greek-based-pl-formula-rules.properties

File purpose

The greek-based-pl-formula-rules.properties file is used for PnL Explain. The properties define the type of computation (formula and Taylor expansion order) per risk class and sensitivity measure.

File values for ladder configuration

For more information, see Sensitivity ladders

Key	Value	Description
formula.input.delta	LADDER-FIRST	Formula input selection. Determines if the input for the PnL Explain formula is a sensitivity ladder or a sensitivity. Associated with the sensitivity name.
formula.input.gamma	LADDER-FIRST
formula.input.vega	SENSI-ONLY
formula.input.vanna	SENSI-ONLY
formula.input.volga	SENSI-ONLY
formula.order.delta	FIRST	Order type for the sensitivity ladder associated with the sensitivity name.
formula.order.gamma	SECOND

File values for formula configuration

Key	Value	Description
formula.input.delta	LADDER-FIRST	Formula input selection. Determines if the input for the PnL Explain formula is a sensitivity ladder or a sensitivity. Associated with the sensitivity name.
formula.input.gamma	LADDER-FIRST
formula.input.vega	SENSI-ONLY
formula.input.vanna	SENSI-ONLY
formula.input.volga	SENSI-ONLY
formula.order.delta	FIRST	Order type for the sensitivity ladder associated with the sensitivity name.
formula.order.gamma	SECOND

File values for formula configuration

Key	Value	Description
formula.rule.correlation.equity	Formula for the equity correlation	Relative,1,1,true
formula.rule.correlation.*	Formula for the non-equity correlation	Relative,1,1,true
formula.rule.crossgamma.1.*	Formula for the risk 1rst factor of cross gamma	Relative,1,1,true
formula.rule.crossgamma.2.*	Formula for the risk 2nd factor of cross gamma	Relative,1,1,true
formula.rule.delta.csr-non-sec	Absolute,1,1,true	Formula rule for each sensitivity and risk class. The elements are arranged in the following order: SensitivityName.RiskClass = PriceChange,PriceFactor,DerivativeOrder,MarketDataInterpolation
formula.rule.delta.csr-sec-ctp	Absolute,1,1,true
formula.rule.delta.girr	Absolute,1,1,true
formula.rule.delta.commodity	Relative,1,1,true
formula.rule.delta.equity	Relative,1,1,true
formula.rule.delta.fx	FXRelative,1,1,false
formula.rule.dividend.*	Absolute,1,1,false	PnL explain computation rule for dividend (previous dividend is never taken into account)
formula.rule.gamma.csr-non-sec	Absolute,1,2,true
formula.rule.gamma.csr-sec-non-ctp	Absolute,1,2,true
formula.rule.gamma.csr-sec-ctp	Absolute,1,2,true
formula.rule.gamma.girr	Absolute,1,2,true
formula.rule.gamma.commodity	Relative,1,2,true
formula.rule.gamma.equity	Relative,1,2,true
formula.rule.gamma.fx	Relative,1,2,false
formula.rule.vega.csr-non-sec	Absolute,1,1,true
formula.rule.vega.csr-sec-non-ctp	Absolute,1,1,true
formula.rule.vega.csr-sec-ctp	Absolute,1,1,true
formula.rule.vega.girr	Absolute,1,1,true
formula.rule.vega.commodity	Absolute,1,1,true
formula.rule.vega.equity	Absolute,1,1,true
formula.rule.vega.fx	Absolute,1,1,false
formula.rule.vanna.1.csr-non-sec	Absolute,1,1,true	PnL explain computation rule for first risk factor axis for Vanna and CSR non sec
formula.rule.vanna.2.csr-non-sec	Absolute,1,1,true	PnL explain computation rule for second risk factor axis for Vanna and CSR non sec
formula.rule.vanna.1.csr-sec-non-ctp	Absolute,1,1,true	PnL explain computation rule for first risk factor axis for Vanna and CSR sec non CTP
formula.rule.vanna.2.csr-sec-non-ctp	Absolute,1,1,true	PnL explain computation rule for second risk factor axis for Vanna and CSR sec non CTP
formula.rule.vanna.1.csr-sec-ctp	Absolute,1,1,true	PnL explain computation rule for first risk factor axis for Vanna and CSR sec CTP
formula.rule.vanna.2.csr-sec-ctp	Absolute,1,1,true	PnL explain computation rule for second risk factor axis for Vanna and CSR sec CTP
formula.rule.vanna.1.girr	Absolute,1,1,true	PnL explain computation rule for first risk factor axis for Vanna and GIRR
formula.rule.vanna.2.girr	Absolute,1,1,true	PnL explain computation rule for second risk factor axis for Vanna and GIRR
formula.rule.vanna.1.commodity	Relative,1,1,true	PnL explain computation rule for first risk factor axis for Vanna and Commodity
formula.rule.vanna.2.commodity	Relative,1,1,true	PnL explain computation rule for second risk factor axis for Vanna and Commodity
formula.rule.vanna.1.equity	Relative,1,1,true	PnL explain computation rule for first risk factor axis for Vanna and Equity
formula.rule.vanna.2.equity	Relative,1,1,true	PnL explain computation rule for second risk factor axis for Vanna and Equity
formula.rule.vanna.1.fx	Relative,1,1,true	PnL explain computation rule for first risk factor axis for Vanna and FX
formula.rule.vanna.2.fx	Relative,1,1,false	PnL explain computation rule for second risk factor axis for Vanna and FX
formula.rule.volga.csr-non-sec	Absolute,1,2,true
formula.rule.volga.csr-sec-non-ctp	Absolute,1,2,true
formula.rule.volga.csr-sec-ctp	Absolute,1,2,true
formula.rule.volga.girr	Absolute,1,2,true
formula.rule.volga.commodity	Absolute,1,2,true
formula.rule.volga.equity	Absolute,1,2,true
formula.rule.volga.fx	Absolute,1,2,false
formula.rule.cash.fx	FXRelative,1,1,false	PnL explain computation rule for cash
formula.rule.theta.*	Absolute,1,1,false	PnL explain computation rule for theta

formula.rule entry description

The [formula.rule] entries follow this format : formula.rule.sensitivity.riskClass

• sensitivity field, lowercase.

• riskClass field, lowercase and the spaces are replaced by -.

• The sensitivity field can contain the sensitivity metric name (sensitivity_kind) or the sensitivity provided name (sensitivity_name).

The lookup order is the following :

Order	Lookup
1	formula.rule.sensitivity_name.riskClass
2	formula.rule.sensitivity_name.*
3	formula.rule.sensitivity_kind.riskClass
4	formula.rule.sensitivity_kind.*

The formula value has the following entries separated by commas: formula,priceFactor,derivativeOrder,interpolation,shift

Entry	Position	Meaning
formula	1	The keyword defining the used formula
priceFactor	2	A scale applied to the sensitivity ( sensitivity * priceFactor)
derivativeOrder	3	A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma
interpolation	4	true means interpolation of market data is allowed
shift	5	A shift that is added to the sensitivity ( sensitivity + shift )

The following formulae are available:

Formula	Meaning
Absolute	$$ pnl = sensitivity \cdot \frac{ \left ({(quote_T \cdot priceFactor) - (quote_{T-1} \cdot priceFactor)} \right ) ^ {derivativeOrder}}{ derivativeOrder!} $$
Relative	$$ pnl = sensitivity \cdot \frac {\left (\frac{quote_T \cdot priceFactor}{quote_{T-1} \cdot priceFactor} - 1 \right ) ^ {derivativeOrder}}{derivativeOrder! } $$
DHS	$$ pnl = sensitivity \cdot \frac {\left (\frac{quote_T \cdot priceFactor+shift}{quote_{T-1} \cdot priceFactor+shift} - 1 \right ) ^ {derivativeOrder}}{derivativeOrder! } $$
FXRelative	$$pnl = sensitivity \cdot \frac {\left ( 1 - \frac {quote_{T-1} \cdot priceFactor}{quote_T \cdot priceFactor} \right ) ^ {derivativeOrder}}{derivativeOrder!}$$