Parameters of the duration analysis
Module "Portfolio Service Extended Portfolio Analysis"
For general information on setting the parameters, please refer to the chapter Parameters of the securities account evaluations.
The duration analysis has the following parameters:
Parameters | Description |
|---|---|
Evaluation date | Evaluation date of the evaluation, which you can enter in the form dd.mm.yy. The default setting is the current date or the evaluation date entered in the input field on the "Start" tab. |
Currency | Evaluation currency. The default setting is the currency from the properties of the input object (holder, portfolio, securities account). You can also specify a different currency for the overview by selecting the desired currency from the list. |
With liquidity | Activate this checkbox to include liquidity as a deposit item in the duration calculation. Liquidity has a duration of 0, which results in a lower portfolio duration when included. |
Duration period 1, duration period 2, duration period 3 | You use these 3 limits to define 4 periods (in years). In this way, you can combine duration values into groups within the defined limits. See the following example. |
Beispiel zur Einstellung der Durationszeiträume:
Select the parameter settings as follows:
- Duration period 1 = 2
- Duration period 2 = 5
- Duration period 3 = 10
This allows you to define the following groups:
- Period 1 = 0 to 2 years
- Period 2 = 2 to 5 years
- Period 3 = 5 to 10 years
- Period 4 = longer than 10 years