Naming pattern: Measures with “Rank” behavior follow the name pattern:Main Measure Name Rank. Rank measures are derived from vectors of P&L values. The P&L values are sorted lowest to highest and assigned an integer value from 1 to the size of the vector. The sort order of the ranks matches the sort order of the P&L values. The Rank measure can be used to manually check tail measures such as VaR and ES. For example, the 97.5% ES on a vector of 250 P&L values will be the average of the bottom 6-7 values. These will be the values whose rank is between 1 and 7. Follow this link to see the measures with the described behavior: Rank MeasuresDocumentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
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