The corporate actions that occur on the underlying risk factors are taken into account by the Accelerator.
There are two main types of actions that can also be extended:
Cash type: drop of a dividend or detachment of a coupon.
Quantity type: split or merge of the instrument.
Input file
The corporate actions are stored in a specific file, as they occur infrequently.
See CorporateAction.csv
Datastore
The corporate actions are also stored in a specific table.
See CorporateAction table
The dividends must be taken as cash contributing to the PnL for the current day.
Configuration
Element
Details
Input file column
‘CashDividend’
Datastore column
‘CashDividend’
Applied formula
Described in ‘greek-based-pl-formula-rules.properties’ under the properties of type formula.rule.dividend. The formula is applied with the following parameters for the current day: cash=f(sensi, dividend, 0.0)
Dividend
Described as a measure, similarly to the other greeks. Its configuration can be found on the class DividendGreekSensiCubeMeasureConfig.
PnL for Split
The split of a stock will divide its price by the split ratio. So to calculate the PnL Explain correctly, the market price must be adjusted to the same scale as the
previous market price.
Configuration
Element
Details
Input file column
‘SplitRatio’
Datastore column
‘SplitRatio’
Applied formula
Described in the function InterpolationConfiguration#corporateActionOperator(context, sensitivityKind, sensitivityName, riskClass) . The formula is applied with the following parameters for the current day : newMarketPrice=f(marketPrice, ICorporateAction)
Extending corporate actions
The interface ICorporateAction can be extended to add extra actions.