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Correlation PnL Explain
| Description |
Correlation-driven PL estimate expressed in the display currency |
The currency is held by the Currencies hierarchy.
The PnL Explain expressed in native currency is displayed by the Correlation PnL Explain Native measure.
$$\text{Correlation PnL Explain}_{day}=\text{Correlation PnL Explain Native}_{day}\cdot{\text{FX}_\text{Ccy,day-1}}$$
Please note that the date shift described in the PnL Explain methodology is done after the FX conversion.
Configuration of the calculation
The calculation is defined by the mr.sensi.rules.correlation.pnl-explain.* properties.