FRTB Trade Scaling

The Accelerator provides scaling simulations to display instant recalculations of and incremental impact from simulated adjustments to a given trade or set of trades.

Scaling factor Impact on trade
> 1 Adjusts the trade up
< 1 Adjusts the trade down
negative Inverts the trade risk profile
zero (0) Closes down the position entirely

  1. Select the TradeId you want to work on. This can be from any pivot table that has the TradeId dimension. Right-click and select What-If Trade > Scale [ name of TradeId].

    The Scale Trades dialog box is displayed with information about the TradeId, the branch you are branching from.

  2. Check that all elements are the ones you want, otherwise cancel and set or change your filters as required.

  3. In the Scale Trades dialog box, complete the Parameters section and click OK

    • Trade ID: Id of the selected Trade(s)

    • Title: Short caption describing the meaning of the trade scale task
    • Scale Factor: The factor bu which to multiply the underlying trade
    • Branch Name: Name of the branch on which to save the scaling result. If the branch does not exist, a new branch will be created

  1. In the Pivot table, if the Epoch dimension is selected, the new branch you created is displayed adjacent to the master. The new branch contains the same data as the master branch except for the selected trade, which is adjusted by the scaling you applied.

  2. To manage your branches and the simulations on them, use the widgets in the WhatIf Management category:

    • Branch Manager: View and manage your branches

    • WhatIf Manager: Set the refresh frequency on your simulations

To duplicate a trade and rescale its copy:

  1. Complete steps 1-3 in the procedure for trade scaling.

  2. In the Scale Trades dialog box, complete the Duplicate Trades section:

    • Select the Duplicate Trades checkbox.
    • Edit the suffix to append to the new duplicate trade.

  3. In the Pivot table, if the Epoch dimension is selected, the new branch contains a duplicated version of the original trade scaled by the factor you applied. Since the new duplicated trade is a completely new trade, it is only contained in the new branch and does not appear on the master branch.

  4. To manage your branches and the simulations on them, use the widgets in the WhatIf Management category:

    • Branch Manager: View and manage your branches

    • WhatIf Manager: Set the refresh frequency on your simulations