Functions on ScenarioPortfolioValuation
Bond scenario analysis" module
The valuation object provides key figures on a portfolio variant. The parameters of the evaluation are transferred when this evaluation object is created (see BondPortfolio.BSAEvaluation). Many of the key figures can be specified for the evaluation date and the horizon date. In these cases, there are pairs of functions whose variant for the evaluation date has the designation "Settlement" and the variant for the horizon date has the designation "Horizon".
ScenarioPortfolioValuation.BSAHorizonAccruedInterest→Number
Result: The BSAHorizonAccruedInterest function returns the sum of accrued interest on the horizon.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSAHorizonAVGConvexity→number
Result: The BSAHorizonAVGConvexity function provides the portfolio convexity at the horizon.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSAHorizonAVGDuration→Number
Result: The BSAHorizonAVGDuration function provides the duration of the portfolio on the horizon.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSAHorizonAVGMaturity→Number
Result: The BSAHorizonAVGMaturity function provides the average remaining maturity of the bonds in the portfolio on the horizon.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSAHorizonAVGModifiedDuration→Number
Result: The BSAHorizonAVGModifiedDuration function returns the modified duration of the portfolio on the horizon.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSAHorizonAVGYield→Number
Result: The BSAHorizonAVGYield function provides the average yield of the bonds in the portfolio on the horizon.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSAHorizonBasisPointValue→Number
Result: The BSAHorizonBasisPointValue function returns the average "Value of a Basis Point" of the portfolio on the horizon.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSAHorizonItems→List(ScenarioItemValuation)
Result: The BSAHorizonItems function provides the list of valuations for the portfolio items that have not yet expired by the horizon date.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSAHorizonMarketValue→Number
Result: The BSAHorizonMarketValue function returns the total price value of the securities positions on the horizon.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSAHorizonTotalValue→Number
Result: The BSAHorizonTotalValue function provides the total value of the portfolio including interest payments, repayments, reinvestment interest and the cash account on the horizon.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSAIncomeFromReinvestment→Number
Result: The BSAIncomeFromReinvestment function provides the total reinvestment interest from repayments and interest payments up to the horizon.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSAInterestPayout→Number
Result: The BSAInterestPayout function returns the total of interest payments up to the horizon.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSAItems→List(ScenarioItemValuation)
Result: The BSAItems function provides the list of valuations for all portfolio items.
Bond scenario analysis" module
SimulationSpecification.BSAParamEvaluationCurrency→Currency
Result: The BSAParamEvaluationCurrency function returns the corresponding valuation parameter.
Bond scenario analysis" module
SimulationSpecification.BSAParamHorizonDate→Date
Result: The BSAParamHorizonDate function returns the corresponding parameter of the valuation.
Bond scenario analysis" module
SimulationSpecification.BSAParamScenarioName→String
Result: The BSAParamScenarioName function returns the corresponding parameter of the valuation.
Bond scenario analysis" module
SimulationSpecification.BSAParamSettlementDate→Date
Result: The BSAParamSettlementDate function returns the corresponding parameter of the valuation.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSAPortfolio→BondPortfolio
Result: The BSAPortfolio function provides the portfolio on which the valuation is based.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSAPrincipalPayout→Number
Result: The BSAPrinzipalPayout function returns the sum of repayments up to the horizon.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSASettlementAccruedInterest→Number
Result: The BSASettlementAccruedInterest function returns the sum of accrued interest on the evaluation date.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSASettlementAVGConvexity→Number
Result: The BSASettlementAVGConvexity function provides the portfolio convexity at the time of evaluation.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSASettlementAVGDuration→Number
Result: The BSASettlementAVGDuration function provides the duration of the portfolio on the evaluation date.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSASettlementAVGMaturity→Number
Result: The BSASettlementAVGMaturity function provides the average residual maturity of the bonds in the portfolio on the evaluation date.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSASettlementAVGModifiedDuration→Number
Result: The BSASettlementAVGModifiedDuration function returns the modified duration of the portfolio at the time of evaluation.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSASettlementAVGYield→number
Result: The BSASettlementAVGYield function provides the average yield of the bonds in the portfolio at the time of evaluation.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSASettlementBasisPointValue→Number
Result: The BSASettlementBasisPointValue function returns the average "Value of a Basis Point" of the portfolio at the time of evaluation.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSASettlementMarketValue→Number
Result: The BSASettlementMarketValue function returns the total market value of the securities positions on the evaluation date.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSASettlementTotalValue→Number
Result: The BSASettlementTotalValue function provides the total value of the portfolio including interest payments, repayments, reinvestment interest and cash account on the evaluation date.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSATotalReturn→Number
Result: The BSATotalReturn function provides the portfolio's value growth up to the horizon as a percentage.
Bond scenario analysis" module
ScenarioPortfolioValuation.BSATotalReturnPA→number
Result: The BSATotalReturnPA function provides the annualized value growth of the portfolio up to the horizon as a percentage.
Bond scenario analysis" module