Preparation

Module "Portfolio Service Extended Portfolio Analysis"

Generation of the calculation model

Object.DeltaNormalValueAtRiskModel→DeltaNormalValueAtRiskModelResult: The function returns an abstract object that represents the model of the same name for the VaR calculation.

Object.SimpleValueAtRiskModel→SimpleValueAtRiskModel

Result: The function returns an abstract object that represents the model of the same name for the VaR calculation (Simple VaR).

Generation of input parameters

(WP|Account|Custody account|Holder|Portfolio|Group|Currency).ValueAtRiskPosition [Position;Cost price;Class;Balance]→ValueAtRiskPosition

Result: The function creates a value-at-risk position that represents a (virtual) portfolio position consisting of an instrument (security, account, holder, account, securities account, portfolio), a position and, if necessary (if required for valuation), a cost price. (Currency positions are ignored in the delta-normal model. These can be modeled as foreign currency accounts if necessary)

Querying the values of the input parameters

ValueAtRiskPosition.stock→number

Result: Holdings of the instrument in the value-at-risk position.

ValueAtRiskPosition.deposit→number

Result: Cost price of the instrument in the value-at-risk position.

ValueAtRiskPosition.Instrument→List(WP|Account|Custody|Holder|Portfolio|Group|Currency|RSVValueComponent)

Result: Instrument of the value-at-risk position.