Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
Use this file to discover all available pages before exploring further.
ES and Weighted ES
| Measure | Description | Relevant context values |
|---|
| ES | Expected shortfall | ESConfidenceLevel |
| ES 97.5 | Expected shortfall at 97.5% confidence level | |
| ES 99 | Expected shortfall at 99% confidence level | |
| Weighted ES | The Weighted variation of the ES measure. Please refer to the WHS calculations chapter | ESConfidenceLevel, WeightedVaRLambda |
| Weighted ES 97.5 | The Weighted variation of the ES measure at 97.5% confidence level. Please refer to the WHS calculations chapter | WeightedVaRLambda |
| Weighted ES 99 | The Weighted variation of the ES measure at 99% confidence level. Please refer to the WHS calculations chapter | WeightedVaRLambda |
DtD
| Measure | Description | Relevant context values |
|---|
| ES DtD | Change of ES from one day to another. By default DtD. | ESConfidenceLevel |
| ES 97.5 DtD | Change of ES 97.5 from one day to another. By default DtD. | |
| ES 99 DtD | Change of ES 99 from one day to another. By default DtD. | |
| Weighted ES DtD | Change of Weighted ES from one day to another. By default DtD. | ESConfidenceLevel, WeightedVaRLambda |
| Weighted ES 97.5 DtD | Change of Weighted ES from one day to another at 97.5% confidence level. By default DtD. | WeightedVaRLambda |
| Weighted ES 99 DtD | Change of Weighted ES from one day to another at 99% confidence level. By default DtD. | WeightedVaRLambda |
DtD % difference
| Measure | Description | Relevant context values |
|---|
| ES DtD % Difference | Percentage change of ES from one day to another. By default DtD. | ESConfidenceLevel |
| ES 97.5 DtD % Difference | Percentage change of ES 97.5 from one day to another. By default DtD. | |
| ES 99 DtD % Difference | Percentage change of ES 99 from one day to another. By default DtD. | |
| Weighted ES DtD % Difference | Percentage change of Weighted ES from one day to another. By default DtD. | ESConfidenceLevel, WeightedVaRLambda |
| Weighted ES 97.5 DtD % Difference | Percentage change of Weighted ES from one day to another at 97.5% confidence level. By default DtD. | WeightedVaRLambda |
| Weighted ES 99 DtD % Difference | Percentage change of Weighted ES from one day to another at 99% confidence level. By default DtD. | WeightedVaRLambda |
Previous
| Measure | Description | Relevant context values |
|---|
| ES Previous | The Expected Shortfall of the previous day | ESConfidenceLevel |
| ES 97.5 Previous | The Expected Shortfall of the previous day at 97.5% confidence level | |
| ES 99 Previous | The Expected Shortfall of the previous day at 99% confidence level | |
| Weighted ES Previous | The Weighted ES of the previous day | ESConfidenceLevel, WeightedVaRLambda |
| Weighted ES 97.5 Previous | The Weighted ES of the previous day at 97.5% confidence level | WeightedVaRLambda |
| Weighted ES 99 Previous | The Weighted ES of the previous day at 99% confidence level | WeightedVaRLambda |
Scenario name(s)
All measures in this section output a string.
| Measure | Description | Relevant context values |
|---|
| ES Scenario Name(s) | List of scenarios contributing to the ES. | ESConfidenceLevel |
| ES 97.5 Scenario Name(s) | List of scenario names contributing to the ES 97.5 calculation | |
| ES 99 Scenario Name(s) | List of scenario names contributing to the ES 99 calculation | |
| Weighted ES Scenario Name(s) | Scenarios that contribute to the weighted ES. | ESConfidenceLevel, WeightedVaRLambda |
| Weighted ES 97.5 Scenario Name(s) | Scenarios that contribute to the weighted ES at 97.5% confidence level. | WeightedVaRLambda |
| Weighted ES 99 Scenario Name(s) | Scenarios that contribute to the weighted ES at 99% confidence level. | WeightedVaRLambda |
Values
All measures in this section output a string.
| Measure | Description | Relevant context values |
|---|
| ES Values | PnL values that contribute to the ES. | ESConfidenceLevel |
| Weighted ES Values | PnL values that contribute to the weighted ES. | ESConfidenceLevel |
With % difference
All measures in this section output a string.
| Measure | Description | Relevant context values |
|---|
| ES with % Difference | ES with percentage difference in brackets. | ESConfidenceLevel |
| ES 97.5 with % Difference | ES 97.5 with percentage difference in brackets. | |
| ES 99 with % Difference | ES 99 with percentage difference in brackets. | |
| Weighted ES with % Difference | Weighted ES with percentage difference in brackets. | ESConfidenceLevel, WeightedVaRLambda |
| Weighted ES 97.5 with % Difference | Weighted ES with percentage difference in brackets at 97.5% confidence level. | WeightedVaRLambda |
| Weighted ES 99 with % Difference | Weighted ES with percentage difference in brackets at 99% confidence level. | WeightedVaRLambda |
Booking
Incremental booking
| Measure | Description | Related methodologies | Relevant context values | Required hierarchies |
|---|
| ES Incremental Booking | Incremental variation of the Expected shortfall that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | Incremental | ESConfidenceLevel | |
| ES 97.5 Incremental Booking | Incremental variation of the ES 97.5. Please refer to the Incremental Measures chapter linked below. | Incremental | | |
| ES 99 Incremental Booking | Incremental variation of the ES 99. Please refer to the Incremental Measures chapter linked below. | Incremental | | |
| Weighted ES Incremental Booking | Incremental variation of the Weighted ES that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | Incremental | ESConfidenceLevel, WeightedVaRLambda | BookHierarchy |
| Weighted ES 97.5 Incremental Booking | Incremental variation of the Weighted ES 97.5 that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | Incremental | WeightedVaRLambda | BookHierarchy |
| Weighted ES 99 Incremental Booking | Incremental variation of the Weighted ES 99 that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | Incremental | WeightedVaRLambda | BookHierarchy |
PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its drill-up value along the BookHierarchy hierarchy. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a confidence level defined by the ESConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method.
Weighted ES 97.5 Incremental Booking
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its drill-up value along the BookHierarchy hierarchy. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a 97.5% confidence level, using the VaR Interpolation method.
Weighted ES 99 Incremental Booking
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its drill-up value along the BookHierarchy hierarchy. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a 99% confidence level, using the VaR Interpolation method.
LEstimated booking
| Measure | Description | Related methodologies |
|---|
| ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall | Lestimated |
| ES 97.5 LEstimated Booking | Contribution of the upper Booking of ES 97.5 | Lestimated |
| ES 99 LEstimated Booking | Contribution of the upper Booking of ES 99 | Lestimated |
| Weighted ES LEstimated Booking | Contribution of the upper Booking of Weighted Expected Shortfall | Lestimated |
| Weighted ES 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted ES 97.5 | Lestimated |
| Weighted ES 99 LEstimated Booking | Contribution of the upper Booking of Weighted ES 99 | Lestimated |
Reference level
Incremental reference level
| Measure | Description | Related methodologies | Relevant context values |
|---|
| ES Incremental Reference Level | Incremental variation of the Expected Shortfall that computes the contribution of the nodes at the ReferenceLevel context value. | Incremental | ESConfidenceLevel |
| ES 97.5 Incremental Reference Level | Incremental variation of the ES 97.5. Please refer to the Incremental Measures chapter linked below. | Incremental | |
| ES 99 Incremental Reference Level | Incremental variation of the ES 99. Please refer to the Incremental Measures chapter linked below. | Incremental | |
| Weighted ES Incremental Reference Level | Incremental variation of the Weighted ES. Please refer to the Incremental Measures chapter linked below. | Incremental | ESConfidenceLevel, WeightedVaRLambda, ReferenceLevel |
| Weighted ES 97.5 Incremental Reference Level | Incremental variation of the Weighted ES 97.5. Please refer to the Incremental Measures chapter linked below. | Incremental | WeightedVaRLambda, ReferenceLevel |
| Weighted ES 99 Incremental Reference Level | Incremental variation of the Weighted ES 99. Please refer to the Incremental Measures chapter linked below. | Incremental | WeightedVaRLambda, ReferenceLevel |
PnLVector field of the TradePnLs store is used to compute the expected shortfall with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its value at the level defined by the ReferenceLevel context value. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as an ES measure with a confidence level defined by the ESConfidenceLevel context value, using the VaR Interpolation method.
Weighted ES Incremental Reference Level
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its value at the level defined by the ReferenceLevel context value. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a confidence level defined by the ESConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method.
Weighted ES 97.5 Incremental Reference Level
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its value at the level defined by the ReferenceLevel context value. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a 97.5% confidence level, using the VaR Interpolation method.
Weighted ES 99 Incremental Reference Level
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its value at the level defined by the ReferenceLevel context value. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a 99% confidence level, using the VaR Interpolation method.
LEstimated reference level
| Measure | Description | Related methodologies |
|---|
| ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall | Lestimated |
| ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of ES 97.5 | Lestimated |
| ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of ES 99 | Lestimated |
| Weighted ES LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Expected Shortfall | Lestimated |
| Weighted ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted ES 97.5 | Lestimated |
| Weighted ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted ES 99 | Lestimated |
Top
Incremental top
| Measure | Description | Related methodologies | Relevant context values |
|---|
| ES Incremental Top | Incremental variation of the Expected Shortfall that computes the contribution of the nodes at the grand total location. | Incremental | ESConfidenceLevel |
| ES 97.5 Incremental Top | Incremental variation of the ES 97.5. Please refer to the Incremental Measures chapter linked below. | Incremental | |
| ES 99 Incremental Top | Incremental variation of the ES 99. Please refer to the Incremental Measures chapter linked below. | Incremental | |
| Weighted ES Incremental Top | Incremental variation of the Weighted ES. Please refer to the Incremental Measures chapter linked below. | Incremental | ESConfidenceLevel, WeightedVaRLambda |
| Weighted ES 97.5 Incremental Top | Incremental variation of the Weighted ES 97.5. Please refer to the Incremental Measures chapter linked below. | Incremental | WeightedVaRLambda |
| Weighted ES 99 Incremental Top | Incremental variation of the Weighted ES 99. Please refer to the Incremental Measures chapter linked below. | Incremental | WeightedVaRLambda |
PnLVector field of the TradePnLs store is used to compute the expected shortfall with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its value at the grand total location. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as an ES measure with a confidence level defined by the ESConfidenceLevel context value, using the VaR Interpolation method.
Weighted ES Incremental Top
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its value at the grand total location. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a confidence level defined by the ESConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method.
Weighted ES 97.5 Incremental Top
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its value at the grand total location. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a 97.5% confidence level, using the VaR Interpolation method.
Weighted ES 99 Incremental Top
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its value at the grand total location. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a 99% confidence level, using the VaR Interpolation method.
LEstimated top
| Measure | Description | Related methodologies |
|---|
| ES LEstimated Top | Contribution of the upper Top of Expected Shortfall | Lestimated |
| ES 97.5 LEstimated Top | Contribution of the upper Top of ES 97.5 | Lestimated |
| ES 99 LEstimated Top | Contribution of the upper Top of ES 99 | Lestimated |
| Weighted ES LEstimated Top | Contribution of the upper Top of Weighted Expected Shortfall | Lestimated |
| Weighted ES 97.5 LEstimated Top | Contribution of the upper Top of Weighted ES 97.5 | Lestimated |
| Weighted ES 99 LEstimated Top | Contribution of the upper Top of Weighted ES 99 | Lestimated |
Trades
Incremental trades
| Measure | Description | Related methodologies | Relevant context values | Required hierarchies |
|---|
| ES Incremental Trades | Incremental variation of the Expected shortfall that computes the contribution of trades. Refer to the Incremental Measures chapter | Incremental | ESConfidenceLevel | |
| ES 97.5 Incremental Trades | Incremental variation of the ES 97.5. Please refer to the Incremental Measures chapter linked below. | Incremental | | |
| ES 99 Incremental Trades | Incremental variation of the ES 99. Please refer to the Incremental Measures chapter linked below. | Incremental | | |
| Weighted ES Incremental Trades | Incremental variation of the Weighted ES that computes the contribution of trades. Refer to the Incremental Measures chapter | Incremental | ESConfidenceLevel, WeightedVaRLambda | Trades |
| Weighted ES 97.5 Incremental Trades | Incremental variation of the Weighted ES 97.5 that computes the contribution of trades. Refer to the Incremental Measures chapter | Incremental | WeightedVaRLambda | Trades |
| Weighted ES 99 Incremental Trades | Incremental variation of the Weighted ES 99 that computes the contribution of trades. Refer to the Incremental Measures chapter | Incremental | WeightedVaRLambda | Trades |
PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its drill-up value along the Trades hierarchy. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a confidence level defined by the ESConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method.
Weighted ES 97.5 Incremental Trades
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its drill-up value along the Trades hierarchy. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a 97.5% confidence level, using the VaR Interpolation method.
Weighted ES 99 Incremental Trades
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its drill-up value along the Trades hierarchy. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a 99% confidence level, using the VaR Interpolation method.
LEstimated trades
| Measure | Description | Related methodologies |
|---|
| ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall | Lestimated |
| ES 97.5 LEstimated Trades | Contribution of the upper Trades of ES 97.5 | Lestimated |
| ES 99 LEstimated Trades | Contribution of the upper Trades of ES 99 | Lestimated |
| Weighted ES LEstimated Trades | Contribution of the upper Trades of Weighted Expected Shortfall | Lestimated |
| Weighted ES 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted ES 97.5 | Lestimated |
| Weighted ES 99 LEstimated Trades | Contribution of the upper Trades of Weighted ES 99 | Lestimated |
