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.

For more information on the PnL Explain calculation, see PnL Explain

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 Relative,1,1,true Formula for the equity correlation.
formula.rule.correlation.* Relative,1,1,true Formula for the non-equity correlation.
formula.rule.crossgamma.1.* Relative,1,1,true Formula for the risk 1st factor of cross gamma.
formula.rule.crossgamma.2.* Relative,1,1,true Formula for the risk 2nd factor of cross gamma.
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.*

note

For the dividend metric, the lookup is first on sensitivity_kind and then on sensitivity_name.

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 $$pnl = sensitivity \cdot \frac {\left ( 1 - \frac {quote_{T-1} \cdot priceFactor}{quote_T \cdot priceFactor} \right ) ^ {derivativeOrder}}{derivativeOrder!}$$