Scaling

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

Scaling factor options

You can select an existing trade and modify its size to measure the impact of increasing or partially or completely closing down a position.

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

 

Vector scaling

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 Trade Scaling dialog box is displayed with information about the TradeId, the branch you’re branching from.

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

2. In the Trade Scaling dialog box, set a name for the branch where the system saves the result of the scaling. If the branch does not exist a new branch will be created.

3. Select the type of scaling you want to apply:

   Select Scaling type	Enter in the Amount field
   Scale Factor	The factor by which you want to multiply the underlying PnL vectors
   Absolute Amount	The amount you want to add to the underlying PnL vectors

4. Click Submit.

   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.

Scenario scaling

1. Select the TradeId(s) 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 or number of trades in name or number of scenarios]. The Scenario Scaling dialog box is displayed with information about the selected TradeId within the scenario.

2. In the Scenario Scaling dialog box, set a name for the branch where the system saves the result of the scaling. If the branch does not exist a new branch will be created.

3. Set the scale factor by which you want to multiply the underlying PnL vectors

4. Click Submit.

   In the Pivot table, if the Epoch dimension is selected, the new branch you created is displayed adjacent tot he 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.