Description

Volatility Strike(%) The value used to compute the variance strike of the swap.

Variance Strike (%) The variance strike of the swap. The variance strike is calculated as:

(Volatility^2)/100


Name Description


Entity The entity of the swap.







Name Description

Fair Vol Strike The square root of the break-even value. This is equal to the average volatility when entering the variance swap.

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Name Description

523


524


Chapter 32 Deal Mirroring

This chapter describes the RISQUE deal mirroring function. It contains the following sections:

• “Overview” on page 525.• “Mirror Rules” on page 525.• “Creating Mirror Deals” on page 532

Overview

Mirroring allows you to define a set of rules in order to create identical deals, called mirror deals, that are based on an initial, or parent, deal. These mirrored deals can be linked together, and can be grouped for ease of identification.

Mirroring generalises and expands the concept of crossing deals. You can now create a mirror deal on any standard, debt instrument, stock loan, or Forex deal. You can create multiple mirror deals from one parent, and you can apply the parent deal workflow to all mirror deals. When you modify a parent deal, the changes are reflected in all of its corresponding mirrored deals.

Mirror Rules

When you create a mirrored deal, you can choose from a list of defined mirror rules in the Mirror Rules field of the deal input window. These rules describe one, or more than one, mirror deal that is generated by the system elsewhere in the database.

Mirror Rules Definitions

The Mirror Rules Definitions window displays all existing mirror rules, and allows you to create new rules.

To view the mirror rules, select Mirror Rules from the Portfolios menu, then select Mirror Rules Definitions. The Mirror Rules Definitions window is displayed.

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Figure 32-1 Mirror Rules Definitions Window

The Mirror Rules Definitions window contains the following columns:

Table 32-1 Columns in the Mirror Rules Definitions window

Column Definition

Reception Amount The transaction direction for the amount of the mirrored deal.

The available options are:• Same Amount — the transaction direction is the

same as the parent deal.• Opposite Amount — the transaction direction is the

opposite of the parent deal.

Reception Quantity The transaction direction for the quantity of the mirrored deal.

The available options are:• Same Qty — the transaction direction is the same

as the parent deal.• Opposite Qty — the transaction direction is the

opposite of the parent deal.

Reception Folio The target folio of the mirrored deal.

The available options are:• Choose When Mirroring — allows you to select the

folio in the deal input dialog of the mirror deal.• Source Folio — takes the folio of the parent deal.• All available folios.

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Reception Entity The entity of the mirrored deal.

The available options are:• Choose When Mirroring — allows you to select the

entity in the deal input dialog of the mirror deal.• Source Entity — takes the entity of the parent deal.

You can also choose the source counterparty, broker, customer, or depositary.

• Like First Deal — takes the entity of the first mirror deal.You can also choose ‘Like Second Deal’, ‘Like Third Deal’, and so on, as long as the deal you want to copy is less than the current deal.

• Set To Blank <XXX> — sets the entity of a mirrored deal to XXX.

• All other valid entities.

Reception Depositary The depositary of the mirrored deal.

The available options are the same as those for Reception Entity.

Reception Customer The customer of the mirrored deal.


Reception Counterparty

The counterparty of the mirrored deal.


Reception BE The business event of the mirrored deal.

The available options are:• Same Bus. Event — takes the business event of the

parent deal.• All other valid business events.

Reception Broker The broker of the mirrored deal.



Column Definition

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Creating Mirror Rules

To create a new mirror rule, do the following:

1 From the Portfolios menu, select Mirror Rules, then Mirror Rules Definitions.

2 Click the New icon in the Mirror Rules Definitions window toolbar.

A dialog box is displayed.

3 Enter the name of the mirror rule, and an optional description. Click OK.

Note: The name of the mirror rule must be unique.

The mirror rule is added to the list and is represented as a folder in the Mirror Rules Definitions window. The name of the mirror rule is displayed in bold type, to signify that the mirror rule has not yet been defined.

4 Expand the new mirror rule. Click the Version Currently Used line.

5 Click the New icon in the Mirror Rules Definitions window toolbar.

A new line is displayed within the new mirror rule. Each new line represents a sub-rule.

6 Enter the details for each column in the sub-rule.

See table 32-1 for information about the columns in the Mirror Rule Definitions window.

7 Press Ctrl+S to save the changes.

Mirroring Mode Specifies the mode of the mirrored deal. The available options are:

• Automatic — The children of the parent deal are bound to the parent for the whole lifetime of the deal and cannot be modified. See “Automatic Mirroring” on page 535.

• Manual — The user can specify options for mirrored deals as they are created, and can modify child deals. This is the default mode.

• Auto Mode With Manual Input — Automatic mode, however you can select Choose When Mirroring from applicable columns. See “Manual Input While in Automatic Mode” on page 536

Building Method A toolkit interface that can be defined by the user.


Column Definition

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Deleting Mirror Rules

To delete a mirror rule:

1 In the Mirror Rule Definitions window, select the mirror rule from the list.

2 Click the Delete icon.

A dialog box is displayed requesting you to confirm the deletion.

3 Click OK. Press Ctrl+S to save the changes.

Viewing Previously Deleted Mirror Rules

To display previously deleted elements:

1 Click the Deleted Elements icon in the Mirror Rules Definitions window toolbar.

The Previously deleted Mirror Rules Definitions window is displayed.

2 Double-click a deleted mirror rule definition to display when and by whom the element was deleted.

Mirror Rules Selector

The Mirror Rules Selector defines the conditions under which mirror rules are available.

Viewing the Mirror Rules Selector

To view the Mirror Rules Selector, select Mirror Rules from the Portfolios menu, then select Mirror Rules Selector. The Mirror Rules Selector window is displayed, as shown in figure 32-2:

Figure 32-2 Mirror Rules Selector window

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Mirror rules are listed in order of priority (#N). The number in brackets, [], represents the mirror rule identifier.

The system checks the criteria of each mirror rule, starting at the top of the list and ending when the criteria are met. The details of mirrored trades must match the criteria of the rule for that rule to be applied to the trade. When the characteristics of a mirrored trade match the criteria of a mirror rule, that mirror rule is used in the life cycle of that deal.

The Mirror Rules Selector window contains the following columns, as shown in table 32-2:

Table 32-2 Mirror Rule Selector Columns (Sheet 1 of 2)

Name Description

Allotment The allotment of the instrument.

Business Event The business event of the deal.

Condition1

Condition 2

Condition 3

The available options are:• No Condition.

Note: You can also create your own Conditions using the Toolkit.



Creation Type The method used to create the deal. The available options are:

• Manual• Electronic - using the Transaction Server• Automatic - for example, using automatic

ticket for dividend coupon• *

Currency The currency of the deal.

Deal Type The type of deal must match one of the following options for the mirror rule to apply:

• Real• Brokerage• Simulation• *

Delivery Type The delivery type of the deal.

Depository The depository of the deal.

Market The instrument market on which the deal was performed.

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Adding a Mirror Rule to Mirror Rules Selector

To add a mirror rule to the Mirror Rules Selector:

1 From the Portfolios menu, select Mirror Rules, then Mirror Rules Selector.

The Mirror Rules Selector window is displayed. See figure 32-2.

2 Click the New icon in the window toolbar.

A new line is displayed at the start of the mirror rule list.

3 Select the mirror rule from the drop-down menu in the Mirror Rule Name column, and specify the deal criteria you wish to assign to it.

The available mirror rules correspond to the mirror rules defined in the Mirror Rules Definitions window.

4 Change the priority position of a line in the list. Select the line and use the

Priority Up and Priority Down icons.

5 Press Ctrl+S to save the changes.

Removing a Mirror Rule from the Mirror Rules Selector

To remove a mirror rule from the mirror rule selector:

1 Select the mirror rule line from the list.

2 Click the Delete icon in the window toolbar.

Mirror Rule Name The name of the mirror rule.

The mirror rules available are those which are defined in the Mirror Rules Definitions window. See “Mirror Rules Definitions” on page 525.Note: The No Mirroring mirror rule is always

available. This option allows you to specify that no mirrored deals are created if it is selected in the corresponding deal input window.

Securities Workflow The Securities Workflow of the deal.

Table 32-2 Mirror Rule Selector Columns (Sheet 2 of 2)

Name Description

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A dialog box appears requesting you to confirm the deletion.

3 Click OK.

Creating Mirror Deals

To create a mirror deal, do the following:

1 Open the deal input window for a standard, debt instrument, stock loan or Forex deal.

Important: You can create a mirror deal on standard, debt instrument, stock loan, and Forex deals only.

2 Define the deal’s normal parameters as needed.

3 Select a mirror rule from the Mirror Rule field in the deal input window and save the deal.

Figure 32-3 Mirror Rule Field

If the mirror rule definition selected for the parent deal does not contain any ‘Choose When Mirroring’ parameters, once you have saved the parent deal, the mirror deals are automatically created without any further action.

If the mirror rule definition for the parent deal does contain one or more ‘Choose When Mirroring’ parameters, a second deal input dialog appears after the initial parent deal has been saved. This dialog is a replica, or mirror, of the deal that you just created. See figure 32-4.

4 If applicable, make any desired changes to the fields of the second mirror deal input dialog that can be modified.

Note: The fields in the deal input dialog of the mirror deal that can be modified are determined by the mirror rule selected for the parent deal.

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Figure 32-4 Second Deal Input Dialog for a Mirror Deal

Creating Multiple Mirror Deals

The number of mirror deals created for each parent deal is determined by the mirror rule definition. The number of lines, or sub-rules, for each mirror rule indicates the number of child mirror deals that are created. For example, if a mirror rule contains three sub-rules, then three child mirror deals are created for each parent deal that uses that mirror rule definition.

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Figure 32-5 Mirror Rules Definitions with multiple sub-rules

For information about defining the mirror sub-rule parameters, see table 32-1.

Modifying Mirror Deals

Because mirror deals are linked to the parent deal, when you modify a parent deal, the change is reflected in all the corresponding mirror deals. However, if you modify a mirror deal, only that deal is modified and the parent and other mirror deals remain unchanged.

Mirror Deal Identification

You can identify mirror deals and their parents in the HISTOMVTS table. The MIRROR_REFERENCE column has been added to the HISTOMVTS table. If the value is ‘-1’, the deal is a parent deal with mirrored child deals. If the value is a reference number, the deal is a child mirror deal. The reference number refers to the reference in the REFCON column of the parent deal.

Figure 32-6 HISTOMVTS Table with MIRROR_REFERENCE Column

Also, a new Mirrored column has been added to the pending deals blotter. A value of ‘yes’ indicates that the deal is mirrored. The pending deals blotter only lists the parent deal.

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Figure 32-7 Pending Deals Blotter with Mirrored Column

Automatic Mirroring

The Automatic Mirroring function specifies that all the deals in a mirroring 'family' stay bound together for the lifetime of the parent deal. A user cannot modify a child deal or make it independent from the parent deal. The parent deal can be modified, and these changes are then applied to the children.

In practice, this means that all fields in the deal screen of a child deal are disabled, and all changes or events occur automatically and without extra user input.

Note: Kernel events, however, can be applied to any mirror deal in the mirror family, including children, and this event will be propagated to all deals in the family, including the parent. For example, a BO Accept event applied to any deal in a mirror family applies to every deal in the family.

Important: The Choose when mirroring option cannot be selected in any of the columns of the Mirror Rules Definitions window for mirror rules specified as automatic. This is due to the fact that users have no direct control over the content of child deals created in automatic mode. To enable Choose when mirroring, select Auto Mode With Manual Input, instead of Automatic, from the Mirroring Mode column of the Mirror Rules Definitions window.

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Creating Automatic Mirroring Deals

To create a mirror rule that is specified as automatic, select Automatic from the Mirroring mode column in the Mirror Rules Definitions window.

Note: RISQUE only allows this change be saved if no column uses a value of 'Choose when mirroring'.

Manual Input While in Automatic Mode

You can manually choose options for child deals while in automatic mode by selecting Auto Mode With Manual Input in the Mirroring Mode column of the Mirror Rules Defintions window. This allows to select Choose when mirroring from applicable columns in the Mirror Rules Defintions window, which then allows you to specify the information in the deal input dialog of the mirror deal.

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Chapter 33 Line Picking

Line picking enables you to select a deal, or part of a deal, to sell against a purchase deal of the same position to manually maximise the realized value of the position.

Important: Line picking requires the Accounting module.

To open the Line Picking on Position window, as shown in figure 33-1, right-click on a position in the Portfolio window and select Line Picking.

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Figure 33-1 Line Picking on Position window

This chapter contains the following sections:

• “Viewing the Line Picking on Position window” on page 538• “Performing Line Picking” on page 542

Viewing the Line Picking on Position window

The Line Picking on Position window is composed of a header and two frames, as described in the following sections:

• “Line Picking on Position Header” on page 538• “Line Picking on Position Frames” on page 539• “Line Picking on Position Frames Column Configuration” on page 540

Line Picking on Position Header

This section describes the header of the Line Picking on Position window. The header displays the values described in table 33-1.

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Line Picking on Position Frames

This section describes the two frames of the Line Picking on Position window. The Trades on Position frame displays all of the deals of the selected position. Purchase deals are displayed in bold. The Line Picking frame displays the deals available for line picking with the selected position. Sell deals are displayed in bold.

For example, figure 33-1 shows the following deals:

• 306981 — a purchase deal of 10.• 306985 — a sell of 10.• 306983 — a purchase deal of 20.

Table 33-2 describes the columns of the frames of the Line Picking on Position window. You can configure the columns displayed. For more information, see “Line Picking on Position Frames Column Configuration” on page 540.

Table 33-1 Line Picking on Position Header

Field Description

Quantity The total quantity of the selected position.

Realized The total realized of the selected position, calculated by FIFO by default. This value is updated after line picking.

Average Price The average price of the selected position, after line picking.

Table 33-2 Line Picking on Position Frames (Sheet 1 of 2)

Field Description

Trade ID The Ticket ID of the deal.Note: The TradeID value of closed positions is displayed

in grey.

Quantity The quantity of the deal.

Quantity Picked In the Trades on Position frame, the quantity of the deal to sell against the parent deal. In the Line Picking frame, the quantity of the sell deal to sell against the deal. For more information, see “Performing Line Picking” on page 542.

Realized The realized value of the deal.

Quantity Sold The quantity sold against the deal.

Average Price The average price of the deal.

Quantity Split The quantity of the deal after a split corporate action.

For more information, see “Split of a Share” on page 305.

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You can double-click on a deal in the Line Picking on Position window to display the Deal Input dialog for that deal.

Line Picking on Position Frames Column Configuration

You can configure the columns displayed in the Line Picking on Position window as follows:

• “Configuring Columns with the Configuration selection Dialog” on page 540• “Configuring Columns with the Column Chooser” on page 541

Configuring Columns with the Configuration selection Dialog

You can configure the columns displayed in the Line Picking on Position window using the Configuration selection dialog. To open the Configuration selection dialog, click the button beside the column configuration drop-down list. Figure 33-2 shows the Configuration selection dialog.

Quantity Sold Splitted The quantity sold against the deal after a split corporate action.

For more information, see “Split of a Share” on page 305

Quantity Picked Splitted

In the Trades on Position frame, the quantity of a split deal sold against the parent deal. In the Line Picking frame, the quantity of the sell deal sold against the split deal. This column is updated after performing line picking. For more information, see “Performing Line Picking” on page 542

Table 33-2 Line Picking on Position Frames (Sheet 2 of 2)

Field Description

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Figure 33-2 Configuration selection dialog

To add a column to the Trades on Position and Line Picking frames, do the following:

1 Double-click the column name in the Available items pane.

The column name is displayed in the Selected items pane.

2 Click OK.

To save the selected set of columns, do the following:

1 Enter a name for the set in the Configuration set drop-down list.

2 Click Save.

To display the columns of a saved configuration set, do the following:

• Selecting the name of the set from the drop-down list on the Line Picking on Position window.

Configuring Columns with the Column Chooser

To add a column to the Trades on Position or Line Picking frames using the Configuration Chooser, do the following:

1 Right-click on an existing column and select Column Chooser.

The Customization window is displayed. This window lists the available columns.

2 Drag the column from the Customization window to the frame.

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To remove a column from the Trades on Position or Line Picking frames, do the following:

1 Right-click on an existing column and select Column Chooser.

2 Drag the column from the frame to the Customization window.

Performing Line Picking

This section describes the process of line picking using the Line Picking on Position window. It contains the following sections:

• “Picking Part of a Sell Deal” on page 542• “Picking All of a Sell Deal” on page 543• “Deleting Line Picking” on page 544

Note: LP is displayed in the Line Picking column of the Portfolio window for positions on which line picking has been performed.

Picking Part of a Sell Deal

To sell part of a deal against a purchase deal:

1 Enter the quantity to sell in the QuantityPicked column of the purchase deal displayed under the sell deal in the Line Picking frame.

The QuantityPicked value of the sell deal displayed under the purchase deal in the Trades on Position frame is updated.

2 Close the window and click Yes to save the modifications.

Note: The status of the sell and purchase deals is modified based on the event set for Line Picking on the Default Kernel tab of the Back Office Parameters dialog. For more information, see the RISQUE Back Office User Guide.

For example, to maximise the realized value of the position shown in figure 33-1, you could sell 8 at 16. Figure 33-3 shows the QuantityPicked value of the Line Picking on Position window and the new Realized value.

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Figure 33-3 Line Picking on Position window example

Picking All of a Sell Deal

You can sell the full quantity of a deal against a purchase deal in one of the following ways:

• Drag the purchase deal from the Trades on Position frame to the sell deal in the Line Picking frame.

• Enter 0 in the QuantityPicked column of the purchase deal displayed under the sell deal in the Line Picking frame.

MAX is displayed in the QuantityPicked column of the purchase deal in the Trades on Position frame and the sell deal in the Line Picking frame.

To save the modifications:

• Close the window and click Yes.

Note: The status of the sell and purchase deals is modified based on the event set for Line Picking on the Default Kernel tab of the Back Office Parameters dialog. For more information, see the RISQUE Back Office User Guide.

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Deleting Line Picking

To undo a change to the QuantityPicked column:

1 Right-click on the deal in the Line Picking frame and select Delete grouping.

2 Close the window and click Yes to save the modifications.

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Part 3: Portfolio Analysis

This part describes:

The Analysis scenarios


Chapter 34 Portfolio Analysis

The following chapters describe the portfolio analyses you can run.

The following analyses are possible:

• General analyses

- “Viewing the Cash Delta with the Trend Scenario” on page 553- “Viewing the Break-Up of the Portfolio” on page 554- “Viewing the Position Of Options” on page 556- “Viewing the Crossed Indicators” on page 558- “Viewing the Crossed Greeks” on page 558- “Evaluating the Evolution of the Portfolio” on page 559- “Running A Stress Test” on page 561- “Viewing Worst Case Scenario” on page 564- “Viewing the Aggregate of Option Positions by Maturities and Strikes” on

page 565- “Displaying Interest Rate Hedges” on page 566- “Viewing the Components of Stock Loans” on page 567

• Analysis Graphs

- “Clauses Effect Analysis” on page 575- “Displaying the Pricing Surface” on page 577- “Adjusting the Pricing Surface 2D Graph” on page 579- “Adjusting the Pricing Surface 3D Graph” on page 579- “Viewing the Monte Carlo Graph” on page 583

• Maturity analyses

- “Correlation/Maturity” on page 585- “Detailed Correlation Maturity” on page 586- “Epsilon maturity” on page 586- “Future Maturity” on page 586- “IR Vega maturities” on page 587- “Repo/Maturity” on page 588- “Smile/Maturity” on page 588- “Strike/Maturity” on page 589

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- “Vega/Maturity” on page 591- “Vol Matrix/Maturity” on page 592- “ZC Rho/Maturity” on page 592

• Credit analyses

- “Credit Exposure” on page 595- “Credit (Recovery Rate)” on page 596- “Credit Zero Coupon, Credit Market and Credit Hedging Scenarios” on

page 597

- “Credit Hedging” on page 597- “Credit total loss” on page 598

• Parametric Analyses

- “Parametric Analysis” on page 601- “Historic Correlations” on page 615

• Rho analyses

- “Viewing IR Hedge Delta Breakdown Analysis” on page 626- “Viewing IR Hedge Delta Forward Analysis” on page 627- “Viewing IR Hedge Delta Swap Analysis” on page 628- “Viewing IR Hedge Delta Reset Analysis” on page 629- “Viewing IR Hedge Delta Reset Analysis” on page 629- “Viewing IR Hedge Delta Zero Coupon Analysis” on page 630

• Risk Matrix analysis

- “Viewing the Risk Matrix” on page 637- “Working With Scenarios” on page 639

• Futures analysis

- “Future Analysis Delta, Gamma and Vega” on page 375• Counterparty analysis

- “Counterparty Liquidity” on page 642• Commodity Analyses

- “Cega and Provision” on page 650- “Commodity Risk Split” on page 653- “LME Card” on page 657- “Power and Gas Scheduling” on page 660- “Power and Gas Daily Strips Exercise” on page 677- “Power and Gas Financial Analysis” on page 679- “Delta, Gamma, and Vega Future Analyses” on page 685- “Power Physical Management” on page 690

• Portfolio Performance Analysis

- “Portfolio Performance Analysis” on page 541• Inflation Analysis

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- “Inflation Hedge Analysis” on page 703• Interest Rate Fixing Analysis

- “IR Fixing Diary Scenario” on page 707

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Chapter 35 General Analysis

The following analyses are described here:

• “Scenario Lists” on page 551• “Viewing the Cash Delta with the Trend Scenario” on page 553• “Viewing the Break-Up of the Portfolio” on page 554• “Viewing the Position Of Options” on page 556• “Viewing the Crossed Indicators” on page 558• “Viewing the Crossed Greeks” on page 558• “Evaluating the Evolution of the Portfolio” on page 559• “Running A Stress Test” on page 561• “Viewing Worst Case Scenario” on page 564• “Viewing the Aggregate of Option Positions by Maturities and Strikes” on

page 565• “Displaying Interest Rate Hedges” on page 566• “Viewing the Components of Stock Loans” on page 567• “Stock Loan Reports” on page 569

Important: Before running a portfolio analysis, calculate your portfolio using Calculation Now or Fast Calculate.

Scenario Lists

Scenario Lists allows you to specify and save scenario settings and their results in the database. This allows you to run your custom scenario and store the results for later viewing.

To view the scenario list, select Scenario Lists from the Analysis menu.

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Figure 35-1 Scenario List window.

Defining Scenarios

To define a scenario, do the following:

1 Open the Scenario List window by selecting Scenario Lists from the Analysis menu.

2 Choose the scenario you want to define by selecting the first blank line, and double-clicking in the SCENARIO_NAME column. The Scenario Selector is displayed:

Figure 35-2 Scenario Selector

3 Choose the appropriate scenario and enter a name in the Name column.

4 Specify the folio you want the scenario to run on by entering the Folio ID in the Portfolio column. The Folio ID is available from the Portfolio Entry dialog. To view this dialog, right-click on the folio and select Information from the context menu. The Folio ID is displayed next to the Name field, beneath the label, Identifier. For more information on the Portfolio Entry dialog, see

Note: If you want to specify the Root of the Portfolio, enter 1 in this column.

Important: The scenario is run on all folios contained in the specified folio.

5 You can also choose a Quotation model to use with the Scenario. For more information on Quotations, see “Option List” on page 278.

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6 To define the Scenario parameters, double-click on the new line and define the parameters as normal. See this and the following chapters for more information on the individual settings for each scenario.

7 You must save the Scenario List before attempting to use the new scenario. Do this using the Save button in the toolbar.

You can also delete scenarios from the list, by selecting the line and clicking the Delete button in the toolbar.

Running the Scenario

To run the defined scenario, do the following:

1 Calculate the folio using Calculation Now or Fast Calculate.

2 Select a scenario and click the Validate button in the toolbar.

3 If your scenario is correctly defined, the scenario runs. If it is not correctly defined, an error message is displayed.

4 The results are not displayed in a separate window, but are accessible through a context menu.

5 To view the scenario results for each folio, right-click on the scenario and select the folio from the context menu. The Scenario Result window for the portfolio is displayed.

Important: Results are displayed only if the portfolio is loaded.

Running by batch

To run the scenario by batch, use the same method as defined in the Administration Guide, but replace the scenario name with the name of your scenario as specified in the Scenario List window.

Viewing the Cash Delta with the Trend Scenario

The Trend function displays the cash delta of all the positions in your portfolio.

1 Select either the whole portfolio or a specific folder.

2 Select Trend from the Analysis menu. A window similar to that shown here is displayed:

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Figure 35-3 Trend window.

Note: The coloured horizontal bars display the Delta cash in K units. Green for positive units and red for negative units.

Viewing the Break-Up of the Portfolio

This scenario allows you to evaluate the number of underlyings within a folio. Taking into account the cash positions, future positions and option positions. The scenario also displays the split, total number of securities and the total amount.

The equivalent number of shares for futures and options is calculated in terms of exposition, using the delta of the instrument.

You can compare the break-up of a folio with the composition of an index, by adding a line in the break-up and adding the reference of the index in the Code column. A positive quantity of index induces a negative quantity for each component of the index. The Total Equivalent column displays the difference between the positions within the portfolio and the number of indexes chosen.

The Break-Up menu option enables you to view the portfolio breakdown, by underlying, in table format. The following are broken down according to their underlying:

• Baskets• Indices• Options

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• Futures• Packages

To view the break-up of the portfolio by underlying:

• From the Analysis menu, select Break-up.The following window is displayed in figure 35-4:

Figure 35-4 Break-up list

Table 35-1 explains the columns listed in the Break-up list:

Table 35-1 Portfolio break-up list column description. (Sheet 1 of 2)

Name Description

Code The reference code

Currency The currency

Difference in % Total in %

Equivalent delta amount Equivalent options securities * spot (underlying)

Equivalent Future Securities Quantity of futures * Delta future

Equivalent Option Securities Quantity of options * Delta option

Equivalent futures amount Equivalent delta securities * spot (underlying)

Equivalent Total Amount Physical amount + Equivalent futures amount + Equivalent delta amount.

Future in %

Index in %

Name The name of the instrument

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Viewing the Position Of Options

This scenario allows you to visualize the risk of a folio for all maturities. Launching the scenario, one chooses the parameter to display. Each point in the result (the size depends on the value) represents a position. The Eye icon on the top of the main window allows you to see the corresponding values.

The Option position function generates a position graph based on prices, quantities or the greeks for the various options (whether OTC or listed), according to their strike and maturity. This gives a clear idea of the position. You are then able to quickly identify the options with the highest vega, or the options with the most important open position.

To view the position of options:

1 Select Option position from the Analysis menu.

Figure 35-5 Option Position parameters dialog

2 Select the parameter you want to view. These parameters are described in table 35-2:

.

Options in %

Paper Securities Number of securities

Physical Amount Shares Asset Value

Securities in %

Total in % Securities in % + Options in % + Index in % + Future in %

Table 35-1 Portfolio break-up list column description. (Sheet 2 of 2)

Name Description

Table 35-2 Option position dialog.

Parameter Display when clicking on and on a spot.

Price Option name days before maturity strike (%) Nb securities * Theo price * Quota

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3 Click OK, when ready. A window similar to that shown in figure 35-6 is displayed:

Figure 35-6 Option Position Graph.

4 The graph in figure 35-6 shows the quantity of the chosen position.

Quantity Option name days before maturity strike (%) Quantity * Quota.

Delta Option name days before maturity strike (%) Global Delta.

Vega Option name days before maturity strike (%) Global Vega.

Gamma Option name days before maturity strike (%) Global Gamma.

Theta Option name days before maturity strike (%) Global Theta.

Und.only The positions are centred around the strike in % of the spot.

All types The positions are centred around the strike in amount.

Table 35-3 Positions graph.

Item Description

Y-axis unit Percentage of the option strike.

Circles Each circle represents an option and has the following mean-ing:

• Red circles (by default): Negative value• Green circles (by default): Positive value

Circle width Value of the requested parameter. The wider the circle, the higher the value.

Table 35-2 Option position dialog.

Parameter Display when clicking on and on a spot.

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Viewing the Crossed Indicators

The Crossed indicators option enables you to display crossed gamma and crossed Vega between the portfolio underlying for:

• The selected underlying, if a view for the underlying is displayed in the portfolio.

• All other underlyings included in the portfolio, if relevant.

To display the information by instrument:

• Click on the arrow on the left.

Viewing the Crossed Greeks

In the case a product has several underlyings, such as a compo option or a multi-underlyings option, crossed Greeks are calculated as second order risk indicators between two factors. One can then get the crossed gamma equity/equity, FX/FX and equity/FX, and the crossed vega equity/equity, FX/FX and equity/FX. An option can also depend on several interest rate curves. In this case there is also a Rho in each currency.

The point of this scenario is to display the sensitivity of a folio or a position in term of crossed indicators.

The Crossed Greeks menu option enables you to display an aggregated Gamma and crossed Vega matrix for all the underlyings with crossed risks, whatever the products are.

1 Select a portfolio.

2 In the Analysis menu, select Crossed greeks.

The columns in the Crossed gamma window are as follows.

Table 35-4 Crossed Gamma columns.

Name Description

Underlying The name of underlyings in the folio. Currency names will also be included in this column.

Instrument Name The name of the instrument.

Currency Name The Currency

Total The total.

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Evaluating the Evolution of the Portfolio

This scenario generates a graph showing the evolution of a theoretical value such as the P&L or a Greek according to a variation of one of the parameter in the folio (underlying price, rates or volatility). One can select the date to launch the scenario. It is also possible to cumulate several curves.

The Evaluation option generates a graph of the evolution of the theoretical characteristics of an derivative relative to the main parameters for a given situation.

To evaluate the evolution of a portfolio:

1 From the Analysis menu, select Evaluation.

The following window is displayed.

Figure 35-7 Evaluation dialog.

2 Specify the theoretical values you wish to use for this evaluation. See table 35-5 for the fields.

Table 35-5 Evaluation dialog.

Item Description

Type • P&L• Delta• Gamma• Vega• Rho• Theta• +/- P&L

Factor Increments of 5% from 5 to 25%

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Running the evaluation provides a graph, where the x-axis parameters are:

• The underlying price.• The interest rate.• The volatility or the time.

The interest rate can be that of a foreign currency.The Factor field allows the user to define for each choice an interval with regard to a pivot spot.

To visualize the time decay effect:

1 When configuring the Evaluation dialog enter a time length in the Duration field. In this case, the application takes into account an annual growth of the underlying. Available periods are displayed in the scroll-down menu. Choosing the time parameter for the x-axis allows you to modify the maturity of the option and to take into account an underlying annual growth rate entering a value in the Rate field. Each graph displays the selected characteristic for the derivative.

2 Click OK to display the graph.

Save, Load, Delete • Save the specified parameters.• Load an existing set of parameters.• Delete an existing set of parameters.

Equity Growth % Annual Specify an equity growth value in %

Selection drop-down list box • Index name• Rate• Volatility• Maturity. A second Duration text field is

shown below the factor drop-down list box when Maturity is selected.

Currency Chose a currency or a percentage.

Chosen Index Index underlying the portfolio

Volatility Specify a volatility value, either in points or percentage.

Rate Theoretical rate you want to evaluate against the portfolio.

Duration Specify the start point of the Evaluation.

Table 35-5 Evaluation dialog.

Item Description

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Running A Stress Test

Stress tests allow the user to shock different types of data (spot, interest rates, etc.) and display the resulting P&L. A stress test is defined by a CSV file (created using Excel), that lists several scenarios to apply to portfolios.

As of this version, it is possible to shock data with a much greater degree of accuracy.

CSV file

A stress test is defined by a csv file. Shocks are applied on a portfolio and on its sub portfolios. Here is an example:

The first cell (A1) contains the version of the csv file: version 1 and version 2 are handled. For new files, this cell should always contain version 2.

Table 35-6Example CSV file.

A B C D E F G

1 version 2

2 Worst 1 Worst 2 +currency +sector s c v

3 Ref 0 0 0

4 Delta spot up EUR Bloomberg:Consumer, Cyclical

10 0 0

5 EUR * 5 0 0

6 spot down EUR Bloomberg:Financials

-10 0 0

7 EUR * 0

8 Vega vol up USD * 0 0 5

9 * * 0 0 4

10 vol down * * 0 0 -10

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Line 2 is a header and is defined as follows:

• Cells A2 and B2 define names of two columns that appear in the result screen. The result column with name Worst 1 (A2) [respectively Worst 2 (B2)] sums the worst cases of sub-portfolios [respectively sub-sub-portfolios]. If the cells are empty, the columns do not appear.

• The next cells (C2 and D2 in the example) define a selector header. They allow the user to select the data affected by a shock. The columns available are defined in section Selector columns. These columns are not mandatory.

• The last cells (E2 to G3 in the example) define the data that have to be stressed. The columns available are defined in section Data To Stress.

From line 3, stress tests scenarios are defined:

• The first column defines a group of scenarios. When no name is in the cell, the line is used to define a scenario that belongs to the previous group. The purpose of the group is to compare several related scenarios. A group of scenarios appears as a column in the result screen.

• The second column contains a scenario. If no name is in the cell, the line is used to define some parameters of the previous scenario (the user does not need to repeat the name of the scenario on each line that defines it). Only the worst case in a group of scenarios is displayed in the result screen.

• Columns C and D in the example, allow the user to define a selector. A data that matches the criteria is stressed with the shocks defined in columns E to G.

• Columns E to G are shocks' values.

Stressable data

The user can shock the following:

Important: These Settings are case-sensitive.

• Stock price — s• Stock volatility — v• Stock variance — V• Yield curve — r• Yield curve in percentage (rate + x%) — R• Forex price — x• Forex volatility — y• Forex variance — Y (specified as a maturity, such as 6m or 2y)• Credit risk spread — c• Skew (in- and out-the-money volatility) — k

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• In-the-money volatility — i• Out-the-money volatility — o

Note: Columns v, r, R, c and y support <=6m, 2y, 1/8/06. This allows you to define ranges of dates.

Selector Columns

The purpose of the selector is to allow the user to select precisely shocks to apply to an instrument, an interest rate, etc. with regards to several criteria.

Selector columns are handled dynamically, they are not mandatory. The criteria available are:

• Currency — +currency• Sector — +sector• Rating — +rating• Yield curve family — +family• Issuer reference — +issuer

A scenario is defined by a selector, several lines of criteria with corresponding shocks. When data matches a set of criteria, the shocks defined on the same line are applied.

Some criteria have no meaning for some 'Data To Stress'. For example, it's impossible to match the sector criterion when stressing a yield curve. Therefore, for yield curves, the sector criterion is ignored.

Table 35-7 describes the criteria that are used for matching with regards to the 'Data To Stress'.

Table 35-7 Data to Stress Criteria. (Sheet 1 of 2)

Currency

Sector Rating Family Issuer

Stock Price Yes Yes Yes

Stock Volatility Yes Yes Yes

Stock Variance Yes Yes Yes

Skew (stock) Yes Yes Yes

Smile in (stock) Yes Yes Yes

Smile out (stock) Yes Yes Yes

Yield Curve Yes Yes

Yield Curve in Percentage

Yes Yes

Forex Yes

Forex Volatility Yes

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If Yes: the data is used for matching, if Empty: the data is ignored.

Note: The selector columns are case sensitive.

The format used to define a sector is: <Sector Type>:<Group>:<Sub Group>: … : <Sector Name>.

The format used to define a rating is: <Agency>:<Notation>

Viewing Worst Case Scenario

This scenario calculates the risk matrix and displays the worst case with the corresponding values for each parameter and each underlying.

In a multiple-underlying portfolio, it is interesting to compute the loss resulting from the worst change of market conditions for each underlying.

Using the Worst Case function you can:

• Computes the risk matrix for each underlying.• Extracts from the matrix the worst case and the corresponding parameters.• Displays these figures in one list.

The Worst Case window is similar to the Risk Matrix except:

• The calculated result is only the P&L difference.• Only the underlying of the portfolio is displayed (the same changes are then

applied to all the underlyings).

1 From the Portfolios menu, select Open.

2 Select a folder or a deal.

3 In the Analysis menu, select Worst case.

The Simulation Parameters dialog is displayed where you can define the type of risk matrix is used to calculate each underlying.

4 Click Compute. The Worst Case results are displayed in a list window.

The Worst Case columns are shown as follows.

Forex Variance Yes

Credit Risk Spread Yes Yes Yes Yes

Table 35-7 Data to Stress Criteria. (Sheet 2 of 2)

Currency

Sector Rating Family Issuer

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Viewing the Aggregate of Option Positions by Maturities and Strikes

You can display a matrix corresponding to the graph of the Option position function by using the OTC quotation patterns that you have defined. This gives you an aggregate view of the option position for a given portfolio, according to the maturities and strikes defined in the quotation pattern.

To view the aggregate of option positions:


2 Select OTC (the name of the model defined) from the Quotation menu to display the matrix view of the position (OTC in our example).

The products, quantities, prices and greeks are aggregated by maturity and strike.

To display the positions at 1 year:

• use the arrows from the drop-down list to get to the desired maturity and strike range.

Note: You can apply the risk matrix on an OTC instrument or an entire portfolio.

To choose the folio of a new option deal window from the Position window:

1 Click the Positions from the portfolio to display the Position window.

2 Click a value in the Position window and press Ctrl+N to display the Deal input window.

3 Enter the quantity to buy

4 Enter the quantity to sell

5 Choose the Folio in which the deal is saved ('Folio' field).

Listed Options

For listed options, you can aggregate the position where only the listed options are taken into account.

Table 35-8 Worst case list column description.

Name Description

Underlying(s) Name of the underlying(s).

Delta Delta of the underlying instrument.

Underlying Delta of the underlying.

Volatility Volatility of the instrument.

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To display listed options aggregated by position:

1 Select the corresponding portfolio, or click on the Positions button.

Note: Strikes and maturities can be modified directly in the matrix, as with an OTC quotation grid.

Displaying Interest Rate Hedges

To display interest rate hedges:

1 In the Data menu, select Currencies. The Currencies window is displayed.

2 Click on the arrow on the left of the currency to access the following sub-folders:

- Kind of rate curves- Category of rate curve- Curves- Breakdown- Places- Reference currency market- Foreign market

Table 35-9 Listed options.

Item Description

Scroll bar The scroll bar of the Position window works strike by strike. When this window is open and the scroll bar is present, clicking on the arrows on the scroll bar will change the strike one by one.

Strike at the maturity It is possible to view matrixes corresponding to the strike at the maturity by right-clicking in the cells containing the Greek values of the call or put, or by left-clicking in the cells, which will give the corresponding matrix from the GL feed.

Window reopening On reopening of the Position window, the system saves the last position, the first strike and the way the window was previously displayed.

Font modification It is possible to change the font within the Position windows by right-clicking below the maturity date. When the font has been changed, the window will resize accordingly.

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Note: If there are no breakdowns associated with a currency a breakdown must be created.

To create a new breakdown:

1 Select the breakdown folder

2 Click on the New button or press Ctrl+N

In the bucketing window that is displayed, you can enter a list of interest rate products having different maturities. These products will be used to cover the rate risk of the selected portfolios, time bucket by time bucket.

Note: The Bucketing window can be saved under a different name.

To use this breakdown for calculating the interest rate hedge

1 Select the breakdown by pressing Alt + click on the line of the breakdown.

2 Select User in the Rate Risk according to… pop-up menu

3 Open your portfolio and select a line or a folio

4 In the Analysis menu, select Rho / Maturity and select the currency associated with your breakdown

A chart is produced that indicates the exact number of derivatives you should use to cover the rate risk of the line (or the folio) that you selected previously.

Note: In the Rho tab of the Preferences sub-menu ('File' menu), you can perform one of the following tasks:

Viewing the Components of Stock Loans

Stock loans consist of three components: the underlying stock or index, the collateral, and the loan commission. You can view these components in two ways:

• “Viewing the Stock Loan Components for an Instrument” on page 567, displays the number of deals, stock loans, and collateral for a selected instrument.

Note: Stock loans are included in both reports only if they are part of a loaded portfolio.

Viewing the Stock Loan Components for an Instrument

To view the stock loan components for a selected instrument:

1 Select an instrument in an Instrument window.

2 Choose SL Instrument Status from the Data menu.

The Stock Loans Report Parameters dialog box appears.

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Figure 35-8 Stock Loans Report Parameters

3 In the Start Date field, enter the first date to be included in the report.

4 In the nb days field, enter the time period for the report. The default time period is five days.

5 Select Without internal counterparty to exclude stock loans from specific counterparties from the report.

To specify the counterparty, enter the name of the counterparty in the field beside the Without internal counterparty checkbox.

Note: You can exclude multiple counterparties with similar names by using a wildcard (*). For example, internal* would exclude all counterparties whose name started with internal.

6 Click OK. The SL Instrument Status screen is displayed.

The SL Instrument Status window is divided into the following four panes:

- The first pane (topmost in the window) shows the stock loans and deal positions for the selected instrument, grouped by portfolio.

- The second pane shows the stock loans and deal positions for the selected instrument, grouped by counterparty and portfolio.

- The third pane lists the collateral that was used to secure the stock loans. Instruments are included as collateral in this pane if the business event of the deal matches the business event that has been defined as Collateral on the Corporate Action pane of the Back Office Parameters window.

- The fourth pane shows totals for the selected instrument for each day in the report period. The totals are calculated as the total of the number of instruments by book, the total number of stock loans for the instrument, and the total amount of collateral used to secure the stock loans. A total of all of these is also calculated for each day in the report.

Instruments will appear in the report for each day in the report period, starting from the value date specified in the Deal Input window.

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Stock Loan Reports

The following Stock Loan reports are available:

• Viewing the Stock Loan Components for an Instrument — displays the number of deals, stock loans, and collateral for a selected instrument.

• Viewing the Positions of Stock Loans by Portfolio — displays the positions of the underlyings of the stock loans within a portfolio.

Stock loans are included in both reports only if they are part of a loaded portfolio.

Viewing the Stock Loan Components for an Instrument

To view the stock loan components for a selected instrument:

1 Select an instrument in an Instrument window.

2 Choose SL Instrument Status from the Data menu.

3 This calls the Stock Loans Report Parameters dialog box:

Figure 35-9 Stock Loans Report Parameters dialog.

4 In the Start Date field, enter the first date to be included in the report.


Note: Select Without internal counterparty to exclude stock loans from specific counterparties from the report.

To specify the counterparty, enter the name of the counterparty in the field beside the Without internal counterparty checkbox.

You can exclude multiple counterparties with similar names by using a wildcard (*). For example, internal* would exclude all counterparties whose name started with internal.

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6 Click OK.

7 This calls the SL Instrument Status screen:

Figure 35-10 SL Instrument Status window.

The SL Instrument Status window is divided into the following panes:

• The first pane (topmost in the window) shows the internal stock loans and positions for a selected share. An internal stock loan is a deal on a stock loan using an internal counterparty.To display the internal stock loans for a selected share, enter the name of an internal counterparty in the field beside the Without internal counterparty check box within the Stock Loans Report Parameters dialog. The Without internal counterparty check box must be clear. This displays all the internal stock loans with the specified counterparty. If you do not specify a counterparty, only the positions on the selected share are displayed.

• The second pane shows the stock loans and deal positions for the selected instrument, grouped by counterparty and portfolio.

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• The third pane lists all the deals on the selected share with the business event that has been defined as collateral on the Corporate Action tab of the Back Office Parameters window.

• The fourth pane shows totals for the selected instrument for each day in the report period. The totals are calculated as the total of the number of instruments by book, the total number of stock loans for the instrument, and the total amount of collateral used to secure the stock loans. A total of all of these is also calculated for each day in the report.

Instruments appear in the report for each day in the report period, starting from the value date specified in the Deal Input window.

The Stock Loan Blotter can be launched within the SL Instrument Status window. Double-clicking a quantity in any of the three panes will launch the blotter with some information predefined.

The amount of information that is predefined for the deal depends on the pane in which the blotter was launched. For example, if you double-click a stock loan quantity in the second pane, the share and counterparty will be predefined. The Value Date is predefined as the date of the column in which you double-clicked.

Double-clicking a share’s name displays the movements for that share.

Viewing the Positions of Stock Loans by Portfolio

To view the positions of stock loans within all loaded portfolios:

1 Select SL Position from the Analysis menu. This calls the Stock Loans Report Parameters dialog:

Figure 35-11 Stock Loans Report Parameters dialog.

2 Enter the first date to be included in the report in the Start Date field,.


4 Select Without internal counterparty to exclude stock loans from specific counterparties from the report.

5 To specify the counterparty, enter the name of the counterparty in the field beside the Without internal counterparty checkbox.

6 You can exclude multiple counterparties with similar names by using a wildcard (*). For example, internal* would exclude all counterparties whose name started with internal.

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7 Click OK. This calls the SL Position window:

Figure 35-12 SL Positions window.

The SL Position window shows the positions of the underlyings of all the stock loans within all loaded portfolios. The number of underlyings is displayed for each day in the specified time period. Underlyings appear in the SL Position window from the value date specified in the Deal Input window.

You can sort the SL Position window by place by clicking the Place column.

Note: you can launch the Stock Loans Report for a position by double-clicking a position in the SL Positions report. “Viewing the Stock Loan Components for an Instrument” on page 569.

Cash Flow Diagram

The Cash Flow Diagram analysis gives you the cash flow for an instrument with no volatility.

The cash flow is calculated in the following two ways:

• For cash delivery, flows are calculated as the intrinsic value at maturity, paid at the corresponding settlement date

• For physical delivery it is the value minus the strike paid at maturity

Note: For Monte Carlo options there is no distinction between cash and physical delivery. All flows are calculated as the intrinsic value at maturity.

Table 35-10 Cash Flow Diagram Columns

Columns Description

Date Date of the flow.

Amount Amount of the flow

Original Currency Original currency of the cash flow.

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Original FX Original FX rate of the cash flow.

Present Value The present value of the cash flow.

CCY The present currency of the cash flow.

FX Rate The present FX rate of the cash flow.

Table 35-11 Cash Flow Diagram Fields

Fields Description

Date The date of the calculation.

Main Currency The main currency of the instrument.

Present Value Present value of the instrument.

Duration The duration of the instrument, A measure of a instrument’s price sensitivity to changes in interest rates.

YTM Yield-to-maturity of the instrument.

Sensitivity (%) Variation of the theoretical price for a 1% variation in the yield curve.

Convexivity (%) The convexity of the instrument related to YTM. The convexity reflects how the bond's yield changes in response to a change in price.

Mod. Duration Modified duration of the bond. This is a measure of the price sensitivity of a bond to interest rate movements.

Over rate You can use this field to simulate a rate change and see its effect on the cash flow.

Rho (%) Sensitivity of the instrument to a change in interest rate.

Convexivity (%) The Convexivity of the instrument related to Rho.

All Cash Flows Show all cash flows.

Same Currency Show cash flows with the same currency as the Main currency.

Simplified For simplified flows, the flows are given for a group of pre-set periods. For flows that fall before or after the specified periods, the amounts are split up between the closest flows, relative to the time period. For example, if there are flow periods at 6 months and 1 year, and a simplified flow at 9 months, 50% of the flow is allocated to the 6 month flow and 50% of the flow is allocated to the 1 year period. The flows are based on the coupon frequency of the instrument.

Table 35-10 Cash Flow Diagram Columns

Columns Description

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Chapter 36 Analytical Graphs

This section describes the use of analytical graphs.

• “Clauses Effect Analysis” on page 575• “Clauses Effect Analysis” on page 575• “Displaying the Pricing Surface” on page 577• “Adjusting the Pricing Surface 2D Graph” on page 579• “Adjusting the Pricing Surface 3D Graph” on page 579• “Viewing the Monte Carlo Graph” on page 583

Clauses Effect Analysis

The Clause Effect analysis evaluates the effects of clauses on a derivative’s value.

This analysis supports the following clause types:

• UpOut• DownOut• UpIn• DownIn• Barrier• Call• Put• OverVolatility

By default, this analysis produces a bar chart, as shown in figure 36-1. However, the graphical output is customisable and you can view the chart as an area chart or line chart.

When the analysis is run, the graph contains a bar representing the theoretical price and additional bars that represent the price recalculated without each clause. The name of the removed clause is displayed below the relevant bar.

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Figure 36-1 shows an Clause Effect analysis on a barrier option with an UpOut and a DownOut clause. From left-to-right, the three bars represent the theoretical, the price with the option’s UpOut barrier removed, and the price with the option’s DownOut barrier removed. The DownOut bar was clicked to show the numerical value of the bar.

Figure 36-1 Clause Effect Analysis on Double-Barrier Option

To run the Clauses Effect analysis, do the following:

1 Open an instrument with relevant clauses defined. The instrument must be opened in a dialog, such as the General or Standard options dialog to run this analysis.

2 In the Analysis menu, click Clauses Effect.

A chart is displayed showing the effect of the defined clauses on the pricing of the derivative, as shown in figure 36-1.

3 Click on any bar in the chart to see a numerical disply of the calculated value.

4 Double-click anywhere on the chart to open a dialog that allows you to customise the look and feel of the graph, as shown in figure 36-2.

This dialog allows you to change the look-and-feel of the output, the axes’ scale, and enables the exporting of the chart to formats such as .bmp or .jpg files.

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Figure 36-2 Clause Effect Customization Dialog

Displaying the Pricing Surface

The Pricing Surface graph visually represents the lattice structure used by tree-based methods to calculate the derivative theoretical price. It enables you to view, within the entire lifetime of the product, the anticipated conversion, the final redemption and the various final conversion possibilities. The different types of clauses are included in the graph.

The Pricing Surface is not available for products that are not handled by tree-based methods, such as Simple and Average Cox or Trinomial. Examples of these products are Cliquet options and Asian options.

To display the Pricing Surface Graph:

1 From the Instruments menu, select Stock Derivatives.

The Stock Derivatives window is displayed.

2 Double-click on an item in the Stock Derivatives list.

The definition window of the item is displayed.

3 From the Analysis menu, select Pricing Surface.

A sub-menu is displayed, allowing you to select either a 2D or 3D graph.

4 Select the required graph style.

The appropriate graph is displayed:

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Figure 36-3 2D graph.

Figure 36-4 3D Graph.

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Adjusting the Pricing Surface 2D Graph

You can alter the parameters of the 2D graph by right-clicking in the graph window.

The available features match those in the Main Window Graphs toolbar:

• Scale - Logarithmic or Arithmetic• Mode - Normal or 100 based• Zoom In• Zoom Out• Look at - display the corresponding date, spot value and the calculated

option value of a point in the graph• Draw

Note: The date illustrated in the 2D graph is the last given date

Refer to the Financial Models Reference Manual, Optimisations, for details on the effect of simple, bottom and top optimization on data that is illustrated in the graphs.

Adjusting the Pricing Surface 3D Graph

You can alter the parameters of the 2D graph by right-clicking in the graph window, or by changing the details in the top section of the Graph window.

Table 36-1

Item Description

x-axis Represents time

y-axis Represents the underlying value

2D Graph

black points Indicate that the product will be redeemed

blue points Indicate that the product will be converted due to the issuer

green points Indicate that the product will be converted due to the bearer

red points Indicate a ceiling in case of redemption

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3D Graph Window Options

Figure 36-5 3d Graph Dialog Toolbar.

The colour of graph point refers to the optimal strategy for the holder of the derivative:

Table 36-2 3D Graph Window Options.

Field Contains

Date • min: Beginning date• max: Completion date• stape: Number of date steps illustrated in the graph.

Spot • Stape: Number of spot steps illustrated in the graph• Ech Log: Either normal price or logarithmic curve for

spot values.

Option • Option Ech Log: Either normal price or logarithmic curve in the main graph.

Colour Defines the colours associated with each element of the graph. Select an item from the drop-down list, to open a colour chart for that item.

• Nothing• Refunding• Reached a maximum• Exercise• Default• Desk• Graph Back• Graph Fore• Shadow• Text• X Axis• Y Axis• Z Axis• XY Back• Y Back

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Right-Click Options

Table 36-3

Colour Description

Green Keep the derivative and wait.

Blue Early exercise - for American Puts and Convertible bonds, for instance.

Red Forced early exercise - a Cap clause or an issuer Call is triggered.

Black The Issuer Put is exercised or the convertible bond is redeemed at maturity.

Yellow Other cases (user-defined models).

Table 36-4

Option Description

Viewing Style Colour or Monochrome.

Font Size Large, Medium or Small.

Numeric Precision No decimals, 1 decimal, 2 decimal or 3 decimal places used.

Grid Lines Both X and Y axes, X axis, Y axis or no grid.

Show Bounding Box While rotating (using the window scroll bars), always or never.

Show Annotations Display each date line in the graph.

Rotation Animation Begin the automatic rotation animation of the graph.

Rotation Increment Choose the degree steps to use in rotation.

Rotation Detail Wire Frame, Plotting Style or Full Detail illustrated.

Plotting Method Choose from: Wire Frame, Surface, Surface with Shading, Surface with Contouring or Pixels.

Shading Style White or Colour.

2D Contour Contour Lines on Top or Bottom, Contour Colours on top or bottom or no contours.

Maximise Enlarge the graph to full screen - press Esc to close maximised screen.

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Exporting Graphs

You can export 3D Graphs in three different formats:

• Metafile• BMP• Text/Data only

To export a graph:

1 Right-click on the 3D Graph window.

2 From the resulting sub-menu, select Export Dialog...

The Exporting dialog box is displayed.

Customisation Dialog Opens a graph customisation dialog, allowing you to specify further preferences for the graph.

Table 36-4

Option Description

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Figure 36-6 Exporting dialog.

3 Specify the format, size and destination of the file.

4 Click Export. The graph is exported as specified.

Viewing the Monte Carlo Graph

The Monte Carlo Graph deals with the calculation of the average E(X) of a random variable X.

In this case, it is advisable to simulate a random variable according to the principle of X. The process supposes the existence of a sequence of random and independent variables (Xi,), according to all of the laws of X. Therefore, the simulation sequence of random and independent variables is returned, according to a uniform law on the interval [0,1]. The result is, E(X) is determined by:

The following instructions do not enable the Pricing Surface facility in the Analysis menu.

1 Double-click on the line Stock Derivatives

A dialog box appears

2 Select Monte Carlo in the drop-down menu Number of points.

3 Click on the button Param.

4 In menu Analysis, select Pricing Surface.

"2D"The Monte Carlo graph is displayed:

The first two fields 'Min' and 'Max', define the calculation absolute interval, minimum and maximum values.

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Both of these can be modified

The third field indicates the number of the interval. Select the type of chart with the 'Curve Type' drop-down menu. The 'Colour' field determines the colours used in the graph.

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Chapter 37 Maturity Analysis

This section describes the various Maturity analyses. The following analyses are described:

• “Correlation/Maturity” on page 585• “Detailed Correlation Maturity” on page 586• “Epsilon maturity” on page 586• “Family Rho/Maturity” on page 586• “Future Maturity” on page 586• “IR Vega maturities” on page 587• “Repo/Maturity” on page 588• “Smile/Maturity” on page 588• “Strike/Maturity” on page 589• “Vega Maturity/Spot” on page 589• “Vega/Maturity” on page 591• “Vol Matrix/Maturity” on page 592• “ZC Rho/Maturity” on page 592

Correlation/Maturity

This scenario enables to visualize the sensitivity per underlying and per maturity in term of correlations. The maturities used in this scenario are the one defined at the interest rate curve level. The Correlation/Maturity analysis is the projection into different maturities of the risk toward the correlation factor.

Note: The Correlation/Maturity Analysis does not work on Basket Options.

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Detailed Correlation Maturity

This scenario enables you to visualize the sensitivity per underlying and per maturity in term of correlations. For each underlying, Sophis details the sensitivity according to all other underlyings. The maturities used in this scenario are the one defined at the interest rate curve level.

Epsilon maturity

This scenario displays the graph of the Epsilon (that is to say the sensitivity of a folio according to the dividends) according to maturities. The Epsilon / Maturity menu option generates a table detailing the dividend risk (epsilon) according to the maturity.

To run a Epsilon/Maturity analysis:

1 In the Analysis menu, select Epsilon/Maturity

2 In the Rho tab of the Preferences sub-menu ('File' menu), perform one of the following tasks:

Family Rho/Maturity

This scenario returns a detailed calculation of Rho by separately adjusting the curve families of each instrument in a portfolio. RISQUE adjusts the curve family of each instrument before performing rho analysis and then displays the results for each instrument.

Future Maturity

This scenario uses maturities defined in the template selected in the preferences (tab “rho” pop-up 'rho'). If no template is defined, it uses the maturities at the interest rate curve level. For each maturity, Sophis simulate a variation of 1 point in the prices of futures and then displays the impact on the P&L.

Table 37-1 Tasks

Tick If you want to

Screen Output Convert the graph into a matrix

By Underlying Convert the graph into a matrix with the breakdown by underlying

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This function retrieves the sensitivity (the positive/negative variation) of an instrument price according to a simulation scenario that calls a derivative model to specify the financial model to be used ('Quotation' menu, refer to Chapter 18 Bulk pricing).

The scenario associated with the Future/Maturity functionality can be selected in the 'Vol' drop-down list box in the RISQUE preferences ('File' menu, 'Preferences' sub-menu, 'Rho' tab, refer to Setting preferences for portfolios).The scenario will simulate the increase of one point of the future price for a given maturity and determine the price variation of the selected instrument or portfolio.

To view the sensitivity of an instrument price according to a simulation:

1 In the Analysis menu select Future Maturity.

The Future Maturity window is displayed, as shown in figure 37-1.

Figure 37-1 Future Maturity Window

IR Vega maturities

The interest rate analysis options allow you to split the volatility exposure by maturities.

The following Interest Rate analyses are available:

• IR Vega/Maturity (Cap)• IR Vega/Maturity (Caplet)• IR Vega/Maturity (Swaption)

Selecting one of the Interest Rate analyses, displays the following dialog:

Figure 37-2 IR Analysis Dialog

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This dialog is the same for all Interest Rate analyses and allows you to define the fields as described in table 37-2:

Repo/Maturity

This scenario displays the sensitivity according to the repo rates per underlying and per maturity. The maturities used in this scenario are the one defined at the interest rate curve level.

The repo for a share is defined at the share level and the repo cost of a bond is defined in the rate curve window. When launching this scenario on a bond's future, the user must deselect the preference 'by underlying' in the rho panel in order to produce results.

Smile/Maturity

This scenario displays the risk matrix applying a shock on the smile in and out of the money. For in the money strikes, one increase the volatility with 1 point every 10% and for strikes out of the money, one decrease the volatility with 1 point every 10% of strike.

The Smile / Maturity menu option generates a volatility skew risk analysis matrix by time- and strike-bucketing. Select time- and strike -bucketing from the OTC fair price matrix, defined in the Model tab for risk calculation/Vol.

For a given maturity, at-the-money volatility remains the same. The volatility for the in-the-money strikes is increased by one more point for each ten per cent in the strikes and decreased by one more point for each ten per cent in the strikes for the out-of-the-money strikes, where both in- and out-of-the-money are considered from a call perspective.The portfolio is recalculated using the shifted volatility surface. The delta of profit and loss is grouped by strike and maturity.

Table 37-2 Interest Rate Analysis Fields

Field Description

Analysis Currency Select the currency you want to analyse.

Family Select the Yield Curve Family linked to the chosen currency.

Vega option Grid Selection of Option Lists. See “Derivative and Option Lists” on page 275 for more information. To find the maturity you intend to use for the breakdown.

Vega Swap Grid Selection of Option Lists. See “Derivative and Option Lists” on page 275 for more information. To find the maturity you intend to use for the breakdown.

Over volatility Specify the over-volatility here. For more information on over-volatility, see the Financial Model documentation.

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Note: You can choose to display the results in monetary units or in thousands ticking the P&L in Monetary Unit option in the Display tab of the Preferences menu.

To run the Smile/Maturity analysis:

1 Select Smile/Maturity from the Analysis menu

Strike/Maturity

This scenario displays the Vegas of a portfolio per underlying, per maturities and per strikes. This scenario uses maturities and strikes defined in the template selected in the preferences (tab Rho pop-up 'Vol'). If no template is defined, it uses the maturities and strikes at the volatility of the underlying level.

The Strike/Maturity menu option aggregates in a risk analysis the corresponding values by time- and strike-bucketing.

To run a Strike/Maturity analysis:

1 Select Strike/Maturity in the Analysis menu.

Vega Maturity/Spot

This scenario displays the vegas of a portfolio according to maturities for different spot levels. For different spots of the underlying, this scenario displays the vega mapped on the two nearest maturities.

To open this scenario, as shown in figure 37-3, select the Vega Maturity/Spot scenario from the Analysis menu.

Table 37-3 Strike/Maturity Preferences

The model selected in Applies to

Rho tab in Preferences sub-menu

• ZC/Maturity

Volatility tab in Preferences sub-menu

• FWD/Maturity• Smile/Maturity• VolMatrix/Maturity• Strike/Maturity• Correlation/Maturity

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Figure 37-3 Vega Maturity/Spot Window

To specify parameters for this scenario, press Ctrl when clicking Vega Maturity/Spot. This opens the Vega Maturity/Spot Parameters dialog, as shown in figure 37-4.

Figure 37-4 Vega Maturity/Spot Parameters Dialog

Table 37-4 describes the fields of the Vega Maturity/Spot Parameters dialog.

Table 37-4Vega Maturity/Spot Parameters Dialog Fields

Field Description

Reference The underlying used for the spot simulation and the volatility curve to define the maturities and to compute the vegas.

Central Spot The spot used to calculate the different spot levels with respect to the increment and increment type parameters.

Steps The number of spots on the right and the left of the central spot.

Increment The increment value used to compute the different spot levels.

Increment Type The type of the increment value. This can be one of the following:

• In Percent• In Amount

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The vega displayed in this scenario can be a vega market or a standard vega. This is set by the Bump Volatility Market Plots In Scenario preference of the Forex tab of the Preferences dialog. By default, the vega is not weighted. You can select the weighted vega using the Gamma / Vega button on the toolbar, as shown in figure 37-5.

Figure 37-5 Gamma / Vega Button

Note: The vega displayed is in the currency of the portfolio and without decimal places.

Vega/Maturity

This scenario displays the Vegas of a portfolio according to maturities. This scenario uses maturities defined in the template selected in the preferences (tab Rho pop-up 'Vol'). If no template is defined, it uses the maturities at the volatility of the underlying level.

The Vega / Maturity menu option generates the vega risk graph, according to maturity. Hence, you successively change the volatility for all options with a maturity of less than 2 months, then 3 months, and so on, up to 10 years.

It is possible to specify a folder by selecting the folder in the portfolio and then apply the Vega / Maturity graph. By default, the root portfolio will be taken into account.

Shape of the variation

To change the shape of the variation:

1 In the File menu, select Preferences.

2 Click on the Volatility tab.

3 Choose the 'Shape of variation for Evaluation Vega' (triangular or rectangular).

Note: Refer to the Financial Models Reference Guide for more information on the shape of variation.

4 In the Rho tab of the Preferences sub-menu (File menu), perform one of the following tasks.

Table 37-5 Shape of Variation Tasks

Tick If you want to

Screen Output Convert the graph into a matrix

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Vol Matrix/Maturity

This scenario displays the Vegas of a portfolio per underlying, per maturities and per strikes. This scenario uses maturities and strikes defined in the template selected in the preferences (tab Rho pop-up 'Vol'). If no template is defined, it uses the maturities and strikes at the volatility of the underlying level.

The VolMatrix/Maturity menu option generates a volatility risk analysis matrix by time- and strike-bucketing.

Select time- and strike -bucketing from the OTC fair price matrix, defined in the Model tab ('File' menu, 'Preferences' sub-menu) for risk calculation/Vol.

For a given strike/maturity combination, the spot volatility is shifted by one per cent according to the triangle or rectangle method selected in the Shape of variation for Evaluation Vega group-box from the Volatility tab of the Preferences menu.For more details on this method, refer to the Financial Models Reference Guide.

The portfolio is recalculated using the shifted volatility surface. The delta of profit and loss is grouped by strike and maturity.

To run a VolMatrix/Maturity analysis:

1 Select VolMatrix/Maturity in the Analysis menu.


ZC Rho/Maturity

This analysis generates a scenario by changing the zero coupon rates. Sophis displays the P&L variation per currency and per maturity. This scenario uses maturities defined in the template selected in the preferences (tab Rho pop-up 'Rho'). If no template is defined, it uses the maturities at the interest rate curve level.

The ZC Rho/ Maturity scenario generates an interest rate risk analysis matrix, by time-bucketing and by currency.

Select 'time-bucketing' from the OTC fair price matrix, defined in the Model tab of the Preferences for risk calculation/Rho. For more information on Preferences, see the Administration Guide.

The shift in the level of the rate curve is defined in the Rate Risk according to pop-up menu, in the Rho tab of the Preferences menu.

By Underlying Convert the graph into a matrix with the breakdown by underlying

Table 37-5 Shape of Variation Tasks

Tick If you want to

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To run a ZC/Maturity analysis:

1 Select ZC/Maturity in the Analysis menu

The portfolio is recalculated using the shifted rate curve. The delta of profit and loss is grouped by currency and maturity.


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Chapter 38 Credit Analysis

The following scenarios are available for credit based products.

• Credit (Exposure)• The following scenarios are available from the Credit Hedge menu item:

- Credit (Hedging)- Credit (Market)- Credit (Recovery Rate)- Credit (Total Loss)- Credit (Zero Coupon)

The credit scenario results are presented hierarchically. The different levels corresponding to the currencies, issuers, default events and seniority.

Credit Exposure

This scenario show the total exposure to credit risk. The exposure we consider here is the sum of the nominal of credit risky instruments. The results are grouped by currency, represented as rows in the table, and by seniority, represented by columns in the table.

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Figure 38-1 Credit Risk Exposure.

Credit (Recovery Rate)

The columns represent the different currency risk sources, with the following hierarchical levels:

• Issuer• Default Event• Seniority

The Credit Recovery Rate scenario computes the sensitivities of a portfolio to a bump of the recovery rate without recalibration. A bump is performed for each risk source of the portfolio (issuer, currency, default event, seniority) according to the preferences (shape and size of the bump).

The Equity category is used to group credit risk exposure of issuers that are related to the same equity. For instance General Motor has several financial subsidiaries, we can define each of them as an issuer; define different credit risk data for each of them, and later group the credit risk scenario results for these issuers under the same parent equity.

There are many situations where it will be simpler to define the credit risk data directly at the level of the equity and to not use define issuers. In this cases, the issuer corresponds to the equity, and all results are grouped under the Pure Equity folder as a first level.

If an issuer has been defined, but it has no related equity, the scenario results will be stored in the No related issuer first-level folder.

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Credit Zero Coupon, Credit Market and Credit Hedging Scenarios

In these scenarios, the columns represent the different maturities of the bucket analysis grid and the hierarchical levels are:

• the issuer• the default event• the currency• the seniority

The Credit Zero Coupon scenario allows the user to decompose the portfolio credit risk into

sums of sensitivities, in the currency of the portfolio, for each issuer, currency default event, seniority of the portfolio and for a set of maturities. The calibrated CDS rate curve is bumped at the desired maturities according to the preferences (shape and size of the bump) and for each risk source of the portfolio.

The Credit Market scenario also allows the user to decompose the portfolio credit risk into sums of sensitivities, in the currency of the portfolio, for each issuer, currency default event, seniority of the portfolio and for a set of maturities. The difference with the Credit Zero Coupon scenario is that the market CDS rates are bumped between the grid maturities, and a recalibration of the curve is performed to compute the sensitivity.

Credit Hedging

The Credit Hedging scenario gives a method of hedging at the market plot maturities for each risk source.

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Figure 38-2 Credit Hedging.

Credit total loss

This scenario computes the P&L variation supposing that a credit default event occurs. Several results are presented, depending at which date we expect the default to occur. The scenario is computed for each issuer, and results are, as before, grouped by issuer and possibly their reference equity.

The columns represent the reference dates. The scenario supposes that the probability of default of the issuer increases almost linearly until it reaches 1 at the date corresponding to the column. In other words, the default occurs somewhere between today and the date of the column.

Figure 38-3 Credit total loss.

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Chapter 39 Parametric Analysis

This chapter describes the parametric analyses. It contains the following sections:

• “Parametric VaR” on page 601• “Parametric Volatility Analysis” on page 613

Parametric VaR

Value-at-Risk (VaR) is a measure of the maximum amount of potential loss for a portfolio of assets over a specified time period under usual conditions.

Parametric VaR is a VaR calculation that reduces the risk calculations to one equation, which takes a number of parameters. Calculating parametric VaR is less time consuming than other VaR calculations.

Parameters for the parametric VaR portfolio analysis scenario are defined in a .csv file. This file contains the following types of data:

• A correlation matrix of all relevant data, typically spots and volatilities or rates for all underlyings.

• A vector of volatilities for this data.• Specifications for the time to maturity and the confidence level.

To calculate the parametric VaR, the Taylor expansion is used so that the P&L is itemised by spot price, volatility, interest rate, inflation, and credit risk. This helps to view the distribution of changes of the value of the portfolio.

Configuring and calculating the parametric VaR portfolio analysis scenario is described in the following sections:

• “Creating a .csv File” on page 602• “Including Commodities in the Parametric VaR” on page 603• “Calculating the Parametric VaR” on page 606• “Viewing the Parametric VaR Results” on page 610• “Viewing Additional Parametric VaR Displays” on page 611

Note: This analysis is only available if you have the parametric VaR module enabled.

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Creating a .csv File

To calculate the parametric VaR for a portfolio, you must first create a .csv file that contains a vector of volatilities and a correlation matrix. RISQUE can create this file by selecting Historic Correlations from the Data menu. For more information about historic correlations, see “Historic Correlations” on page 615.

Figure 39-1 shows a sample .csv file.

Figure 39-1 A sample .csv file for parametric VaR calculations

The data in the file is defined in the following sections:

• “The Volatility Vector” on page 602• “The Correlations Matrix” on page 603

The Volatility Vector

The volatility vector section defines the risk sources that are used to determine the volatility used in the parametric VaR calculations. The columns of this section are described in table 39-1. The column titles in the .csv file must be the same as those listed in this table.

Table 39-1 Columns in the References and Volatilities Sections of the .csv File (Sheet 1 of 2)

Column Description

col The column number.

ref type The universal reference defined in the Universal References dialog.

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The Correlations Matrix

The correlation matrix is defined after the volatility vector and contains the correlations between the instruments listed in the volatility vector. This section is defined in the cells immediately beside and below a cell populated with the word correlation.

In figure 39-1, the correlation cell is A12. The correlation matrix is subsequently defined in cells B13 to I20. In our example, there are eight underlyings, so there are eight columns and eight rows required to define the correlation between each and every underlying. Correlation values must be between -1 and 1 and only the upper-right half of the matrix needs to be completed.

Including Commodities in the Parametric VaR

To include commodities in the parametric VaR analysis, you must define the required commodities in a collection and maturities for that collection in the database. This reduces the number of risk factors used in the parametric VaR calculation to the futures of one specified commodity at a specified time. For each risk factor, you must define a volatility type, maturity, and, for power commodities, the delivery load. The contents of these database tables are not automatically written to by RISQUE. To populate these tables, you must manually edit the database. These collections and volatilities are defined in the tables described in table 39-2.

ref The instrument reference code.

type The risk source type. This can be defined as follows: • S — spot • V — volatility • R — rate• C — Credit Risk• B — Breakdown for rho• I — inflation

vol The associated log-normal annual volatility in percent. When V is defined as the instrument type, this column defines the volatility of the volatility.

Table 39-1 Columns in the References and Volatilities Sections of the .csv File (Sheet 2 of 2)

Column Description

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Table 39-2 Commodity Parametric VaR Volatility Tables (Sheet 1 of 2)

Table Description

VAR_MCCOLLECTION_COMMO Contains the commodity parametric VaR collections.

For example, to populate the Collec_BRENT collection, as shown in figure 39-2, execute the following SQL command:

insert into VAR_MCCOLLECTION_COMMO (ident_collection, ident_commodity) values ('Collec_BRENT,67114704)

where 67114704 is the internal code of the BRENT ICE commodity.

VAR_MCCOLLECTION_MAIN_COMMO Defines the main commodity of each collection. The futures of the other commodities in the collection are based on the main commodity.

For example, to define BRENT ICE as the main commodity of the Collec_BRENT collection, as shown in figure 39-2, execute the following SQL command:

insert into VAR_MCCOLLECTION_MAIN_COMMO values('Collec_BRENT', 67108903)

where 67114704 is the internal code of the Brent ICE commodity.

VAR_MCCORRMAT_DESC Contains the data types, maturities, and delivery load, if any, for each collection.

For example, to define a volatility of the Brent collection, as shown in figure 39-2, execute the following SQL command:

insert into VAR_MCCORRMAT_DESC values(100, 'Collec_BRENT', 1, 500, null)

where 100 is a unique identifier, 1 specifies delta, and 500 is the maturity in days.

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To display the contents of these tables in RISQUE, do the following:

• Choose Parametric VaR Volatilities from the Data menu. The Parametric VaR Volatilities dialog is displayed, as shown in figure 39-2.

Figure 39-2 The Parametric VaR Volatilities dialog

Table 39-3 describes the columns of the Parametric VaR Volatilities dialog.

VAR_MCVOLATILITIES Contains the volatilities for each maturity.

For example, to define the first volatility shown in figure 39-2, execute the following SQL command:

insert into VAR_MCVOLATILITIES values(100, 0.40)

where 100 is the unique identifier of the volatility as defined in the VAR_MCCORRMAT_DESC table and 0.40 is the volatility.

Table 39-2 Commodity Parametric VaR Volatility Tables (Sheet 2 of 2)

Table Description

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Note: Maturities are only displayed in the Parametric VaR Volatilities dialog if the volatilties are defined in the VAR_MCVOLATILITIES table in the database.

Calculating the Parametric VaR

To calculate the parametric VaR, select the portfolio in the Portfolio window and choose Parametric VaR from the Analysis menu. The Parametric VaR dialog is displayed, as shown in figure 39-3.

Table 39-3 Columns of the Parametric VaR Volatilities Dialog

Column Description

Collections The collections defined in the VAR_MCCOLLECTION_COMMO table.

Commodities The commodities defined for each collection in the VAR_MCCOLLECTION_COMMO table. The main commodity of the collection, as defined in VAR_MCCOLLECTION_MAIN_COMMO, is shown in bold. The futures of the other commodities in the collection are based on this main commodity.

Data Type Lists the volatility type of the parametric VaR data, as defined in the VAR_MCCORRMAT_DESC table. These data types are defined as follows:

• 1 — Delta• 2 — Vega• 3 — Rho• 4 — Currency

Load The delivery load of power commodities.

Maturity The maturities defined in the VAR_MCCORRMAT_DESC table.

Volatility The volatilities defined in the VAR_MCVOLATILITIES table.

Future The commodity futures of the main commodity of the collection nearest to the maturity.

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Figure 39-3 The Parametric VaR dialog

Table 39-4 describes the fields in the Parametric VaR dialog. You can populate these fields or load a saved scenario configuration by clicking Load Scenario, as described in table 39-5.

Table 39-4 Fields of the Parametric VaR Dialog (Sheet 1 of 2)

Field Description

Time Horizon The length of the period for which the exposure of your portfolio is calculated. Typically, this is a short period, such as a day, a week, or a month.

Confidence Level Determines the size of the percentile that you want to calculate. For example, if you choose 99% as confidence level, a 1 percentile loss distribution is used and you are 99% confident the loss will not exceed the VaR amount.

Correlation Matrix The .csv file that contains the volatility vector and correlation matrix.

Calculation type Defines how the parametric VaR is calculated. Choose one of the following:

• Delta — calculates the parametric VaR using the delta risk sources.

• Delta/Gamma — calculates the parametric VaR using the delta and gamma risk sources.

Extraction Criterion Defines how the results of the evaluation are listed. For example, if you choose Account, the results are listed by account.

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The Scenario Configuration frame of the Parametric VaR dialog enables you to save, load, or delete the configuration in the Parametric VaR dialog.

Table 39-6 describes the buttons of the Parametric VaR dialog.

Consolidation Defines the consolidation portfolio to be used with the correlation matrix.

For example, if you select Market, you only need to define one volatility (and volatility of volatility) for each index defined for a place. You can then define a correlation matrix between the indexes.

Scenario Configuration

Allows you to save, load, or delete the configuration in the Parametric VaR dialog. In this frame you can do the following:

• Save — saves the parameters that you have defined in an XML file.

• Load — loads an existing configuration file.• Delete — deletes a saved configuration file.

Entry point The portfolio on which the parametric VaR is calculated. By default, this portfolio is the one you selected before choosing Parametric VaR from the Analysis menu. If you did not select a portfolio, it is defined as the root portfolio.

To change the entry point portfolio, drag and drop a portfolio from the Portfolio window.

The field beside the Entry point field displays the reference code of the entry point portfolio.

Breakdown for Rho Defines the breakdown group that is used to calculate the rho value. The available breakdowns are taken from those that are defined for the portfolio’s currency. If you do not specify a breakdown, the currency’s yield curve is used by default.

This field is only used when the calculation type is set to Delta/Gamma.

Table 39-5 Scenario Configuration Buttons of the Parametric VaR Dialog

Field Description

Save Saves the parameters that you have defined in an XML file.

Load Loads an existing configuration file

Delete Deletes a saved configuration file.

Table 39-4 Fields of the Parametric VaR Dialog (Sheet 2 of 2)

Field Description

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Once you have defined the parameters in the Parametric VaR dialog, click Evaluate. Before it calculates the parametric VaR, RISQUE checks the .csv file to ensure that all required data is present. If data is missing, a warning message is displayed and a file named ParametricVaRmissingData.txt is generated, detailing the missing data, as shown in figure 39-4.

Figure 39-4 ParametricVaRmissingData.txt

The results of the parametric VaR calculations are shown in the VaR Results window. For more information, see “Viewing the Parametric VaR Results” on page 610.

Table 39-6 Buttons of the Parametric VaR Dialog

Field Description

Correl. matrix Opens the Correlations matrix and volatilities dialog. This dialog shows a matrix of the correlations and volatilities of the instruments that were calculated during your parametric VaR calculations. For more information, see “Correlations Matrix” on page 612.

Covar matrix Opens the Definite positive covariance matrix dialog. This dialog shows a matrix of the covariance values calculated for your positions. For more information, see “Covariance Matrix” on page 612.

Delta vector Opens the First order sensitivities dialog. This dialog shows a vector of the global sensitivities according to the risk source. For more information, see “Delta vector” on page 612.

Gamma matrix Opens the Second order sensitivities dialog. This dialog shows a matrix of the rate at which the delta changes for your positions. For more information, see “Gamma Matrix” on page 613.

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Viewing the Parametric VaR Results

The parametric VaR results are displayed, according to the extraction criteria, in the VaR Results window, as shown in figure 39-5. The VaR Results window displays the VaR for the selected portfolio along with six other types of VaR measurements.

Figure 39-5 The VaR Results window

The rows in the VaR Results window are determined by the entry point and the extraction criteria that you chose in the Parametric VaR dialog. Figure 39-5 shows an extraction by instrument with the ROOT portfolio as the entry point.

When the VaR Results window is first displayed, the VaR results are only shown for the entry point portfolio. To display the results for other rows, select the line and click Calculate. For example, to display the VaR results for the shares in figure 39-5, select the Shares row and click Calculate.

To expand all rows in the window, click Expand. To collapse them, click Collapse.

Table 39-7 describes the columns in the VaR Results window.

Table 39-7 Columns in the VaR Results Window (Sheet 1 of 2)

Column Description

VaR Global VaR, taking the delta, vega, and rho into account.

Delta VaR VaR, taking only the spots exposure into account.

Vega VaR VaR, taking only the volatilities of spots exposure into account.

Rho VaR VaR, taking only the interest rates exposure into account.

Credit VaR VaR, taking only the credit risks exposure into account.

Inflation VaR VaR, taking only the inflation exposure into account.

Delta/Vega VaR VaR, taking only the delta and vega into account.

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Viewing the Parametric VaR with Commodities

If commodities are included in the parametric VaR calculations, an extra toolbar button is displayed on the VaR Results window, as shown in figure 39-6.

Figure 39-6 Commodity Delta Parametric VaR Toolbar

This button opens the Commodity Delta Parametric VaR or Commodity Delta Gamma Parametric VaR window, which shows the parametric VaR calculation at a commodity collection level. This window shows the delta or delta/gamma VaR by maturity as displayed in the Parametric VaR Volatilities dialog. For more information, see “Including Commodities in the Parametric VaR” on page 603.

Viewing Additional Parametric VaR Displays

You can also display specific aspects of the parametric VaR calculations in a number of separate dialogs. These dialogs are described in the following sections:

• “Correlations Matrix” on page 612• “Delta vector” on page 612• “Covariance Matrix” on page 612• “Gamma Matrix” on page 613

To display any of these dialogs, calculate the parametric VaR in the Parametric VaR dialog and click the relevant button.

Crossed VaR Calculated using the following formula:

Shortfall The average value of the loss if the P&L of the portfolio goes below the VaR. This is an important indicator because two portfolios with the same VaR have not necessarily the same average loss below this level.

Currency The currency of the displayed values.

Table 39-7 Columns in the VaR Results Window (Sheet 2 of 2)

Column Description

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Correlations Matrix

Clicking Correl. matrix in the Parametric VaR dialog displays the Correlations matrix and volatilities window, as shown in figure 39-7. This dialog shows a matrix of the correlations and volatilities of the instruments that were calculated during the parametric VaR calculations.

Figure 39-7 The Correlations matrix and volatilities dialog

Delta vector

Clicking Delta vector in the Parametric VaR dialog displays the First order sensitivities window, as shown in figure 39-8. This dialog shows a vector of the global sensitivities according to the risk source.

Figure 39-8 The First order sensitivities dialog

Covariance Matrix

Clicking Covar matrix in the Parametric VaR dialog displays the Definite positive covariance matrix window, as shown in figure 39-9. This dialog shows a matrix of the covariance values calculated for your positions.

Figure 39-9 The Definite positive covariance matrix Dialog

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Gamma Matrix

Clicking Gamma matrix in the Parametric VaR dialog displays the Second order sensitivities window, as shown in figure 39-10. This dialog shows a matrix of the rate at which the delta changes for your positions. The Gamma matrix can only be calculated if you have chosen Delta/Gamma from the Calculation type drop-down list.

Figure 39-10 The Second order sensitivities dialog

Parametric Volatility Analysis

Parametric Volatility Analysis displays the volatility risk in term of sensitivities to the parametric volatility parameters. For the hyperbolic model, the following sensitivities are calculated:

• ATM Volatility• Vol-• Vol+• Skew• Kurtosis

To run the Parametric Volatility Analysis, do the following:

1 Select Parametric Volatility Analysis from the Analysis menu.

The Parametric Volatility Analysis dialog is displayed, as shown in figure 39-11.

Figure 39-11 Parametric Volatility Analysis dialog

2 Set the Parametric Volatility Model and Detailed Results fields.

3 Click OK.

The Parametric Volatility Analysis window is displayed, as shown in

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figure 39-12.

Figure 39-12 Parametric Volatility Analysis window

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Chapter 40 Historic Correlations

Historic correlations are the representation of the historical price fluctuations of a set of instruments with respect to each other. This data is required to accurately calculate the parametric VaR for a portfolio. The historic correlation data is saved as a volatility vector and a correlation matrix.

The calculations use the historic price, as stored in the database, of a set of instruments. The results are saved as a .csv file that can be used as the input for the parametric VaR calculation.

Configuring and generating historical correlations is described in the following sections:

• “Configuring Historic Correlations” on page 615• “Generating the Correlation Output” on page 620• “Oracle Tables ” on page 623

Configuring Historic Correlations

Historic correlations are configured in the Historic correlations dialog. To display the Historic correlations dialog, select a portfolio and choose Historic Correlations from the Data menu. The Historic correlations dialog is displayed, as shown in figure 40-1.

Note: If you do not select a portfolio, historic correlations are calculated for your entry point portfolio.

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Figure 40-1 The Historic Correlations dialog.

Table 40-1 describes the fields in the Historic correlations dialog.

Table 40-1 Fields in the Historic Correlations dialog. (Sheet 1 of 2)

Item Description

Backward Day Count Defines the number of historical prices to use in the calculation. This cannot be less than 30 days

Latest Date Included Defines the day on which the backward count of historical prices occurs. So that the time period under consideration is:

[Latest Date Included, Latest Date – Day Count + 1]

Reference The universal reference that will be used to identify the underlyings of the portfolio. These references are written to the .csv file. If no matching universal reference is found for an underlying then its internal code is written to the .csv file.

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Save to File The filename of the .csv file. The following patterns can be used in specifying the filename:

• %Y – current year• %M – current month• %D – current day• %h – hour• %m – minute• %s – second

For example, specifying Correlations-%D-%M-%Y.csv generates a file similar to Correlations-30-09-2004.csv.

Scenario Configuration Click Save to save the scenario settings to the database.

To load a previously saved configuration, click Load and to delete a configuration click on Delete.

Consolidation Defines which consolidation will be performed to find the underlyings whose volatilities and correlations are needed for Parametric VaR computation.

Note: You will have to select the same consolidation when using the Parametric VaR

Breakdown list The breakdown list for which the historic correlations is calculated.

Update Populates the Extraction Results section with all the required underlyings for the Parametric VaR computation.

Remove Removes a selected underlying from the Extraction Results section. When an underlying has been removed it is not included in the Historic Correlation calculations.

Compute Computes the historic volatilities and correlations.

When the calculations are finished, a window is displayed with the calculated values, the .csv file is generated, and a log file is produced.

Output Displays the calculated correlation matrix.

Cancel Closes the Historic Correlations window

Table 40-1 Fields in the Historic Correlations dialog. (Sheet 2 of 2)

Item Description

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Extraction Results

When you click Update, the Extraction Results section is populated with all the required underlyings of the portfolio necessary for the Parametric VaR calculation. The Type column specifies the kind of computation that will be performed on the underlying:

• S - Volatility and correlations will be calculated using the history sequence of last prices.

• V - Volatility and correlations will be calculated using the history sequence of volatilities of the last prices.

• R - The underlying is a currency. In this case you can specify an interest rate by choosing from the Rate drop down list. Calculations are based upon the history sequence of the spot at the chosen rate.

• C - The underlying is a credit risk. For the time being, no calculation is performed for this kind of underlying, however by listing all that is necessary for the VaR calculation, it is made easier for the user to add a specific approximated value in the output .csv file.

If you edit the Type cell of an underlying that is neither a rate nor a credit risk, you can choose to compute both S and V, or only S, or only V for the selected underlying.

The instrument associated with the underlying can be opened by double clicking the underlying line in the Extraction Results section.

Generating the Historic Correlations

Once you have defined the report parameters and selected your extraction criteria, click Compute button to launch the data retrieval and Historic Correlations calculations. If these steps are successfully passed, the output file is saved and the result matrix displayed.

You can recalculate the historic correlations at any time by clicking Re-Compute.

Note: Historic Correlations will only be generated if there are least 20 last values for each underlying within the specified time period. Underlyings with less than 20 values are not included in the calculations and the volatility and correlations will be set to 0 in the .csv file. This allows you to fill in any missing data with approximate values.

Correlation Equations

when generating historic correlations, calculations are performed in the following areas:

• Sequences,• Volatility,• Correlations.

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Sequences

For each underlying, historic correlation calculations are based on the last price sequence. Another sequence, to compute volatility, is calculated from it as:

In this equation, is the last price of the envisioned underlying at time . This equation allows last price sequences of zero at some dates to take non-business days into account.

In the correlation calculation below, two different underlyings are used and there must be values that were calculated on the same dates to get meaningful results. In order to fill in the blanks of this sequence, we use the following log-linear interpolation:

Now that we have data for each date, the denominator in the formula is equal to 1

and the sequence can be seen as a sequence.

Volatility

The lognormal volatility formula is based upon the standard deviation formula, The

following example shows the formula for a sequence with n elements:

In the sequence , is the last price number, i, (since is a day-to-day sequence of last prices built from the history data retrieved). To compute the annualized volatility, as a percent, from a day-to-day sequence, the factor

100 is applied to the previously calculated standard deviation.

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Correlations

Please refer to the separate release note for information on how correlations are calculated.

Generating the Correlation Output

When you calculate historic correlations, the following outputs are generated:

• “Correlation Matrix” on page 620• “CSV file” on page 620• “The Report Log File” on page 622

Correlation Matrix

Once you have generated the historic correlations, the calculated correlation matrix is displayed as:

Figure 40-2 The Correlation Matrix.

The resultant symmetric correlation matrix shows volatilities in blue on the instrument’s diagonal instead of the 1 that is displayed for auto-correlations.

CSV file

The CSV file contains the vector of volatilities and the correlation matrix required to calculate a parametric VaR.

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Figure 40-3 A sample. csv file.

The .csv file is divided in two parts:

• Data and Associated Volatilities,• Correlation Matrix Data.

Data and Associated Volatilities

Beginning on the second row, this section lists the following:

Table 40-2 Columns in the .csv file. (Sheet 1 of 2)

Table Column

Description

Ref Type (Column B)

The universal reference type. If the underlying is a currency rate, this cell is filled with “(currency)”. If the underlying reference could not be found, this cell is filled with “(internal code)” and the reference field is set to the instrument SICOVAM.

Ref (Column C) Instrument Reference.

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Note: If history data could not be obtained for a given instrument, the instrument appears in the output file, allowing you to complete the missing data (for example, approximate relevant values or values from another source) before launching the parametric VaR. In that case, volatility is set to 0.

Correlation Matrix Data

Appearing 3 rows after the last row of the first area, this Correlation Matrix section lists all correlations between the underlyings defined in the first area. Only the upper part of the matrix is relevant.

If no correlation could be calculated for a given underlying, the associated line / column still appears in the matrix but is set to 0 (auto-correlations are set to 1).

The Report Log File

When you calculate historic correlations, a log file is generated in the same directory as the RISQUE executable. This file details if there was any missing data, and how many last values were found for each underlying.

Type(Column D)

Defined as:• S for spot, • V for volatility• R for rates.

Vol (Column E) The associated lognormal annual volatility as a percent.

Table 40-2 Columns in the .csv file. (Sheet 2 of 2)

Table Column

Description

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Figure 40-4 The report log file.

The log file is called HistoricCorrelationsReport.txt and is divided into the following sections:

• Missing History Data,• History Fetch Stats.

Missing History Data

The Missing History Data section contains messages that describe why data retrieval failed for specific underlyings. Messages may also appear in this section not because data retrieval has failed but that the number of last prices retrieved were too few to perform a meaningful calculation.

History Fetch Stats

For each instrument whose data retrieval was successful, the History Fetch Stats section gives the number of relevant history values that were found.

Oracle Tables

The Historic Correlations module stores scenario configuration in the HISTORIC_CORREL_CONFIG table. This table is defined as:

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CREATE TABLE HISTORIC_CORREL_CONFIG ( ID NUMBER(10) NOT NULL, NAME VARCHAR2(100), START_DATENUMBER(10), END_DATE NUMBER(10), FILE_NAME VARCHAR2(256), BUNDLE_NAMEVARCHAR2(100), REFERENCE_TYPEVARCHAR2(100), PRIMARY KEY (ID));

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Chapter 41 IR Delta Analysis

This chapter comprises the following sections:

• “Selecting the IR Hedge Analysis” on page 625• “Viewing IR Hedge Delta Breakdown Analysis” on page 626• “Viewing IR Hedge Delta Forward Analysis” on page 627• “Viewing IR Hedge Delta Swap Analysis” on page 628• “Viewing IR Hedge Delta Reset Analysis” on page 629• “Viewing IR Hedge Delta Zero Coupon Analysis” on page 630• “Viewing IR Hedge Vega Swaption” on page 631

Before running a IR Delta Analysis, it is recommended that you specify your IR Delta preferences. These preferences are described in the Administration Guide.

Selecting the IR Hedge Analysis

The IR Delta analyses are available from the IR Hedge item in the Analysis menu. Select this item and the Interest Rate Hedge selection dialog is displayed:

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Figure 41-1 Interest Rate Hedge Analysis Selector dialog.

This dialog allows you to define the type of IR Hedge you want to analyse.

Viewing IR Hedge Delta Breakdown Analysis

The IR Delta Analysis (Breakdown) generates a scenario by calculating the number of instruments needed to hedge the position where a list of hedging instruments are provided. This list is defined at the currency level (Breakdown)

To run a IR Delta Analysis (Breakdown) scenario:

1 In the IR Hedge Type menu, select, Delta Breakdown.

The IR Delta Analysis (Breakdown) dialog appears.

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Figure 41-2 Delta Breakdown dialog.

2 Select the currency. The available Hedging types are defined on the currency, in the Breakdown section. For more information on defining currencies, see the Administration Guide.

3 Click OK. The IR Delta Analysis (Breakdown) graph is displayed.

Viewing IR Hedge Delta Forward Analysis

This scenario provides a bucket analysis of the interest rate risk. The series of bump maturities are the default pricing yield curve of the selected currency maturities. If a Rho quotation grid is defined, the grid maturities are used. The term structure of forward rates of the interest rate selected is then directly bumped, maturity by maturity, to obtain maturity-wise sensitivities.

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Figure 41-3 Delta Forward dialog.

Viewing IR Hedge Delta Swap Analysis

The IR Delta Analysis (Swap) generates a scenario exactly like the IR Delta Analysis (Zero Coupon) but where the instruments are the Interest Rate futures (short term) and swaps (long term) used to define the yield curve market plots. The maturities used for this scenario are the one defined at the interest rate curve level.

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Running IR Delta Swap analysis

To run the IR Delta Analysis (Swap) on the portfolio:

1 In the IR Hedge Type menu, select IR Delta Swap.

Figure 41-4 Rho Analysis Swap Currency Analysis.

2 Select the currency.

3 Select the Yield Curve Family.

4 Click OK. The IR Delta Analysis (Swap) list is displayed.

Figure 41-5 IR Delta Analysis Swap result window.

This list shows the Yield Curve points against the sensitivity of the notional.

Viewing IR Hedge Delta Reset Analysis

The maturities used for this scenario are the one defined at the interest rate curve level.

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This scenario applies only to instruments associated with a floating component with an interest rate of the class CSRInterestRate or an interest rate derived from CSRInterestRate using the method CSRInterestRate::GetCouponRate to compute floating coupons (in particular, the scenario applies to the following rate classes: CSRCMSRate, CSRLiborRate and CSRInverseFloater).

Figure 41-6 Delta Reset dialog.

Viewing IR Hedge Delta Zero Coupon Analysis

The IR Delta Analysis (Zero Coupon) generates a scenario by changing the zero coupon rates. Sophis displays the P&L variation. This scenario uses maturities defined in the template selected in the preferences (tab Rho pop-up 'Rho'). If no template is defined, it uses the maturities at the interest rate curve level.

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Running IR Hedge Delta Zero Coupon

To view a IR Delta Analysis:

1 In the Analysis menu, select IR Delta Analysis (Zero Coupon). The Rho Currency Analysis dialog is displayed:

Figure 41-7 Delta Zero Coupon dialog.

2 Select the currency from the Analysis Currency drop down list and the Family from the Family drop-down list.

3 If you want to generated detailed results, select the Detailed Results check box.

4 Click OK. The IR Delta Analysis (Zero Coupon) report is displayed:

Figure 41-8 Zero Coupon window

Viewing IR Hedge Vega Swaption

The IR Vega analyses give the sensitivity to the Volatility.

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Figure 41-9 Vega Swaption, Cap and Caplet dialogs.

Specify the currency whose rates you wish to use in the analysis, then specify the Option and Swap grids. These are defined in the Quotation menu. Specify an over-volatility if you intent to bump your values.

Choose a computation mode from one of the following options:

• By Plot — This bumps on the plotted points.• Progressive — This bumps all points prior to the affected point.

- If you select Progressive, you can also use the Progressive Order options. This allows you to choose either By Option or By Tenor.

Note: The Volatility Component is used for Swaptions only.

Interest Rate Hedge — Cash Forward

The Cash Forward scenario allows you to manage the interest rates fixing rates as follows:

• Shows the interest rate exposure per maturity• The interest rate exposure can be modified to simulate the exposure the

trader is ready to take• Debt instruments can be directly created to hedge the current exposure

You can launch the Cash Forward scenario on portfolios at any level for positions with a fixed future cash-flow.

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Launching the Cash Forward Scenario

To launch the Cash Forward scenario, do the following:

1 Select loaded portfolio or position in the Root window.

2 Select IR Hedge from the Analysis menu. The Interest Rate Hedge dialog displays as shown in figure 41-10.

Figure 41-10 Interest Rate Hedge dialog.

3 Select Cash/Forward from the IR Hedge Type drop-down menu.

4 Select a currency from the Analysis Currency drop-down menu.

5 Enter a date into the End Date field and click Ok.

The Interest Cash/Forward window is displayed as shown in figure 41-11.

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Figure 41-11 Interest Cash/Forward window.

Table 41-1 describes the columns and buttons of the Interest Cash/Forward window.

Table 41-1 Elements of the Interest Cash/Forward Window

Name Description

Maturity The list of maturities. You can expand the maturities to display the instruments that impact it.

For further information, see table 41-2.

Nominal The spot exposition for the given maturity. The nominal is the notional sensitivity of the IR Hedge — Delta Zero Coupon scenario calculated for the positions’ maturities. The notional sensitivity is the notional to sell in term of zero coupon bonds maturing at rho-neutral maturities.

Only deals with a fixed flow maturing at the given maturity are taken into account.

The nominal is filled at the instrument level. Note: This is a read-only value.

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Spot Displays at the maturity level:• the consolidated spot exposure. This takes into account

deals impacting the maturity and the simulated exposures.

• the number of days of exposure. Calculated from today until the maturity date + 1.

• the exposure (nominal * tenor in years). This provides an homogenous fixing risk indicator.

Note: This is a read-only value.

Maturity Date Displays the following at the maturity level:• the forward exposure from the date to the maturity. It can

be updated by the user for simulation. If nothing has been saved in memory, all the value are set to 0. Otherwise the values saved in memory are displayed.

• the tenor or number of days from the date in column to the maturity.

• the exposure (nominal * tenor in years) which provides an homogenous fixing risk indicator .

• only for the fields where the date in column is higher than or equals to the maturity.

Sicovam

Color The color of the maturity currency.

Date The date of the simulation. You can change the date by double-clicking the field and selecting a new date from the Calendar dialog.

Expands the list of maturities.

Collapses the list of maturities.

Refresh the calculations. Note: This button does not function for extractions.

Save the simulated data .

You can only save the data of simulations based on single portfolios. It is not possible to save the data on a position or groups of portfolios. Note: This button does not function for extractions.

Books the debt instrument to hedge the forward spot exposure.

Table 41-1 Elements of the Interest Cash/Forward Window

Name Description

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Exposure Maturity List

Table 41-2 Maturities of Instruments

Instrument Maturity

Total Return Swap Ticket with future cash flow

Interest Rate Swap Next reset date of the floating leg

Basis Swap Next reset date of each floating leg

Stock Nothing

Future Maturity

Call/Put Maturity

Stock Loan Next open day

CFD Next open day

Ticket with future cash flow Payment date

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Chapter 42 Risk Matrix Analysis

This chapter describes the Risk Matrix analysis.

The risk matrix allows you to visualize the P&L variation applying a shock on two parameters among the spot, the volatility, the interest rate curve and the maturities. It is possible to compute several risk matrixes: the icon on the top of the main window (generally used to display columns) enables to switch from one risk matrix to another. The user can choose between applying a shock in points or in percentage.

The risk matrix is calculated at each position level taking into account their characteristics, and then Sophis is aggregating results. In the case the user applies shocks on the spot, for each calculation with a shocked spot Sophis considers this new spot as a reference for the volatility at the money. Thus, in the case the smile is expressed in percent and not according to a pivot price, it will affect the volatility used to price an option.

Viewing the Risk Matrix

To view the P&L or Greeks of the Portfolio:

1 Select Risk matrix from the Analysis menu. The Simulation Parameters dialog is displayed, figure 42-1.

Figure 42-1 Simulation parameters dialog

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2 Select one or more options from the list in the Result group-box.

3 Enter the different parameters for the x-axis and y-axis.

4 Click OK to display the risk matrix. The Simulation Results window is displayed for the folio you ran the scenario on. The name of the folio and the type of result specified are also shown in the window title bar.

Table 42-1 Risk Matrix

Item Description

Results The following results can be specified:• P&L• Delta• Gamma• Vega• Rho• Delta P&L• Theta• Total Delta• Partial Delta• Delta Quantity• Delta Hedge• Vanna• Volga• Weighted Vega

Axis Drop down list boxes

Use these drop-downs to specify the following:• Underlying • Rate• Volat• Maturity• Credit Risk

Radio Buttons • In Points• In Percentage

Axis This specifies the central value of the axis.

Step The value of each step positive and negative away from the central value of the axis.

Nb Step The number of steps to generate in the result.

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Figure 42-2 Simulation results window

The result shown in figure 42-2 used the following values:

- Result — P&L- X-Axis — Underlying, Axis=2, Step=1, Nb Steps=5- Y-Axis — Credit Risk, Axis=0, Step=1, Nb Steps=3- Both X and Y axis also used In Points for the results.

Working With Scenarios

It is possible to save the settings for a particular Risk Matrix scenario. The saved scenario settings can then be re-loaded for future use. The saved scenario settings when no longer needed can then be deleted.

Saving settings

To save the settings of a Risk Matrix scenario:

1 Configure the Simulation Parameters dialog as required.

2 Click Save.

3 Type a name for the simulation.

4 Click Save

Loading settings

To load a saved scenario:

1 From the Analysis menu, select Risk Matrix.

2 In the Simulation Parameters dialog, click Load.

3 In the Load dialog, select the scenario you want to load.

4 Click Load.

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The Simulation Parameters dialog is then configured according to the details of the saved scenario settings.

Deleting settings

To delete a saved scenario:

1 Select Risk Matrix from the Analysis menu.

2 In the Simulation Parameters dialog, click Delete.

3 In the Delete dialog, select the scenario to delete.

4 Click Delete.


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Chapter 43 Counterparty Analysis

This chapter describes the counterparty analysis. The following counterparty information can be analysed:

• “Counterparty Risk” on page 641• “Counterparty Liquidity” on page 642

Counterparty Risk

To compute counterparty risk:

1 Select Third parties from the Data menu.

The Third Party list window is displayed:

Figure 43-1 Third Party Window

Note: For detailed information on Third Party set up and configuration see the Administration Guide.

2 Select the Third party you want to analyse.

3 Click the Calculate Fees button and select Counterparty calculation. The Counterparty Risk dialog is displayed:

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Figure 43-2 Counterparty Risk Dialog

You can compute the counterparty risks per value, theoretical value or absolute value for a number of product types as listed in table 43-1:

Counterparty risks are displayed in the Third parties window.

Counterparty Liquidity

By extracting counterparty lines from the portfolio it is possible to view the liquidity risk on a counterparty. This is done by using the Balance button in the extracted portfolio.

To extract counterparty lines from the Portfolio:

1 In the Data menu, select Third parties. The Third party main screen appears.

2 Select a third party.

3 From the Fees calculating drop-down list box.

Table 43-1 Counterparty Risk products.

Counterparty Risk Name Description

Swap When selected the counterparty risk relating to swaps are displayed.

Swap Option When selected the counterparty risk relating to swap options are displayed.

Option When selected the counterparty risk relating to options are displayed.

Loan on Stock When selected the counterparty risk relating to loans on stock are displayed.

Debt When selected the counterparty risk relating to debts are displayed.

Package When selected the counterparty risk relating to packages are displayed.

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4 Select Extraction. The Extraction dialog appears:

Figure 43-3 Extraction Third dialog.

This enables you to extract from the portfolio the lines where this third party plays one of the chosen roles (broker, counterparty, depositary).

Full Extraction

A full extraction can be performed on all third parties.

To run a full extraction:

1 In the Data menu, select Third parties.

The Third party main screen appears.

2 Select Full Extraction from the Fees Calculating drop-down menu.

A portfolio window, Third, is displayed.

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Chapter 44 Forex Analysis

This section describes the various forex analyses. The following analyses are described:

• “FXVolMatrix/Maturity” on page 645• “Delta Adjustment Report” on page 646• “P&L Jump Report” on page 647

FXVolMatrix/Maturity

The FXVolMatrix/Maturity portfolio analysis scenario provides a precise decomposition of the volatility risk by underlying including the forex underlyings.

For a given strike/maturity combination, the spot volatility is shifted by one per cent according to the triangle or rectangle method selected in the Shape of variation for Evaluation Vega field of the Volatility tab of the Preferences dialog. For more information about this method, see the Financial Models Reference Guide.

The portfolio is recalculated using the shifted volatility surface. The delta of profit and loss is grouped by strike and maturity.

You can choose to display the results in monetary units or in thousands be selecting the P&L in Monetary Unit preference in the Display tab of the Preferences menu.

If the preference Bump Volatility Market Plots is selected on the Forex tab of the Preferences dialog, it has the following affects on the FXVolMatrix/Maturity analysis:

• The grid defined in the Vol Grid for Bucket Analyses preference of the Volatility tab of the Preferences dialog is ignored.

• The result matrix corresponds to the maturities and deltas of the underlyings of the instruments of the portfolio for which the volatility is defined using Strike in delta.

• For each forex volatility of the portfolio, if a maturity and delta pair fits a market plot of the forex volatility, RISQUE calculates the bump:Vega Market (maturity,delta strike) = (Portfolio_PnL(market_plot_bump_plus) - Portfolio_PnL(market_plot_bump_minus)) / (2*bump)

If the maturity does not correspond to a market plot for some underlying,

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the corresponding column is ignored for this underlying.

If there is only one underlying forex, the maturities are displayed as lines and the strikes or deltas as columns. If there is more than one underlying, the maturities are displayed as columns and the strikes as lines, as in previous versions. The results of the analysis are displayed in the colour of the vega currency.

To open the FXVolMatrix/Maturity window, as shown in figure 44-2, choose FXVolMatrix/Maturity from the Analysis menu.

Figure 44-1 FX Vol Matrix/Maturity Window

Delta Adjustment Report

The Delta Adjustment Report portfolio analysis scenario displays the deltas of the underlying for each barrier level of a forex barrier option. To open the Delta Adjustment Report window, as shown in figure 44-2, choose Delta Adjustment Report from the Analysis menu.

Figure 44-2 Delta Adjustment Report Window

Table 44-1 describes the columns of the Delta Adjustment Report window.

Table 44-1 Delta Adjustment Report columns (Sheet 1 of 2)

Name Description

Barrier Level The barrier level of the forex barrier option. In the example in figure 44-2 the first barrier level in the Delta Adjustment Report window is the current spot of the option.

Delta The delta when the spot is at the Barrier Level.

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P&L Jump Report

The P&L Jump Report portfolio analysis scenario displays the P&L variation for each barrier level and each option maturity of a forex barrier option if the barrier is reached before on expiry day.

To open the P&L Jump Report window, as shown in figure 44-3, choose P&L Jump Report from the Analysis menu.

Figure 44-3 P&L Jump Report Window

Barrier Adjustment The delta adjustment that occurs when the Barrier Level is crossed. This is the difference between the delta just before the barrier level and the delta at the barrier level.

Barrier Agreement The delta agreement defined for the Barrier Level. This is the agreement defined for the option multiplied by the notional of the option.

The delta agreement cancels out the delta jump that occurs when the barrier is reached. The delta agreement is an agreement between the seller and the counterparty on a spot deal that is made when the barrier is reached. The amount of the deal is defined in the dialog of the option.

Remaining Barrier Agreement

The remaining delta agreement defined for the Barrier Level to cancel out the rest of the delta jump. This is the difference between the opposite of the Barrier Adjustment and the Barrier Agreement.

Delta All included The delta when the spot is at the Barrier Level, taking into account that the agreements have cancelled out the delta jumps. This is the delta at the barrier level minus all adjustments between the current spot level and the Barrier Level.

Table 44-1 Delta Adjustment Report columns (Sheet 2 of 2)

Name Description

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Chapter 45 Commodity Analysis

Table 45-1 lists the commodity analyses that you can run from the Analysis menu.

Table 45-1 Commodity Analyses (Sheet 1 of 2)

Analysis Description

Cega and provision Displays the P&L variation of the selected portfolio in relation to the cega of the portfolio. For more information, see “Cega and Provision” on page 650.

Commodity Crossed Gamma

Displays the gamma for groups of commodities in the selected portfolio. For more information, see “Commodity Crossed Gamma” on page 655.

Commodity Index Delta Analysis

Displays the future contracts required to price the positions on commodity indexes in the selected portfolio. For more information, see “Commodity Index Delta Analysis” on page 655.

Commodity Risk Split Displays the delta risk of LME commodities in the selected portfolio by date. For more information, see “Commodity Risk Split” on page 653.

Future Analysis Delta Displays the delta analysis for the selected portfolio. For more information, see “Delta, Gamma, and Vega Future Analyses” on page 685.

Future Analysis Gamma Displays the gamma analysis for the selected portfolio. For more information, see “Delta, Gamma, and Vega Future Analyses” on page 685.

Future Analysis Vega Displays the vega analysis for the selected portfolio. For more information, see “Delta, Gamma, and Vega Future Analyses” on page 685.

Generic Card Displays the global risk for three months of all LME options in the selected portfolio. For more information, see “LME Card” on page 657.

Parametric VaR For more information, see Chapter 39, Parametric Analysis.

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Cega and Provision

The Cega and Provision analysis displays the P&L variation of a portfolio in relation to the cega of the selected portfolio. The cega is an indicator of the correlation variation between products whose pricing changes according to correlations of commodity futures. These products can be swaps on commodity baskets or options on power swaps.

Cega represents how much the P&L varies if there is a bump, in percent, on a correlation. These bumps are generated within specific bounds. Provision represents the amount that could be lost if there was a large fluctuation in the commodity correlations.

To best display correlation pairs for a portfolio, the Cega and Provision analysis groups correlations into maturity zones that contain all of the correlation pairs within specified maturities. For example, a typical cega analysis may have maturity zones defined for short, medium, and long term maturities. Short term maturities could be for less than one year, medium for less than three years, and long term for longer than three years. In the analysis, all correlations that are less than one year are displayed together.

Power Nomination Status View

Displays a physical delivery summary of the power commodities in the selected portfolio. For more information, see “Power Nomination Status View” on page 700.

PowerGas Daily strips exercise

Displays the strip maturities for the deals on a daily strip of options for the selected portfolio within a specified time period. For more information, see “Power and Gas Daily Strips Exercise” on page 677.

PowerGas Financial Analysis

Displays aggregates for the cash flows of the swaps in the selected portfolio with a power or gas commodity as the underlying. For more information, see “Power and Gas Financial Analysis” on page 679.

PowerGas Load Split Displays the underlying risk for different load combinations of the selected portfolio during a delivery period. For more information, see “Power and Gas Load Split” on page 684.

PowerGas Physical Scheduling

Displays the physical exposure for the power and gas commodities in the portfolio. For more information, see “Power and Gas Scheduling” on page 660.

PowerGas VPP Nomination Displays the power quantities for each half hour according to the Powernext purchase curve and market analysis. For more information, see “VPP Nomination” on page 698

Table 45-1 Commodity Analyses (Sheet 2 of 2)

Analysis Description

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To display the Cega and Provision analysis, define your maturity zones and then launch the analysis, as described in the following sections:

• “Defining Maturity Zones” on page 651• “Launching the Cega and Provision Analysis” on page 652

Defining Maturity Zones

Before you can launch the Cega and Provision analysis for your portfolio, you must define the maturity zones displayed in the analysis. These zones act as limits that define the groups in which correlations are displayed.

To define the maturity zones, do the following:

1 Select Add an option list from the Quotation menu.

The Model dialog is displayed, as shown in figure 45-1.

Figure 45-1 The Model dialog showing a cega model

2 Enter the name of the model in the Model Name field.

3 Select Absolute Strike from the Strike Type drop down list.

4 In the Maturity list, enter the maturities to use as the limits in the analysis.

In the example in figure 45-1, the analysis will show correlations within one year, three years, and five years.

5 Click OK to save the model.

This model is now available for selection when you launch the Cega and Provision analysis.

To edit an existing maturity zone model, do the following:

• Press shift and select the model name from the Quotation menu.

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To delete an existing maturity zone model, do the following:

1 Select Delete an option list from the Quotation menu.

The Record to Delete dialog is displayed, as shown in figure 45-2.

Figure 45-2 The Record to delete dialog

2 Select the name of the model to delete.

3 Click Delete.

Launching the Cega and Provision Analysis

Once you have defined the maturity zone model, you can launch the Cega and Provision analysis for the zones in the model, as follows:

1 Select a portfolio in the Portfolio window.

2 Select Cega and Provision from the Analysis menu.

The Cega and Provision Analysis dialog is displayed, as shown in figure 45-3.

Figure 45-3 The Cega and Provision analysis dialog

3 Select the maturity zone model from the List of maturities drop down list.

4 Enter the bump for correlations in the Bump on correl for cega field.

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This field is populated with the value defined by the Vega Variat. preference on the Model tab of the Preferences dialog and will most likely not need to be changed. For more information, see the Preferences chapter of the RISQUE Administration Guide.

5 Define the provision bump by entering the bump parameters in percentages in the fields of the Provision frame.

6 Click OK to launch the analysis.

The Cega and Provision analysis is displayed, as shown in figure 45-4.

Figure 45-4 The Cega and provision analysis

The Cega and provision analysis shows the correlation pairs that fall within the limits set by the maturity zones of your model. Each row represents a commodity pair or commodity forex pair.

In the model defined in figure 45-1, the maturity zones were defined for one year, three years, and five years. Each of these zones is included as both a cega and provision column in the analysis. There is also a column for maturities greater than five years.

For example, for the three year maturity zone, there are two columns for the time between one year and three years, Cega 1y<T<3y and Prov 1y<T<3y, and another two columns for the time between three years and five years, Cega 3y<T<5y and Prov 3y<T<5y.

Commodity Risk Split

Note: This analysis is only available for LME commodities.

The Commodity Risk Split analysis splits the delta risk of LME commodities by date.

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To display this analysis, do the following:

1 Select a portfolio with an LME underlying.

2 Select Commodity Risk Split from the Analysis menu.

The Commodity Risk Split dialog is displayed, as shown in figure 45-5.

Figure 45-5 The Commodity Risk Split window

3 Select the Detailed Results check box to see a detailed view, showing the delta risk by position for all commodities.

The Commodity Risk Split analysis is displayed with detailed results, as shown in figure 45-6.

Figure 45-6 The Commodity Risk Split analysis with detailed results

Alternatively leave the check box unselected to see an aggregated view with the maturities displayed in columns and the delta by commodity only.

The Commodity Risk Split analysis is displayed with less detail, as shown in figure 45-7.

Figure 45-7 The Commodity Risk Split analysis without detailed results

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Commodity Crossed Gamma

The Commodity Crossed Gamma analysis displays the gamma for groups of commodities in a portfolio. Similar to “Viewing the Crossed Greeks” on page 558, this analysis displays the crossed gamma according to the commodity instruments in the selected portfolio. You can then identify the risk sources according to the commodity instrument.

To display the Commodity Crossed Gamma analysis, do the following:


2 Select Commodity Crossed Gamma from the Analysis menu.

The Commodity Crossed Gamma window is displayed, as shown in figure 45-8.

Figure 45-8 The Commodity Crossed Gamma window

For each commodity instrument and forex in the selected portfolio, the Commodity Crossed Gamma analysis displays the crossed gamma for each combination of instruments.

Commodity Index Delta Analysis

The Commodity Index Delta Analysis displays the future contracts required to price the positions on commodity indexes within a selected portfolio. Positions on commodity indexes include futures for all commodities within the index. The delta P&L is displayed for the current day and the next day.

For each of these commodities, one or two futures are used in pricing, depending on the rolling rule of the commodity index. For more information about rolling rules, see the Commodity Baskets chapter of the RISQUE Instrument Reference Guide.

To display the Commodity Index Delta Analysis analysis, do the following:


2 Press Ctrl and select Commodity Index Delta Analysis from the Analysis menu.

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The Roll Delta Analysis dialog is displayed, as shown in figure 45-9.

Figure 45-9 The Roll Delta Analysis dialog

3 Select the delta type displayed in the analysis in the Delta Type drop down list.

4 Enter the date from which to generate the analysis in the Start Date field.

5 Enter the number of days from the start date for which to generate the analysis in the Number of Days field.

6 Click OK.

The Commodity Index Delta Analysis analysis is displayed, as shown in figure 45-10.

Figure 45-10 Commodity Index Delta Analysis

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Table 45-2 describes the columns of the Commodity Index Delta Analysis window.

Table 45-3 describes the toolbar buttons of the Commodity Index Delta Analysis analysis.

LME Card

The LME Card analysis shows the global risk for three months for all LME options in the selected portfolio. The analysis displays the delta, gamma, or vega for each day of the next three months and then every third wednesday to the last date of LME exposure.

Table 45-2 Columns of the Commodity Index Delta Analysis

Column Description

Commodity The name of the commodity that is part of the commodity index.

Future The name of the future that is used to price the commodity.

Unit The measurement unit of the commodity.

D The type of delta shown in the analysis. This is defined as one of the following:

• abs. — absolute delta• rel. — relative delta

Delta P&L Today The price variation of the value of the commodity index between the current day and the day before.

Delta P&L Next Business Day The price variation of the value of the commodity index between the current day and the next business day. These columns are generated for each business for the duration of the analysis.

Table 45-3 Buttons of the Commodity Index Delta Analysis

Buttons Description

Changes the display between absolute and relative delta.

Changes the display between measure units and notional units.

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For each LME commodity instrument in the portfolio, the analysis displays a cumulative position column that enables you to identify the calculation of spread risk between dates. It displays the cumulative position for the first three months of the analysis.

In the analysis, bank holidays are displayed in red and third Wednesdays are displayed in Blue. You can also define a cumulative date, which is displayed in green. The cumulative delta is displayed for each delivery date until the cumulative date, then it is reversed so that the cumulative at the last delivery date is 0. This date is set by the LME Card Cumulative Date preference of the Commodities tab of the Preferences window. For more information, see the Preferences chapter of the RISQUE Administration Guide.

To display the LME card analysis, do the following:

1 Select a portfolio in the Portfolio window that contains deals on LME commodities.

2 Select an LME commodity deal in the portfolio.

3 Select Generic Card from the Analysis menu.

The Generic Card Scenario dialog is displayed, as shown in figure 45-11.

Figure 45-11 The Generic Card Scenario dialog

4 Select LME Card.

Alternatively, to display the analysis without the cumulative date, select LME Card no Cumul.

5 Click OK.

The LME Card analysis is displayed, as shown in figure 45-12.

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Figure 45-12 The LME Card analysis

The dates taken into account in the LME Card analysis up to the cumulative date are the delivery or expiry dates of the interpolation futures defined in the worksheet associated with the LME commodity.

After the cumulative date, the dates taken into account in the LME Card analysis are the dates defined in the Listed_Dates_CommoName worksheet zone. No more than one date per month can be defined. This zone contains the delivery dates of the listed futures.

The current month and the following three months are displayed in the first three Delivery/Expiry columns. The last Delivery/Expiry column contain the following third Wednesdays of the month for two years.

The last date displayed on the LME Card is the last date which has a position. If it is not possible to display this date then the last risk date defined in the worksheet is displayed.

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Within the LME Card analysis, you can toggle the display using the following three toolbar buttons:

• The first toolbar button toggles between the LME commodities in the portfolio.

• The second toolbar button toggles between delta, gamma, and vega in the analysis.

• The third toolbar button toggles the displayed dates between delivery and expiry.

For each delta column the total delta is computed at the bottom of the delta column. The total position on the commodity selected is shown at the right bottom corner.

Power and Gas Scheduling

Due to the nature of power and gas commodities, physical contracts can not be stored and must be sold before the expiration date of the contract. The Power and Gas Scheduling window enables you to quickly identify this physical exposure of the power and gas commodities within a portfolio.

The exposure is displayed as the future contracts with an expiry date within a specified time period. For each commodity in the portfolio, you can choose to create deals on the future contracts.

To display the Power and Gas Scheduling analysis, do the following:

1 Select a portfolio that contains a deal on either a power or a gas commodity.

2 Select PowerGas Physical Scheduling from the Analysis menu.

The Power&Gas Physical Exposure dialog is displayed, as shown in figure 45-13

Figure 45-13 The Power&Gas Physical Exposure dialog

3 Enter dates in the Start Date and End Date fields to set the duration for the Power and Gas Scheduling window.

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4 Enter the reference of the commodity in the Ref. Commodity field to set the calendar in which the analysis is displayed. This is particularly useful if the commodity defined in this field is a Power UK commodity. When a Power UK commodity is specified, weeks are numbered and every third month consists of five weeks.

5 Select the level of granularity in which to display the analysis in the Granularity field.

6 Select the counterparty for which to display the analysis in the Filter Counterparties field.

You can create a new filter by clicking the ... button, which displays the Counterparties Filter window, as shown in figure 45-14.

Figure 45-14 Counterparties Filter Window

7 Select the Compute portfolio check box to compute the portfolio with the latest data.

8 Click OK.

The Power Scheduling window is displayed, as shown in figure 45-15.

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Figure 45-15 The Power and Gas Scheduling window

The Power and Gas Scheduling window is divided into the following three panes:

• A commodity pane — lists each power and gas commodity in the selected portfolio and the dates on which its future contracts expire. For more information, see “Viewing Commodities in the Commodities Pane” on page 663.

• A graph pane — displays a graphical representation of the buy and sell amounts. For more information, see “Viewing the Exposure Graph” on page 667.

• A blotter pane — enables you to create deals on the futures before they expire. For more information, see “Creating Deals to Convert Contracts” on page 668.

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Viewing Commodities in the Commodities Pane

The commodity pane is the uppermost pane in the Power and Gas Scheduling window. For each power or gas commodity in the portfolio, this pane lists the dates within the specified time period on which each future contract expires. The amount of the exposure is shown for each future contract.

Figure 45-16 shows the commodity pane.

Figure 45-16 The commodity pane of the Power and Gas Scheduling window

The commodity pane lists the physical or financial exposure by instrument or by date. Table 45-4 describes the toolbar buttons that can be used in the commodity pane.

Table 45-4 Toolbar Buttons for the Commodity Pane (Sheet 1 of 2)

Button Description

Expands the hierarchical list of exposures.

Collapses the hierarchical list of exposures.

Recalculates all results and refreshes the display.

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Table 45-5 describes the fields, check box, and radio buttons displayed at the top of the commodity pane.

Hides financial exposure information in the window. You may want to hide financial information when copying data from the Power and Gas Scheduling window.

Toggles the data that is displayed in the window. Data can be displayed by commodity instrument or by date. For more information, see “Commodity Pane Instrument View” on page 665 and “Commodity Pane Date View” on page 666.

Hides instrument information in the window. Instrument information is only shown in the instrument view.

Powernext Order Generates the Powernext purchase order. For more information, see “Powernext, VPP, and RTE Reports” on page 671.

Nomination VPP Displays the VPP nomination values. For more information, see “Powernext, VPP, and RTE Reports” on page 671.

RE-RE NEB (Seller) Performs RTE nomination and shows all physical deliveries by hour. For more information, see “Powernext, VPP, and RTE Reports” on page 671.

RE-Site NEB (Seller) Performs RTE nomination and shows all physical deliveries by counterparty. For more information, see “Powernext, VPP, and RTE Reports” on page 671.

RE-RE NEB (Buyer) Performs RTE nomination and shows all physical deliveries by hour. For more information, see “Powernext, VPP, and RTE Reports” on page 671.

Table 45-5 Toolbar Fields for the Commodity Pane (Sheet 1 of 2)

Field Description

Display Unit Determines the measure unit in which the exposure is displayed.

Date Filter Displays the exposure for the date selected from the drop down list.

Column Filter Filters the columns of the displayed commodities by Margin, by Quantities Net, by Quantities LongShort, or by All.

Table 45-4 Toolbar Buttons for the Commodity Pane (Sheet 2 of 2)

Button Description

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Commodity Pane Instrument View

When the instrument view is chosen using the toggle button, the commodity exposure is listed by instrument, as shown in figure 45-17.

Figure 45-17 The instrument view in the commodity pane

In the instrument view, each commodity in the portfolio is displayed as a row in the commodity pane. This row is subdivided by year, month, date, contract type, that is Physical or Financial, counterparty, and contract reference.

The columns of the commodity pane are divided according to the granular level of the commodity instrument, hourly, half hourly, and so on. For each granular level, the following columns are displayed:

• granular level buy — the value of the granular time period purchase contracts in the portfolio.

• granular level sell — the value of the granular time period sell contracts in the portfolio.

• granular level total — the total value of the granular time period contracts in the portfolio.

All exposure values are composed of contracts due to expire within the specified time period. You can reduce this exposure by creating deals on these contracts. For more information, see “Creating Deals to Convert Contracts” on page 668.

Time-shift Adjusts the start of the day by the number of hours defined in the Time Shift field of the commodity instrument. This allows you to shift the start of the day to accommodate for different time zones or for the start of gas days, which is 6am in some cases.

Blotter Changes the display of the bottom pane to the swap blotter which enables you to create swaps to hedge your exposure. This is described in “Creating Deals to Convert Contracts” on page 668.

Graph Changes the display of the bottom pane to a graph of the exposure with lines plotted for both the buy and sell contracts. This is described in “Viewing the Exposure Graph” on page 667.

Table 45-5 Toolbar Fields for the Commodity Pane (Sheet 2 of 2)

Field Description

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Commodity Pane Date View

When the date view is chosen, your commodity exposure is listed by date. This view is shown in figure 45-18.

Figure 45-18 The date view in the commodity pane

In the date view, each month in the analysis time period is displayed as a row in the commodity pane. This row is subdivided by date, granular period, contract type, that is Physical or Financial, and counterparty.

The columns of the commodity pane are divided according to the commodity instruments in the portfolio. For each commodity, the following columns are displayed:

• commodity buy — the value of the purchase contracts for the commodity in the portfolio.

• commodity sell — the value of the sell contracts for the commodity in the portfolio.

• commodity total — the total value of the contracts for the commodity in the portfolio.

For both view types, a total column is displayed, which shows the total value of the contracts at each level in the hierarchy.

All exposure values are composed of contracts due to expire within the analysis time period. You can reduce this exposure by creating deals on these contracts. For more information, see “Creating Deals to Convert Contracts” on page 668.

Exporting PowerGas Scheduling Data

To export the scheduling data displayed in the commodity pane to a Microsoft Excel or an XML file, do the following:

1 Select a date in the PowerGas Physical Scheduling window.

2 Click Export to Excel or Export to XML, as shown in figure 45-19.

Figure 45-19 The export pane in the Power and Gas Scheduling window

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RISQUE saves the file containing the scheduling data to the directory indicated by the PATH_FOR_SCHEDULING_EXPORT or PATH_FOR_XML_EXPORT global preference in the RISKPREF table. If this preference is not defined, RISQUE saves the file to the %TEMP% directory.

RISQUE displays a message, as shown in figure 45-20, confirming that the file has been saved.

Figure 45-20 PowerGas scheduling data export confirmation

The name of the file is in the format, sequenceNum_Scheduling_commodity_name_YYYY-MM-DD_portfolioIdentifier.

The generated Excel file contains the following worksheets:

- Total data- Grouped by Type of Instrument- Grouped by Type of Counterparty

The generated XML file corresponds to the scheduling.xsd schema in the schema directory.

You can also generate an Excel or XML file of PowerGas scheduling data in batch mode, as follows:

• Start RISQUE with the option -Sscenario:param:portfolio, where:

- scenario is the analysis name.- param is the selected date in the format dd/mm/yyyy.- portfolio is the identifier of the portfolio.

For example:

- -S'Export Of Physical Scheduling To XML':D28/12/2007:4022 -Umanager

- -S'Export Of Physical Scheduling To Excel':D28/12/2007:4022 -Umanager

Viewing the Exposure Graph

When the Graph radio button is selected at the top of the Power and Gas Scheduling window and the instrument view of the commodity pane is enabled, a graph of the exposure is displayed at the bottom of the window in place of the swap blotter, as shown in figure 45-21.

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Figure 45-21 The Power and Gas Scheduling window showing a graph of the physical exposure

In the exposure graph, the buy and sell contracts are plotted against the granular periods of the commodity. The red line represents the buy contracts and the green line represents the sell contracts. The difference between the two lines represents the exposure.

Note: The buttons above the exposure graph are standard curve buttons but they should not be used with the exposure graph.

Creating Deals to Convert Contracts

After you have identified the exposure for each commodity, you can create deals to reduce the exposure. These deals represent a swap that replaces the physical delivery with a financial delivery or the financial delivery with a physical delivery.

These deals are created based on a predefined swap template that has a physical receiving leg and futures paying leg. For more information, see the Commodity Swaps chapter of the RISQUE Instrument Reference Guide.

Contract conversion deals can be created in the blotter below the commodity pane, as shown in figure 45-22. To display the blotter pane, select the Blotter radio button of the Power Scheduling toolbar.

Figure 45-22 The blotter pane of the Power and Gas Scheduling window

The blotter consists of rows in which you can define deals on commodity instruments with exposure. These deals are created according to a defined commodity swap template and are added to the portfolio for which you launched the PowerGas Scheduling analysis.

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The fields above the blotter enable you to convert physical contracts to financial contracts and vice versa. This conversion can only be performed if the date view is selected.

Table 45-4 describes the blotter toolbar buttons.

You can create a deal to reduce your exposure by dragging the exposure from the commodity pane or by manually defining the fields of the blotter.

To create a deal by dragging the exposure from the commodity pane, do the following:

1 Click the Swap Template cell in a new row in the blotter.

2 Enter the name of a defined commodity swap template in the Swap Template column.

3 Enter a unique reference code for the swap in the Reference column.

4 Click the Populate Fields button to populate the field of your row with the details from the template.

5 Drag and drop the cell containing the exposure that you want to balance into the blotter.

A deal amount dialog is displayed, as shown in figure 45-23, which shows the Bought and Sold values for that granular period.

Figure 45-23 The deal amount dialog displayed when dragging and dropping to the swap blotter

6 Enter the final amount of the deal.

Table 45-6 Buttons for Creating Deals in the Deals Pane

Button Description

Transmits deals that have been created for commodities with financial or physical exposure. When clicked, you are prompted to confirm that you want to create the deal and transmit an automatic ticket for the deal.

Populates the columns of a selected row according to the details of the template defined by the Swap Template column.

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7 Click OK.

The Final Deal value of the swap is displayed in the blotter.

8 Click Transmit to create the deal and send automatic tickets.

The deal is created in the portfolio for which you launched the Power and Gas Scheduling window. The contract amount is moved from the buy column to the sell column in the commodity pane and is no longer displayed in red.

To create a deal by manually defining the fields of the blotter, do the following:

1 Click the Swap Template cell in a new row in the blotter.

2 Enter the name of a defined commodity swap template in the Swap Template column.

3 Enter a unique reference code for the swap in the Reference column.

4 Enter the reference of the commodity for which you want to convert the contracts in both the Commodity1 and Commodity2 columns, if it differs from the one defined in the swap template.

5 In the Delivery Period 1 and Delivery Period 2 columns, enter the delivery period for which you want to create the swap.

Delivery Period 1 corresponds to the delivery period of the receiving leg of the swap and Delivery Period 2 corresponds to the delivery period of the paying leg. The delivery period should be the same for both periods.

6 In the Quantity column, enter the notional amount of the swap to create. This amount is usually equal to the amount of the exposure you want to convert for the specified delivery period.

7 Define a counterparty of the deal in the Counterparty column. If you have a defined portfolio ticket template that you want to use to define the counterparty, broker, and depository of the deal, select it from the Folio Ticket Template drop down list.

Note: Only valid counterparties and brokers can be defined in the blotter. for more information, see the Third Parties chapter of the RISQUE Back Office User Guide.

8 Click Transmit to create the deal and send automatic tickets.

The deal is created in the portfolio for which you launched the Power and Gas Scheduling window. The contract amount is moved from the buy column to the sell column in the commodity pane and is no longer displayed in red.

Note: To view the automatic ticket of the swap deal, change the Prices Date to the payment date of the swap. Launching the forecasts on the modified forecast date creates an automatic ticket for the swap.

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For more information about the columns of the Power and Gas Scheduling blotter, see “Power and Gas Trade Blotter” on page 459. Most columns that are automatically filled by the Populate button can also be edited. To view the swap dialog of the deal, double-click the line in the swap blotter.

Converting the Swap Deal

You can convert a deal created in the blotter pane from a physical contract to a financial contract, or from a financial contract to a physical contract, in the Physical/Financial conversion of contracts frame. This represents an agreement between counterparties to change a physical deal into a financial one, thereby transferring the exposure of the deal.

To convert deals, do the following:

1 Select the row in the blotter pane that displays the deal amount.

This populates the fields above the blotter, as shown in figure 45-24.

Figure 45-24 Fields for converting deals back to contracts

2 To convert only a fraction of the deal, enter the amount in the field beside the Converted field.

3 To convert the deal to a financial or physical contract, click Apply.

The contract is created with the same amount as the deal and appears in red in the commodity pane as financial or physical exposure.

Powernext, VPP, and RTE Reports

This section describes the Powernext, VPP, and RTE functionality available from the Power and Gas Scheduling window. It contains the following sections:

• “Powernext Order” on page 672• “Nomination VPP” on page 673• “RE-RE NEB (Seller)” on page 675• “RE-Site NEB (Seller)” on page 676• “RE-RE NEB (Buyer)” on page 677

Note: To generate these reports, you must first select a delivery date.

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Powernext Order

The Powernext Order button generates a Powernext purchase order, as shown in figure 45-25. The generated order data is automatically copied, enabling you to paste it into another application, such as Excel.

Figure 45-25 Powernext Order window

Table 45-7 describes the button and check boxes of the Powernext Order window.

Table 45-7 Button and Check Boxes of the Powernext Order Window (Sheet 1 of 2)

Button/Check Box Description

Display saved nomination If selected, saved Powernext values are displayed in the graph of this window.

Replace saved nomination Replaces the saved Powernext values with those in this window. This button is only available if the values in this window are different from the saved values.

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Nomination VPP

The Nomination VPP button displays the VPP nomination values, as shown in figure 45-26. The power quantities for each half hour are computed according to the Powernext market analysis. For more information about importing market reports, see “Importing Scheduling Data” on page 691.

Figure 45-26 Nomination VPP window

Show arbitrage quantities If selected, the quantities for arbitrage deals are displayed in this window.

Table 45-7 Button and Check Boxes of the Powernext Order Window (Sheet 2 of 2)

Button/Check Box Description

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This manual VPP nomination must be performed for all child portfolios and the aggregation portfolio. For more information about automatic VPP nomination, see “Power Physical Management” on page 690.

Table 45-8 describes the columns of the Nomination VPP window.

To validate these nomination quantities select the Validate VPP Nomination check box. This converts the daily status from sched. not confirmed to Scheduling. This check box is only enabled for the aggregation portfolio.

The generated order data is automatically copied, enabling you to paste it into another application, such as Excel.

Note: You must start the Power and Gas Scheduling analysis from the aggregation portfolio. For more information about setting the aggregation portfolio, see “Setting Global Preferences” on page 691.

Table 45-8 Nomination VPP window

Column Description

Price The prices for the following day, according to the market analysis.

Position before VPP The value of the position before VPP nomination.

Market analysis The Powernext order according to the market analysis.

Total VPP The total quantity nominated for each half-hour for all of the VPP of the portfolio.

Position net after VPP The net position after VPP nomination. This should be 0 for each row.

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RE-RE NEB (Seller)

The RE-RE NEB (Seller) button performs RTE nomination and shows all physical deliveries by the granularity specified in the Power&Gas Physical Exposure dialog, as shown in figure 45-27.

Figure 45-27 RE-RE NEB (Seller) window

The last line shows the sum in MWh of the nomination by counterparty and by granularity. The generated data is automatically copied, enabling you to paste it into another application, such as Excel.

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RE-Site NEB (Seller)

The RE-Site NEB (Seller) button performs RTE nomination and shows all physical deliveries by the counterparty specified in the Power&Gas Physical Exposure dialog, as shown in figure 45-28.

Figure 45-28 RE-Site NEB (Seller) window


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RE-RE NEB (Buyer)

The RE-RE NEB (Buyer) button performs RTE nomination and shows all physical deliveries by the granularity specified in the Power&Gas Physical Exposure dialog, as shown in figure 45-29.

Figure 45-29 RE-RE NEB (Buyer) window


Power and Gas Daily Strips Exercise

The Power and Gas Strips Exercise analysis displays the option strips within the deals on a daily strip of options for a selected portfolio, within a specified time period. A daily strip of options is an option on a swap with a daily pay frequency and the expiry date of the option is after the settlement date of the last swap cash flow. Option strips are the cash flows of the option’s underlying swap.

The date of maturity for option strips is listed in the Strip Maturity column of a swap on the Received leg cash flow tab of the swap dialog. For more information, see the Commodity Swaps chapter of the RISQUE Instrument Reference Guide.

To view the option strips of the swaps in a portfolio, do the following:


2 Select PowerGas daily strips exercise from the Analysis menu.

The Power & Gas Daily Strips Exercise dialog is displayed, as shown in figure 45-30.

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Figure 45-30 The Power & Gas Daily Strips Exercise dialog

3 Enter the beginning and end dates of the analysis in the Start Date and End Date fields.

4 Click OK.

The Power and Gas Strips Exercise analysis is displayed, as shown in figure 45-31.

Figure 45-31 The Power and Gas Strips Exercise analysis

All daily option strips that are part of the deals in your portfolio are displayed in the Power and Gas Strips Exercise analysis. By viewing these option strips, you can see your daily obligations throughout the time period of the analysis.

Any strips that are not to be exercised can be deleted from the list of cash flows on the Received leg cash flow tab of the swap dialog.

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Power and Gas Financial Analysis

The Power and Gas Financial Exposure analysis displays aggregates for the cash flows of the swaps in your portfolio with a power or gas commodity as the underlying. This analysis helps you to identify the best hedging positions for a selected portfolio.

The cash flows displayed in the analysis are based on whether the future contracts contained in the swaps of the portfolio fall on the days within the start and end dates of the analysis. You can then reduce the financial exposure of these contracts by converting them to physical contracts in the Power and Gas Scheduling window.

To display the Power and Gas Financial Exposure analysis, do the following:


2 Select PowerGas Financial Analysis from the Analysis menu.

The Power financial scenario definition dialog, as shown in figure 45-32, is displayed.

Figure 45-32 The Power financial scenario definition dialog

3 Enter the start of the analysis in the Year start of analysis field.

4 Enter the end of the analysis in the Year end of analysis field.

5 Enter the reference of the commodity in the Ref. Commodity field to set the calendar in which the analysis is displayed. This is especially useful if the commodity defined in this field is a Power UK commodity. When a Power UK commodity is specified, weeks are numbered and every third month consists of five weeks.

The analysis is displayed from the first day of the year defined in the Year start of analysis field to the last day in the year defined in the Year end of analysis field. If the current date is after the first day of the starting year, the analysis is generated from the current date.

Figure 45-33 shows the Power and Gas Financial Exposure analysis.

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Figure 45-33 The Power/Gas Financial Exposure analysis

For each day within the analysis duration, the Power and Gas Financial Exposure analysis displays the cash flows of the power or gas commodity swaps in the portfolio in terms of their physical exposure. The amount of exposure is calculated as the nominal amount of the swap leg multiplied by the swap price.

The cash flows that are listed in the analysis appear either as a negative or a positive amount. If a receiving leg is defined on a particular date, the financial exposure for that date is included as a positive value. If a paying leg of a swap is defined for a date, the exposure is included as a negative value for that date. The exposure for the legs of a specific delivery period are then added together to give a total for that delivery period.

The columns of the Power and Gas Financial Exposure analysis list the exposure in terms of a match for each delivery load. In this analysis, a match is the amount needed to reduce the financial exposure. Matches are listed as one of the following two types:

• Exact Match displays the financial exposure of swaps whose future contracts all fall within the delivery period. The exposure for each day is always displayed in the Exact Match column, regardless of the selected view.

• Approx Match displays swaps whose future contracts span more than one delivery period.

These matches are displayed for each type of delivery load. For example, Baseload Exact Match displays the exact matches for swaps with a Baseload delivery type and GasDelivery Approx match lists the approximate matches for gas deliveries.

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The display toolbar menu, as shown in figure 45-34, enables you to change how the Power and Gas Financial Exposure analysis displays matches.

Figure 45-34 Power and Gas Financial Exposure display toolbar menu

You can choose one of the following views:

• “Best Match Value” on page 681• “Average Value” on page 682• “Current Position” on page 683

Best Match Value

Figure 45-35 The Best Match Value view of the Power and Gas Financial Exposure analysis

In the Best Match Value view, the Exact match column shows the average number of contracts that have the smallest negative and positive values in the Approx match column. The net value in the Approx match column is not usually equal to zero.

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In other words, the average value helps to propose a hedge over the daily positions by purchasing contracts which covers, on average, the financial exposure to the period. However, power and gas prices are highly volatile and the hedge on the period does not necessarily hedge the risk on the daily prices. As a result, the Approx match column displays any remaining exposure.

This analysis view shows hedging positions that reduce both the positive and negative daily risks.

Average Value

Figure 45-36 The Average Value view of the Power and Gas Financial Exposure analysis

In the Average Value view, the Exact match column shows the net value of the contracts for the period. The Approx match column shows an aggregation of daily exposures and is always 0 since the daily contracts have been subtracted. The daily contracts are displayed within the brackets.

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Current Position

Figure 45-37 The Average Value view of the Power and Gas Financial Exposure analysis

In the Current Position view, the Approx match column shows the net value of contracts for the period. This represents the number of contracts with financial exposure within the period.

The value in the Approx match column is not a whole number since the aggregation of daily exposure into the period is not exact. Financial exposure of one day is calculated as 1/31 of the financial exposure of the month.

Hedging the Financial Exposure in Your Portfolio

From the matches displayed within the Power and Gas Financial Exposure analysis, you can launch the Power and Gas Scheduling window to convert the financial contracts into physical contracts. These converted contracts should reduce the financial exposure of the swaps within your portfolio.

To convert the financial contracts of your swaps, do the following:

• Double-click any delivery period that contains an exact or approximate match.

Delivery periods that contain matches are displayed in bold and have values in one of the match columns. Positions can be hedged for any delivery period with a match, including a calendar year.

The Power and Gas Scheduling window is opened, displaying the future

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contracts for the selected delivery period. Each financial contract can be converted to a physical contract. For more information, see “Power and Gas Scheduling” on page 660.

Power and Gas Load Split

The PowerGas Load Split analysis displays the underlying risk for different load combinations during a delivery period. For example, when you buy an offpeak future the risk sources can be expressed as the baseload future minus a peakload future. When you buy a baseload future, the risk sources can be expressed as a peakload future plus an offpeak future.

The PowerGas Load Split analysis displays the risk sources, as the delta and MTM values, for both of these combinations enabling you to identify the best method for trading your power commodity.

To display the PowerGas Load Split analysis, do the following:


2 Select PowerGas Load Split from the Analysis menu.

3 The PowerGas Load Split analysis is displayed, as shown in figure 45-38.

Figure 45-38 The PowerGas Load Split analysis

The MTM value represents the expected net value of future deliveries and cash flows. For standard contracts, such as swap and listed futures, the MTM is, for each month or balance-of-month, the difference between the market price and the deal price. The deal price is the cash leg for a swap or the average price for a position on a listed future.

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The probability values are indicators which represents a probability to exercise the full month contract at the strike price. These values can be displayed in the Portfolio window in the Power exercise prob. (with smile) and Power exercise prob. (without smile) columns.

The baseload/offpeak toolbar menu, as shown in figure 45-39, enables you to change the display of the PowerGas Load Split analysis between baseload and offpeak.

Figure 45-39 PowerGas Load Split baseload/offpeak toolbar menu

This menu enables you to select one of the following delivery combinations:

• Baseload/Peakload — baseload deliveries are shown as peakload deliveries plus offpeak deliveries.

• Offpeak/Peakload — offpeak deliveries are shown as baseload deliveries minus peakload deliveries.

The risk for each of these combinations is displayed as follows:

• The delta amount for the baseload, offpeak, and peakload delivery loads is shown in the columns Baseload Delta, Offpeak Delta, and Peakload Delta.

• The MTM amount for the baseload, offpeak, and peakload delivery loads is shown in the columns Baseload MTM, Offpeak MTM, and Peakload MTM.

• The probability excluding smile for the baseload, offpeak, and peakload delivery loads is shown in the columns Baseload Probability without Smile, Offpeak Probability without Smile, and Peakload Probability without Smile.

• The smile amount for the baseload, offpeak, and peakload delivery loads is shown in the columns Baseload Probability with Smile, Offpeak Probability with Smile, and Peakload Probability with Smile.

Delta, Gamma, and Vega Future Analyses

The Future Analysis Delta, Future Analysis Gamma, and Future Analysis Vega analyses display the delta, gamma, or vega analysis of the selected portfolio.

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Configuring the Delta, Gamma, and Vega Future Analyses

This section describes how to configure the Future Analysis Delta, Future Analysis Gamma, and Future Analysis Vega analyses. It contains the following sections:

• “Displaying the Future Analyses in Cash or Shares” on page 686• “Defining Future Analysis Weights” on page 687

Displaying the Future Analyses in Cash or Shares

You can display the Future Analysis Delta, Future Analysis Gamma, and Future Analysis Vega analyses in shares or cash by changing the Delta type in folio preference on the Display tab of the Preferences dialog.

If Delta type in folio is set to shares, the delta and gamma are expressed according to the conversion factor of the commodity. For example, in figure 45-40 the Delta Quotity is set to 1,000 and the Delta Unit is Tonnes at the commodity level.

Figure 45-40 Scenario parameters

In the Future Analysis Delta the delta and gamma are expressed according to the conversion factor, as shown in figure 45-41.

Figure 45-41 Future Analysis window (delta type share)

If Delta type in folio is set to cash, the delta and gamma are expressed in the cash of the currency of the commodity, as shown in figure 45-42.

Figure 45-42 Future Analysis window (delta type cash)

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The delta is multiplied by the value of the futures. The gamma is multiplied by 0.5 times the square of the value of the futures.

Note: Delta and gamma are computed for conversion factors corresponding to those of the futures.

Defining Future Analysis Weights

Future analysis weights are weights, similar to those defined for non-standard periods, that are applied to the granular periods of the futures in the future analysis analyses. These weights enable you to define specific risk factors that are applied to the months displayed in the future analyses.

To define future analysis weights, do the following:

1 Select Future analysis weights from the Data menu.

The Future Analysis Weight window is displayed, as shown in figure 45-43.

Figure 45-43 Future Analysis Weight window showing two defined sets of weights

2 Select an empty row and enter a name in the Name column.

3 Enter weights in the relevant months.

These weights will be applied to the monthly buckets in the future analysis. You can define weights for each month in the next fifty years.

4 Select the set of weights in the dialog displayed when you press CTRL and select a future analysis from the Analysis menu.

Viewing the Future Analysis Delta

To view the Future Analysis Delta, do the following:

1 Press CTRL and select Future Analysis Delta from the Analysis menu.

The Analysis Delta dialog is displayed, as shown in figure 45-44.

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Figure 45-44 Options dialog for Future Analysis Delta

2 Select the type of delta to be displayed, the commodity aggregation profile, the commodity measure unit, and the weight curve. For more information about commodity aggregation profiles, see the RISQUE Administration Guide. For more information about future analysis weight curves, see “Defining Future Analysis Weights” on page 687.


The bucketed analyses in the selected portfolio are displayed monthly for the futures in the portfolio over the next fifty years, as shown in figure 45-45.

Figure 45-45 Future Analysis Delta

Note: The Commodity Risk Split analysis, which is only available for LME commodities, splits the delta risk on a possibly customised series of future. For more information, see “Commodity Risk Split” on page 653.

Viewing the Future Analysis Gamma

To view the Future Analysis Gamma, do the following:

1 Press Ctrl and select Future Analysis Gamma from the Analysis menu.

The Analysis Gamma dialog is displayed, as shown in figure 45-46.

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Figure 45-46 Options dialog for Future Analysis Gamma

2 Select the type of delta to be displayed, the commodity aggregation profile, the commodity measure unit, the weight curve, and whether to include crossed gammas. For more information about commodity aggregation profiles, see the RISQUE Administration Guide. For more information about future analysis weight curves, see “Defining Future Analysis Weights” on page 687.

3 Specify if the gamma values are calculated in the currency of the underlying commodity using the Gammas In Commodity Currency check box.

Note: If the portfolio on which the Future Analysis Gamma analysis is launched has multiple commodities with multiple currencies and the Gammas In Commodity Currency check box is selected, a warning message is displayed and the gamma values are calculated in the currency of the portfolio.

The default setting of the Gammas In Commodity Currency check box is defined by the GammasInCommodityCurrency global preference. For more information, see the Administration Guide.



Figure 45-47 Future Analysis Gamma

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Viewing the Future Analysis Vega

To view the Future Analysis Vega, do the following:

1 Press Ctrl and select Future Analysis Vega from the Analysis menu.

The Analysis Vega dialog is displayed, as shown in figure 45-48.

Figure 45-48 Options dialog for Future Analysis Vega

2 Select the commodity aggregation profile and the weight curve. For more information about commodity aggregation profiles, see the RISQUE Administration Guide. For more information about future analysis weight curves, see “Defining Future Analysis Weights” on page 687.



Figure 45-49 Future Analysis Vega

Power Physical Management

Power Physical Management analysis involves the following:

• “Setting Global Preferences” on page 691• “Importing Scheduling Data” on page 691

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• “Importing the Powernext Market Analysis” on page 696• “Importing the VPP Order” on page 697• “VPP Nomination” on page 698• “RTE Nomination” on page 700• “Power Nomination Status View” on page 700

Setting Global Preferences

You should set the following global preferences in the RISKPREF table for power physical management:

• COMMO_VPP_MARKET_ANALYSIS_REF — defines the prefix of the reference of swaps containing data from the market analysis.

For example, execute the following SQL command:

insert into riskpref (prefnom, prefvaleur) values('COMMO_VPP_MARKET_ANALYSIS_REF','PPM SWAP')

where PPM SWAP is the prefix of the reference of swaps containing data from the market analysis.

• COMMO_VPP_NOMINATION_AGGREGATION_PORTF — defines the identifier of the aggregation portfolio that contains all of the VPP options to be nominated.


insert into riskpref (prefnom, prefvaleur) values('COMMO_VPP_NOMINATION_AGGREGATION_PORTF','2145')

where 2145 is the identifier of the aggregation portfolio.

• COMMO_VPP_NOMINATION_COMMO_CODE — defines the commodity used for VPP nomination.


insert into riskpref (prefnom, prefvaleur) values('COMMO_VPP_NOMINATION_COMMO_CODE','6711456')

where 6711456 is the reference of the commodity used for VPP nomination.

Importing Scheduling Data

You can import scheduling data from a Excel file using the Excel add-in RisqueImportPPM.xla, located in your RISQUE installation directory. This section contains the following sections:

• “Configuring the PPM Templates” on page 692• “Viewing the Analysis” on page 693• “Importing the PPM Data” on page 693

• “Validating the PPM Data” on page 694

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Configuring the PPM Templates

To edit the template configurations and set the database to which the data is imported click PPM Config. This displays the Edit PPM Addin configuration dialog, as shown in figure 45-50.

Figure 45-50 Edit PPM Addin configuration dialog

To edit the configuration of a template select the template from the Template name column. Table 45-9 describes the parameters you can configure for each template.

Table 45-9 Template Parameters (Sheet 1 of 2)

Parameter Description

Topleft cell Specifies the top left cell of the data array. Data is read from left to right and top to bottom.

Date cell Specifies the cell that contains the delivery date. If a report contains multiple dates, X;Y specifies the delivery date cell, where X is the number of columns to shift from the top left cell and Y is the offset in days from today of the date.

Deals position Specifies the position of the deal identifiers and hours. This can be set to on of the following:

• C — specifies that the deal identifiers are in the column headers and, if applicable, the data for each hour appears in the rows.

• R — specifies that the deal identifiers are in the row headers and, if applicable, the data for each hour appears in the columns.

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To set the database to which the data is imported edit the Risque DB connection string field and click Save database configuration.

Viewing the Analysis

To open the data in Excel, click the Open PPM Document button on the RisqueImportPPM toolbar and browse to the file that contains the data.

Importing the PPM Data

Some data must be imported into RISQUE everyday, as it is known only one or two days in advance. To import this data into the RISQUE database, do the following:

1 Select the appropriate template from the Import PPM document menu on the RisqueImportPPM toolbar, for example:

- GRD Dedit Confirmation for GRD Withdrawal deals.- GRD options confirmation for GRD options.

Deals offset Specifies the location of the deals as an offset in rows or columns from the top left cell position.

Columns definition Specifies what data is imported for each deal, at each hour. This parameter can contain the following field names, separated by a semi-colon:

• Used — this field is mandatory if DealsOrdering is not specified. This field is saved in the database.

• Max — if present, this field is saved into the database.

• NotUsed — this field is ignored and never saved in the database.

• DealsOrdering — used only with the Deals Ordering document template.

Unit Specifies the measure unit of the data in the worksheet.

Prices If specified, prices for each hour block are imported and associated with the commodity specified in the Commodity Ref parameter. This parameter specifies the number of columns to shift from the top left cell.

Commodity Ref Specifies the commodity associated with the prices data that is imported when the Prices parameter is filled.

Table 45-9 Template Parameters (Sheet 2 of 2)

Parameter Description

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- RTE grid loss compensation for RTE options.

Note: The Excel worksheet must contain the relevant delivery date and external references.

Excel displays a summary of the data to be imported, as shown in figure 45-51.

Figure 45-51 PPM Document - Summup before import window

2 Click Confirm Import.

The data is imported to the PPM_LINK table of the database.

You can also set a global preference, POWERSCHEDULING_IMPORT_CMD, to define a batch command that is executed when data is imported into RISQUE. For example, you can define a .bat file, which imports data from Excel into the RISQUE database. You can then confirm the import, as described in “Validating the PPM Data” on page 694.

Validating the PPM Data

Once the data is imported to the database, it must be imported from the PPM_IMPORT table to the swaps and options of RISQUE using the Import Power Scheduling Data dialog, as shown in figure 45-52.

To validate the imported PPM data, do the following:

1 Select Import Power Scheduling Data from the Data menu.

The Import Power Scheduling Data dialog is displayed, as shown in figure 45-52.

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Figure 45-52 Import Power Scheduling Data dialog
2 Click Link External References.

RISQUE displays a confirmation message, as shown in figure 45-53.

Figure 45-53 Link External References Confirmation Message

3 Click Confirm & Update Instruments on the Import Power Scheduling Data dialog.

The instruments are updated in RISQUE.

RISQUE displays a confirmation message, as shown in figure 45-54.

Figure 45-54 Update Instruments Confirmation Message

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You can double-click a line in the Import Power Scheduling Data dialog to open the corresponding swap dialog. The Scheduling tab shows the imported scheduling data, as shown in figure 45-55.

Figure 45-55 Scheduling tab of SWAP REF 006

Importing the Powernext Market Analysis

When Powernext receives a purchase order, Powernext computes the prices for each hour of the following day. For more information about generating a Powernext purchase order, see “Powernext Order” on page 672. Powernext returns a market report with the prices for each hour and the quantity nominated hour by hour and portfolio by portfolio. Figure 45-56 shows an example market report.

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Figure 45-56 Example Market Analysis

The received market analysis should be opened, imported, and validated as described in “Importing Scheduling Data” on page 691, by selecting Import based on : Powernext Market Analysis from the Import PPM document menu, as shown in figure 45-56.

Powernext orders are represented as swaps in RISQUE. These swaps must have the correct external reference in order to match them with the data stored in the PPM_IMPORT table.

The external reference of swaps in a Powernext market analysis must be XXX_MM_YYYY_IDENT, where:

• XXX is the value of the global preference COMMO_VPP_MARKET_ANALYSIS_REF. For more information about setting this preference, see “Setting Global Preferences” on page 691.

• MM is the month of the market analysis.• YYYY is the year of the market analysis.• IDENT is the identity of the portfolio for which a Powernext confirmation has

been received.

Clicking Confirm & Update Instruments on the Import Power Scheduling Data dialog fills the swaps that represent the Powernext order. It also updates the last value for the next day of hourly futures with the Powernext prices.

Importing the VPP Order

The VPP nomination is performed using an Excel template provided by EDF.

To import the template, do the following:

1 Open the template in Excel.

2 Select Deals ordering from the Import PPM document menu.

The order is saved in the PPM_VPP_SORT table.

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VPP Nomination

The PowerGas VPP Nomination analysis calculates the power quantities for each half hour according to the Powernext purchase curve and the market analysis, as follows:

• When the price is below the modified strike, the maximum quantity is exercised.

• When the price is higher than the modified strike plus 0.01, the quantity is zero.

• When the price is between the two plots corresponding to the modified strike, the quantity is the ratio between the two corresponding quantities in the purchase order.

The power quantities are displayed on the Scheduling tab of the underlying swap of the option, as shown in figure 45-55. Dates for which the quantities have not been validated are marked with Sched. not confirmed in the Curve. name field. Dates for which the quantities have been validated are marked with Scheduling in the Curve. name field. For more information about validating VPP Nomination quantities, see “Nomination VPP” on page 673.

If previous data exists when VPP Nomination is performed, it is overwritten if that date was marked sched. not confirmed. Existing data is not overwritten if it was marked Scheduling.

To open the PowerGas VPP Nomination analysis, do the following:

1 Select a portfolio that contains a deal on either a power or a gas commodity.

2 Select PowerGas VPP Nomination from the Analysis menu.

RISQUE displays the PowerGas VPP Nomination analysis dialogue, as shown in figure 45-57.

Figure 45-57 PowerGas VPP Nomination scenario dialogue

Note: An error message is displayed if the purchase order has not been sent or the market analysis has not been received. For more information about generating the purchase order, see “Powernext Order” on page 672. For more information about importing the market analysis, see “Importing Scheduling Data” on page 691.

3 Enter the delivery date for the VPP Nomination calculation in the Delivery Date field.

4 Click OK to display the VPP quantities.

5 The Nomination VPP window, as shown in figure 45-58, is displayed.

The table is automatically copied to the clipboard, enabling you to paste it into another application, such as Excel, for sending.

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RISQUE performs the PowerGas VPP Nomination analysis on the selected portfolio and all of its sub-portfolios. For more information about manual VPP nomination, see “Power and Gas Scheduling” on page 660.

Figure 45-58 PowerGas VPP Nomination Results

The columns of the Nomination VPP window are described in table 45-10.

Table 45-10 Columns of the Nomination VPP Window (Sheet 1 of 2)

Column Description

Price The prices for the following day, according to the market analysis.

Position before VPP The value of the position before VPP nomination.

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To overwrite existing nomination data click Replace saved nomination.

To validate a nomination, by converting the status of the quantities of the day from sched. not confirmed to Scheduling, select the Validate VPP Nomination check box.

RTE Nomination

RTE nomination is performed at a high level, not at the level of each portfolio. Nominate to RTE the long and the short positions by half-hour and select the filter which is to be applied to the scheduling. For more information about setting the granularity and counterparty filter, see “Power and Gas Scheduling” on page 660. RTE nomination is performed by selecting a date in the Power and Gas Scheduling window. For more information, see “Powernext, VPP, and RTE Reports” on page 671.

Power Nomination Status View

The Power Nomination Status View enables you to generate a report showing a physical delivery summary.

To display this analysis, do the following:

1 Select the aggregation portfolio in the Portfolio window.

For more information about setting the aggregation portfolio, see “Setting Global Preferences” on page 691.

2 Select Power Nomination Status View from the Analysis menu.

The Nomination VPP Scenario dialog is displayed, as shown in figure 45-59.

Figure 45-59 Nomination VPP Scenario dialog

Market analysis The Powernext order according to the market analysis.

Total VPP The total quantity nominated for each half-hour for all of the VPP of the portfolio.

Position net after VPP The net position after VPP nomination. This should be 0 for each row.

Table 45-10 Columns of the Nomination VPP Window (Sheet 2 of 2)

Column Description

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3 Enter a delivery date and click OK.

The Power Nomination Status View is displayed, as shown in figure 45-60.

Figure 45-60 Power Nomination Status View

Table 45-11 describes the columns of the Power Nomination Status View.

Table 45-11 Columns of the Power Nomination Status View (Sheet 1 of 2)

Column Description

Portfolio Lists all child portfolios of the aggregation portfolio.

Powernext Nomination Indicates if the Powernext nomination was successful. This column can contain the following values:

• (blank)• Not done

• OK

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Click the Reset VPP Nomination button to erase all VPP nomination schedules for the specified delivery date.

Market Analysis Indicates if the Powernext market analysis was received. This column can contain the following values:

• blank• Not received

• OK

• error: instrument not found

VPP Nomination Indicates if the VPP nomination was successful and can contain the following values:

• blank• error: inconsistent status between VPPs

• Not calculated

• Calculated

• Calculated and confirmed

Table 45-11 Columns of the Power Nomination Status View (Sheet 2 of 2)

Column Description

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Chapter 46 Inflation Hedge Analysis

This chapter describes the Inflation Hedge analysis. This analysis displays an analysis of the inflation hedge by either zero-coupon maturities or by market point analysis. This chapter consists of the following sections:

• “Configuring the Inflation Hedge Analysis” on page 703• “Viewing the Analysis Results” on page 704

Configuring the Inflation Hedge Analysis

To launch the Inflation Hedge analysis, do the following:


2 Choose Inflation Hedge from the Analysis menu. The Inflation Scenario dialog is displayed, as shown in figure 46-1.

Figure 46-1 The Inflation Scenario dialog

3 Define the parameters for the inflation hedge analysis. The parameters are described in table 46-1.

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Note: The settings of these parameters are remembered for the next time you launch the analysis.


Viewing the Analysis Results

The inflation hedge results display the inflation sensitivity and convexity for each maturity date of the selected portfolio. This is shown in figure 46-2.

Table 46-1 Inflation Hedge Parameters

Name Description

Inflation Hedge Type The type of hedge analysis. This can be set to one of the following:

• Delta Zero Coupon• Market

• Vega per maturity• Volatility Matrix Hedge — displays the market

quotation of the volatility for individual inflation indexes.

Analysis Currency The currency for which you want to display the inflation hedge.

Inflation Index The index, for the selected currency, for which the analysis is calculated.

Bump Value The amount, in percent, by which the inflation index is bumped.

Quotation Grid The quotation grid used to calculate maturity zones. See “Defining Maturity Zones” on page 651.

Detailed Results Displays detailed results for the inflation hedge. Note: Detailed results can not be displayed for the

Volatility Matrix Hedge inflation hedge type.

Results in Analysis Currency

The results of the analysis are displayed in the currency chosen from the Analysis Currency drop-down list.

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Figure 46-2 The Inflation Hedge Results

The detailed inflation hedge results display the inflation sensitivity for each instrument in the selected portfolio for each maturity date. This is shown in figure 46-3:

Figure 46-3 The Detailed Inflation Hedge Results

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Chapter 47 Interest Rate Fixing Analysis

This chapter describes the Interest Rate Fixing analysis. This analysis displays a diary of the future fixings by nominal and fixing date. This chapter consists of the following sections:

• “IR Fixing Diary Scenario” on page 707• “Booking a Deal on a Debt Instrument” on page 710

IR Fixing Diary Scenario

You can launch the IR Fixing Diary scenario on the positions of the following instruments:

• Floating ABS• Swapped Option with a floating leg• Swaps with a floating leg except range accrual swaps• Package and bonds basket with at least one instrument previously listed.

Important: These instruments must have an interest rate index as an underlying.

Launching the IR Fixing Diary Scenario

You can launch the IR Fixing Diary scenario at any level of the folder hierarchy in the Portfolio window. To launch the IR Fixing Diary scenario on a position, do the following:

1 Select a folder or position from the Portfolio window.

2 Select IR Fixing Diary from the Analysis menu. The IR Fixing Diary window is displayed as shown in figure 47-1.

The fixings price for the prices date and all future dates are displayed. Table 47-2 describes the columns of the IR Fixing Diary window.

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Figure 47-1 IR Fixing Diary

IR Fixing Diary Window

The IR Fixing Diary window displays the contracts in hierarchical order. You can expand or collapse the the contracts. You set the hierarchical order by clicking the following radio buttons:

• By Fixing Date — displays the fixing by date, currency, yield curve, and interest rate tenor. This is the default.

• By Currency — displays the fixing by currency, yield curve, term, and fixing date.

Note: Clicking on a contract line opens the corresponding instrument.

The contracts are displayed in the following structure:

Table 47-1 Nested Order of Columns

Name Description

1 Currency The currency of the underlying rate

2 Yield Curve Family The yield curve family of the underlying rate. The yield curve is needed for the forward value calculation.

3 Tenor The tenor of the underlying rate. The tenor of each instrument is defined from the type of the interest rate underlying of the position:

• interest rate term for Monetary and CMS rate interest rate types.

• underlying interest rate term, as specified in the set in the IR Index field.

4 Fixing date The fixing date.

5 Instrument name The instrument name.

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The contracts are ordered in the following structure:

1 The user preference currency followed by the other currencies in alphabetical order.

2 The default yield curve for the given currency, followed by the other yield curves in alphabetical order

3 The tenor in order of shortest to longest.

Table 47-2 describes the columns and buttons of the IR Fixing Diary Window.

Table 47-2 Columns and Buttons of the IR Fixing Diary Window

Name Description

Contract Name The contracts are displayed in hierarchical order in the following structure.

Rate The IR Index of the instrument.

Notional The notional value of bonds and swap and the nominal value of other instruments.

Forward value The forward value of the rate at the fixing date. This is displayed for each tenor of the interest rate.

Lag from previous fixing

The number of days between the current date and the next fixing date.

Instrument Type The type of instrument.

Allotment The instrument’s allotment.

Start Date The forward start date of the flow of the fixing.

End Date The forward end date of the flow of the fixing.

Number of days The number of days in a the period.

Display Historic Displays all of the fixing dates of the position. That is, the past and future fixing dates of the instrument are displayed.

Expands the hierarchical structure of a contract.

Hides the hierarchical structure of a contract.

Refreshes the data in the IR Fixing Diary window.

Books a deal on a debt instrument from the position selected in the IR Fixing Diary window. For further information, see “Booking a Deal on a Debt Instrument” on page 710.

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Booking a Deal on a Debt Instrument

You can book a deal on a debt instrument from the IR Fixing Diary window. You can book a deal on a debt instrument by selecting either the tenor, fixing date or the position.

1 Select the tenor, fixing date, or position in the IR Fixing Dairy window.

- If By Fixing Date is selected, you can book a debt instrument by selecting either the position or the tenor of the position.

- If By Currency is selected, you can book a debt instrument by selecting either the position or the fixing date of the position.

2 Click the Book Debt Instrument button.

Note: If you select an incorrect row in the IR Fixing Diary window, the Book Debt Instrument button is disabled.

The Commercial Paper Deal dialog is displayed.

For further information on booking a deal on a debt instrument, see “Deals on Debt Instruments” on page 405.

Creating a Predefined Fund Portfolio Folder

You can create a default folder for booking debt instruments in the Portfolio window. All deals booked on debt instruments from the IR Fixing Diary window are automatically booked into the default folder.

To create a default folder, do the following:

1 Create a folder in your portfolio.

2 In the RISKPREF database table do the following:

- Select the FundingBookingFolio global preference.Table 47-3 describes the columns of the FundingBookingFolio global preference.

- Set the name of the PREFVALEUR field to the name of the folder you created in the Portfolio window. RISQUE now uses your debt instrument booking folder as the default location for debt instrument booking.

Table 47-3 Values of the FundingBookingFolio Global Preference

Name Description

PREFNOM FundingBookingFolio

PREFVALEUR The user-defined name of the default debt instrument booking folder.

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Note: You can manually select a different debt booking folder by selecting a different portfolio from the Folio drop-down menu in the Commercial Paper Deal dialog.

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Index

AAdding

mirror rules ................................... 531

AnalysisAggregate of Option Positions ... 565Cash Delta ..................................... 553Cega and Provision ...................... 650Commodities ................................. 649Commodity Risk Split .................. 653Correlation/Maturity .................... 585Credit (Recovery Rate) ............... 596Credit Exposure ............................ 595Credit Scenarios ........................... 597Crossed Greeks............................. 558Crossed Indicators ....................... 558Epsilon maturity ........................... 586Evolution ........................................ 559Future Analysis ............................. 685Future Maturity ............................. 586General analyses .......................... 551Interest Rate Hedges .................. 566IR Vega........................................... 587LME Card ........................................ 657Options Position............................ 556Portfolio Break-Up........................ 554Power and Gas Financial Exposure .

679Power and Gas Scheduling......... 660Power and Gas Strips Exercise.. 677Power and Gas VPP Nomination 690Pricing Surfaces ............................ 577Repo................................................ 588Scenario Lists ................................ 551Smile............................................... 588Stock Loan components.............. 567Stock Loan Reports...................... 569Stress Test..................................... 561Strike .............................................. 589total loss ........................................ 598Trend Scenario.............................. 553Vega ................................................ 591Vol Matrix....................................... 592Worst Case Scenario ................... 564ZC Rho............................................ 592

Automatic Trades and AdjustmentsGenerating ..................................... 218

BBuckets

Criteria............................................139Sets ................................................. 139Slices...............................................142

CCash balance

per Currency ................................. 249

Cega and Provision ............................. 650defining maturity zones ..............651launching........................................652

COMMO_VPP_MARKET_REPORT_REF ...691

COMMO_VPP_NOMINATION_AGGREGATION_PORTF ........................................691

COMMO_VPP_NOMINATION_COMMO_CODE........................................................691

Commoditiesanalyses .........................................649tickets ............................................. 409

Consolidations .....................................118by Business Sector....................... 120Creating.......................................... 118Deactivating ..................................119Deleting .......................................... 119

Conventions ........................................... 23

Corporate Action Types .....................301

Corporate ActionsTypes .............................................. 301

DDeal Mirroring...................................... 525

creating mirrored deals...............532Mirror Rules ................................... 525Mirror Rules Definitions...............525

DealsDeal Input Reference Browser. . 287Mirroring.........................................525Standard Deal input dialog. ....... 286

DRT Server Standalone EditionArchitecture ................................... 525

713


Eexporting PowerGas scheduling data....666

External References ........................... 112

ExtractionsPivot ................................................155Position Link ..................................162Query Builder ................................ 148

FFolio

Properties....................................... 103

Freezing the P&L ................................. 178

Future Analysis.................................... 685

GGreeks

Currency........................................... 67Delta ................................................. 65Epsilon .............................................. 65Gamma ............................................. 65Rho .................................................... 67Theta................................................. 67Vega .................................................. 66

Guideabout................................................. 23conventions ..................................... 23Documentation ............................... 23how to use ....................................... 23

LLoading ................................................... 97

MMenu

Analysis.............................................39Audit ..................................................43Customising .....................................46Data ...................................................32Edit ....................................................31Envir ..................................................44File .....................................................30Instruments .....................................34Manager............................................43Market ...............................................42Parameters.......................................37Portfolios...........................................38Quotation..........................................39Window .............................................45

Mirror Rulescreating...........................................528deleting ...........................................529exercise options ............................381

Mirror Rules Selector ..........................529adding mirror rules.......................531removing mirror rules..................531viewing............................................529

NNomination VPP .......................... 664, 673

PP&L

Effect formulae. ............................193Freezing ..........................................178Freezing by Batch .........................179Frozen P&L Results .......................179Greek effect formulae..................195Notation..........................................196Portfolio Result ..............................185Reporting ........................................237Result Delta window.....................189Result reporting ............................186Result Variation.................... 187, 189

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:

P&L Attribution.....................................192Calculations....................................193Day Effect.......................................193Dividend effect ..............................193Finance Delta.................................193Movement Delta............................193Other Effects..................................193Other Spot Effect ..........................193Pure Spot Effect ............................193Rate Delta ......................................193Rate Effect......................................194Repo effect .....................................194Smile Effect....................................194Spot Effect .....................................194Treasury Delta...............................194Viewing ...........................................194Volatility Effect ..............................194

P&L Explanation...................................195Delta Effect ....................................195Forward Effect ...............................196Gamma Effect................................195Rho Effect .......................................196Vega Effect.....................................195

P&L Notation ........................................196

P&L Variation........................................192

Parametric VaRCommodities......................... 603, 611Evaluating ......................................606

Pivot Extraction ...................................155Fields ...............................................155Third Criterion ...............................161Two Criteria ...................................158

PortfolioResult Variation.............................187

Portfolio Column Editor ......................103Column Expressions ............ 105, 106Expressions ....................................105

Portfolio ColumnsScripting .........................................111

Portfolio ResultBreakdown .....................................185

Portfolio WindowToolbar..............................................54

Portfolio window ....................................53

PortfoliosAsset Value...................................... 68Consolidations............................... 118External References..................... 112Folio Properties ............................. 103Greeks .............................................. 65Loading............................................. 97P&L Attribution ............................. 192P&L Explanation............................ 195P&L Notation ................................. 196Pivot Extraction ............................ 155Portfolio Column Editor ............... 103Portfolio window ............................. 53Reporting ......................................... 98Result Variation Columns ........... 197Selective Loading ........................... 98Stock Loan Contract Modification ...

358Stock loan with margin call........ 357Toolbar ............................................. 54Views ................................................ 55

Position LinkDefining.......................................... 162

Position Link Definition dialog. ........ 162

Position Linking ................................... 162

Positions graph. .................................. 557

Power and Gas Financial Exposure . 679Average Value............................... 682Best Match Value ......................... 681Current Position............................ 683hedging exposure ........................ 683

Power and Gas Scheduling ............... 660creating deals ............................... 668swap blotter .................................. 671swap conversion........................... 671tickets ............................................. 670viewing commodities ................... 663

Power and Gas Strips Exercise ........ 677

Powernext Order......................... 664, 672

POWERSCHEDULING_IMPORT_CMD ....694

Prices Date ........................................... 238

QQuery Builder

Extractions..................................... 148

715


RRemoving

mirror rules.................................... 531

Reporting ........................................98, 237FIFO .................................................. 99FIFO Futures.................................... 99LIFO................................................... 99WAP................................................... 99

RE-RE NEB (Buyer) ....................664, 677

RE-RE NEB (Seller) .....................664, 675

RE-Site NEB (Seller)...................664, 676

Result DeltaP&L Attribution.............................. 194

Result VariationColumns .........................................197P&L Variations ...............................192Saved EODs ...................................192

Results FrameFinancing .......................................... 64Income ............................................. 64Realized ............................................ 64Result................................................ 64Treasury ........................................... 64Unrealized ........................................ 64

Results frame......................................... 63

RTE ........................................................ 671

SSophis Script Editor............................111

TTickets

commodities ..................................409Listed Options ...............................387Power and Gas .............................. 418TAPOs ............................................. 391

ToolbarPortfolio ............................................ 54

UUser Columns

Sophis Script Editor .....................111

VVPP Status View ..................................700

716

RISQUE 5.3.5.17 Portfolio Management Guide

Documents

portfolio management

sophis sa

supportsophis technology

list of portfolio columns

risque functionality

sophis home page

introduction chapter

contact details