Step 1: Creating the CalculationObject

Module "Portfolio Service Extended Portfolio Analysis"

ValueAtRiskModel.CalculationObject[evaluation date;evaluation currency;ValueAtRiskPositions;time series parameter estimation period]→ValueAtRiskCalculationObject

Result: The function provides an auxiliary object for the selected value-at-risk model that (pre-)calculates key data for the distribution and identifies the instruments that can be valued in the model as well as the associated risk factors and currencies. In the case of the simple VaR model, the risk factors are not considered separately (and therefore not identified), as the calculation basis is always a sum of (specific) instrument valuations in the evaluation currency.

The ValueAtRiskCalculationObject always refers to an evaluation currency and an evaluation date. The estimation period must be specified for the data estimate. The (virtual) portfolio is transferred via the list of value-at-risk positions

Querying information that was determined for the calculation

Result: List of risk factors that were determined as part of the selected model for the transferred value-at-risk positions.

ValueAtRiskCalculationObject.currencies→Currency

Result: Currencies determined within the framework of the selected model for the transferred value-at-risk positions. No currencies are determined in the simple VaR model.

ValueAtRiskCalculationObject.evaluationCurrency→Currency

Result: The evaluation currency of the ValueAtRiskCalculationObject.

ValueAtRisk.evaluationDate→Date

Result: Evaluation date of the ValueAtRisk.

ValueAtRiskCalculationObject.RiskPositions→List(ValueAtRiskPosition)

Result: The value-at-risk items transferred to the ValueAtRiskCalculationObject.

Result: The list of transferred instruments of the ValueAtRiskCalculationObject. With SimpleValueAtRisk, the currencies of currency items can also be included here.

Result: List of non-valuable instruments of the ValueAtRiskCalculationObject.

Result: List of instruments of the ValueAtRiskCalculationObject that can be valued. With Simple VaR, currencies of currency positions can also be included here