Utility - Atoti Hub

Utility

Measure	Description	Required hierarchies
FxShiftVectorExpand	Shift vector used to bump the FX rate when moving to a base currency different from the current sensitivity currency, expanded into individual constituents	Scenarios, Currencies
TaylorVectorExpand	PnL Vector for the Taylor VaR, expanded into individual constituents	Scenarios
TaylorVectorExpand Native	PnL Vector for the Taylor VaR, expanded into individual constituents in the native currency	Scenarios, Currencies
Correlation PnLVectorExpand	PnL Vector generated by the Correlation sensitivity for the Taylor VaR, expanded into individual constituents	Scenarios
CrossGamma PnLVectorExpand	PnL Vector generated by the CrossGamma sensitivity for the Taylor VaR, expanded into individual constituents	Scenarios
Delta PnLVectorExpand	PnL Vector generated by the Delta sensitivity for the Taylor VaR, expanded into individual constituents	Scenarios
Gamma PnLVectorExpand	PnL Vector generated by the Gamma sensitivity for the Taylor VaR, expanded into individual constituents	Scenarios
Vanna PnLVectorExpand	PnL Vector generated by the Vanna sensitivity for the Taylor VaR, expanded into individual constituents	Scenarios
Vega PnLVectorExpand	PnL Vector generated by the Vega sensitivity for the Taylor VaR, expanded into individual constituents	Scenarios
Volga PnLVectorExpand	PnL Vector generated by the Volga sensitivity for the Taylor VaR, expanded into individual constituents	Scenarios
Volga Taylor Tail VaE	Best case PnL for the Volga sensitivity
Volga Taylor Tail VaR	Worst case PnL for the Volga sensitivity
contributors.COUNT.Sensi	Number of facts in the sensitivities cube
FxShiftVectorExpandSensi	Shift vector used to bump the FX rate when moving to a base currency different from the current sensitivity currency, expanded into individual constituents	Scenarios, Currencies
Sensi Trades Count	Number of trades having sensitivities
update.TIMESTAMP.Sensi	Technical measure showing last data update timestamp

TaylorVectorExpand

Expands the pnl.for.var.explain vector to the Scenarios hierarchy. The following 7 component vectors are summed to produce it:

Correlation.Vector.PnL.VarExplain
CrossGamma.Vector.PnL.VarExplain
Delta.Vector.PnL.VarExplain
Gamma.Vector.PnL.VarExplain
Vanna.Vector.PnL.VarExplain
Vega.Vector.PnL.VarExplain
Volga.Vector.PnL.VarExplain

TaylorVectorExpand Native is the same expansion expressed in the native currency (requires the Currencies hierarchy in addition to Scenarios).