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

Ladder formulae

Adding a new formula

To add a new formula, create a new Extended Plugin that complies with the signature:

@QuartetExtendedPluginValue(intf = ILadderFormulaProvider.class, key = MyLadderFormula.PLUGIN_KEY)
public class MyLadderFormula implements ILadderFormulaProvider {

    public static final String PLUGIN_KEY = "MyLadderFormula";

    @Override public ILadderFormula getLadderFormula() {
        return MyLadderFormula::ladder;
    }
    
    public static double ladder(double shift, double shift1, double ladder1, double shift2, double ladder2, DoubleBinaryOperator pnlFormula,
            FormulaStep currentWindow) {
        //
        // Here comes you formula
        //
    }

    @Override public String getType() {
        return PLUGIN_KEY;
    }
}

The formula has to comply with the ILadderFormula interface. The function will be called and the result summed for each ladder step until the target shift is reached.

File values for formula configuration

formula.rule, formula.input and formula.type 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 :

formula.rule content description

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

The following formulae are available: