Functions on ScenarioPosition evaluation
Bond scenario analysis" module
This valuation object provides key figures for a single bond position. 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".
ScenarioPositionValuation.valuationObject→ScenarioPortfolioValuation
Result: The ValuationObject function returns the corresponding portfolio valuation object.
Bond scenario analysis" module
ScenarioPositionValuation.BSIHorizonAccruedInterest→Number
Result: The BSIHorizonAccruedInterest function provides the accrued interest on the horizon.
Bond scenario analysis" module
ScenarioPositionValuation.BSIHorizonBasisPointValue→Number
Result: The BSIHorizonBasisPointValue function returns the "Value of a Basis Point" of the bond on the horizon.
Bond scenario analysis" module
ScenarioPositionAssessment.BSIHorizonConvexity→number
Result: The BSIHorizonConvexity function returns the convexity at the horizon.
Bond scenario analysis" module
ScenarioPositionValuation.BSIHorizonCreditSpread→Number
Result: The BSIHorizonCreditSpread function returns the credit spread of the bond on the horizon.
Bond scenario analysis" module
ScenarioPositionAssessment.BSIHorizonDuration→Number
Result: The BSIHorizonDuration function provides the duration at the horizon.
Bond scenario analysis" module
ScenarioPositionValuation.BSIHorizonExchangeRate→Number
Result: The BSIHorizonExchangeRate function provides the exchange rate of the bond currency in evaluation currency on the horizon.
Bond scenario analysis" module
ScenarioPositionsAssessment.BSIHorizonMaturity→Number
Result: The BSIHorizonMaturity function provides the remaining term of the bond on the horizon.
Bond scenario analysis" module
ScenarioPositionValuation.BSIHorizonModifiedDuration→Number
Result: The BSIHorizonModifiedDuration function returns the modified duration at the horizon.
Bond scenario analysis" module
ScenarioPositionValuation.BSIHorizonPrice→Number
Result: The BSIHorizonPrice function returns the price of the bond on the horizon.
Bond scenario analysis" module
ScenarioPositionValuation.BSIHorizonValue→Number
Result: The BSIHorizonValue function returns the value of the bond position on the horizon.
Bond scenario analysis" module
ScenarioPositionValuation.BSIHorizonValuePercent→Number
Result: The BSIHorizonValuePercent function returns the portfolio weight of the bond on the horizon.
Bond scenario analysis" module
ScenarioPositionValuation.BSIHorizonYield→Number
Result: The BSIHorizonYield function provides the yield of the bond on the horizon.
Bond scenario analysis" module
ScenarioPositionValuation.BSIIncomeFromReinvestment→Number
Result: The BSIIncomeFromReinvestment function returns the total reinvestment interest from repayments and interest payments up to the horizon.
Bond scenario analysis" module
ScenarioPositionValuation.BSIInterestPayout→Number
Result: The BSIInterestPayout function returns the sum of the interest payments up to the horizon.
Bond scenario analysis" module
ScenarioPositionValuation.BSIOutOfModel→Boolean
Result: The BSIOutOfModel function returns "True" if the simulation model cannot evaluate the bond type.
Bond scenario analysis" module
ScenarioPositionValuation.BSIPosition→SecuritiesPosition
Result: The BSI position function returns the valued securities position.
Bond scenario analysis" module
ScenarioPositionValuation.BSIPrincipalPayout→Number
Result: The BSIPrinzipalPayout function provides the amount of the position repayment up to the horizon.
Bond scenario analysis" module
ScenarioPositionValuation.BSISettlementAccruedInterest→Number
Result: The BSISettlementAccruedInterest function returns the accrued interest on the evaluation date.
Bond scenario analysis" module
ScenarioPositionValuation.BSISettlementBasisPointValue→Number
Result: The BSISettlementBasisPointValue function returns the "Value of a Basis Point" of the bond on the evaluation date.
Bond scenario analysis" module
ScenarioPositionValuation.BSISettlementConvexity→number
Result: The BSISettlementConvexity function returns the convexity at the time of evaluation.
Bond scenario analysis" module
ScenarioPositionValuation.BSISettlementCreditSpread→number
Result: The BSISettlementCreditSpread function returns the credit spread of the bond at the time of evaluation.
Bond scenario analysis" module
ScenarioPositionValuation.BSISettlementDuration→Number
Result: The BSISettlementDuration function returns the duration at the time of evaluation.
Bond scenario analysis" module
ScenarioPositionValuation.BSISettlementExchangeRate→Number
Result: The BSISettlementExchangeRate function returns the exchange rate of the bond currency in the evaluation currency on the evaluation date.
Bond scenario analysis" module
ScenarioPositionsValuation.BSISettlementMaturity→Number
Result: The BSISettlementMaturity function returns the remaining term of the bond on the evaluation date.
Bond scenario analysis" module
ScenarioPositionValuation.BSISettlementModifiedDuration→Number
Result: The BSISettlementModifiedDuration function returns the modified duration at the time of evaluation.
Bond scenario analysis" module
ScenarioPositionValuation.BSISettlementPrice→Number
Result: The BSISettlementPrice function returns the price of the bond on the evaluation date.
Bond scenario analysis" module
ScenarioPositionValuation.BSISettlementValue→Number
Result: The BSISettlementValue function returns the value of the bond position on the evaluation date.
Bond scenario analysis" module
ScenarioPositionValuation.BSISettlementValuePercent→Number
Result: The BSISettlementValuePercent function returns the portfolio weight of the bond on the evaluation date.
Bond scenario analysis" module
ScenarioPositionValuation.BSISettlementYield→Number
Result: The BSISettlementYield function returns the yield of the bond at the time of evaluation.
Bond scenario analysis" module
ScenarioPositionValuation.BSIReturn→Number
Result: The BSIReturn function returns the profit of the bond up to the horizon.
Bond scenario analysis" module
ScenarioPositionValuation.BSIReturnPA→Number
Result: The BSIReturnPA function returns the annualized profit of the bond up to the horizon.
Bond scenario analysis" module