What-If Analysis
The Accelerator uses native ActivePivot What-If capabilities to deliver powerful simulation tools in three main areas for the VaR/ES and Sensitivities components; portfolio reclassification, substitution, and scaling.
What-If is applicable at any level in the hierarchy and you can drill down and propagate the effect of the what-if simulation to the lower levels.
Types of What-If analysis
Portfolio reclassification - simulates changes in the parent/child hierarchy
Portfolio substitution - override current data with data from a specific date
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For VaR/ES: Substituting PnL vectors of the current data with the previous day’s data. Substitution candidates are based on all previous dates available in the cube. For the scenarios of the PnL vector for which there is no data (that is, X days discrepancy between D and D-X) the value is set to 0.
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For Sensitivities: Replacing sensitivities data for a given perimeter with proxy data
Scaling: Adjust the trade data by a given percentage or an absolute amount
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For VaR/ES: Trade PnL or PnL scenario scaling - The scaling factor is either a percentage shift up or down or just initialising the vector to 0.
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For Sensitivities: Trade sensitivities scaling - by a percentage or absolute amount.
See Scaling
Branches
Each simulation you run creates a separate cloned branch of the master. However, as the What-If is purely for simulation purposes, these branches never impact the master branch.
Audit Trail
In the reference implementation of the Accelerator, there is no audit trail or persistence for the What-If simulations. Instead, the What-If branches are cleaned-up on a regular basis depending on your configuration.
Customising the What-If configuration
The What-If framework has been designed to be adapted and configured based on your use cases. For more information, see the Javadoc.