Measures

The PFE cube wires three exposure families of measures from the netting-set analytics framework, plus technical support measures. Each family provides exposure vectors, exposure metrics, and incremental contribution measures. For the framework-level content (measure definitions, interfaces, and factory keys), see the framework pages linked in each section.

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What measure families does the PFE cube expose?

Within each exposure family, every measure group includes exposure vectors and exposure metrics (PFE, EE, ENE, ES, PFE Scenario Index, PFE Scenario Name). Each family also has a hidden inframarginal counterpart per metric, used only as an intermediate. Each metric also has a visible incremental contribution measure. Both live in the Incremental ... folders.

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Which collateral algorithm does the PFE cube use?

The PFE cube builds its collateralized measures for the Bilateral CSA algorithm, where both the bank and the counterparty can post collateral. They are in the Collateralized Exposures - Bilateral CSA folder. For what each algorithm computes, see Collateral algorithms.

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Does the PFE cube apply projected cashflows?

No. The cashflow measures exist and read zero, so gross exposure is the MtF sum alone. See Cashflow measures.

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Measure factories

The PFE cube uses measure factories to construct its measures. Each factory is identified by a plugin key. To replace a factory’s calculation logic, register a custom IMeasureFactory with the same plugin key for the PFE cube. The cube registers its own factories for itself, and a factory registered for a cube takes precedence over a global one, so a global registration does not replace them. See the common measures documentation for details on the factory pattern. The PFE cube defines no solution-specific factories; it wires only framework and common factories. The plugin keys of the framework measures (exposure metrics, netted exposure, inframarginal, and simulated cashflows) are documented in the framework pages linked from the measure-family sections above.

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Common factories used by the PFE cube

The following factories are provided by the common layer and are active in the PFE cube. For the full list of common factories, see the common measures reference. Incremental contribution measures are not factory-based: they are defined directly with the Atoti Configuration API as the difference between the parent value and the inframarginal value.

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How to add or modify measures

See the common measures documentation.