Measure variations
There are several variations of the measures. These variations are identified by the suffix appended to the measure name:
| Variation | Description | Pattern |
|---|---|---|
|
Euler |
One of the approaches implemented in the FRTB Accelerator to decompose a non-linear measure down to additive components. Uses Analytical and Numerical Euler methods. |
<Main Measure Name>Euler |
| High-Low | The "high" and "low" measure variations represent the high correlation scenario and the low correlation scenario, respectively, for the SBM calculations. |
<Main Measure Name>High <Main Measure Name>Low |
|
Incremental |
Evaluate the impact of a trade or a group of trades (‘current scope’) on the result at a selected ReferenceLevel, by comparing it with the computation as if the given trade or aggregate of trades were hypothetically removed. |
<Main Measure Name>Incremental |
|
Pro-rata |
One of the approaches implemented in the FRTB Accelerator to decompose a non-linear measure down to additive components. |
<Main Measure Name>Pro-Rata |
|
Spot analysis |
Focus on the most recent observation date only |
<Main Measure Name>Spot |