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ETG and Weighted ETG

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DtD

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DtD % difference

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Previous

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Scenario name(s)

All measures in this section output a string.

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Values

All measures in this section output a string.

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With % difference

All measures in this section output a string.

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Booking

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Incremental booking

ETG Incremental Booking The sum of the PnLVector field of the TradePnLs store is used to compute the etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 an ETG measure with a confidence level defined by the ETGConfidenceLevel context value, using the VaR Interpolation method. ETG 97.5 Incremental Booking The sum of the PnLVector field of the TradePnLs store is used to compute the etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 an ETG measure with a 97.5% confidence level, using the VaR Interpolation method. ETG 99 Incremental Booking The sum of the PnLVector field of the TradePnLs store is used to compute the etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 an ETG measure with a 99% confidence level, using the VaR Interpolation method. Weighted ETG Incremental Booking The sum of the PnLVector field of the TradePnLs store is used to compute the weighted etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a confidence level defined by the ETGConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method. Weighted ETG 97.5 Incremental Booking The sum of the PnLVector field of the TradePnLs store is used to compute the weighted etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a 97.5% confidence level, using the VaR Interpolation method. Weighted ETG 99 Incremental Booking The sum of the PnLVector field of the TradePnLs store is used to compute the weighted etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a 99% confidence level, using the VaR Interpolation method.

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LEstimated booking

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Reference level

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Incremental reference level

ETG Incremental Reference Level The sum of the PnLVector field of the TradePnLs store is used to compute the etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a confidence level defined by the ETGConfidenceLevel context value, using the VaR Interpolation method. ETG 97.5 Incremental Reference Level The sum of the PnLVector field of the TradePnLs store is used to compute the etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a 97.5% confidence level, using the VaR Interpolation method. ETG 99 Incremental Reference Level The sum of the PnLVector field of the TradePnLs store is used to compute the etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a 99% confidence level, using the VaR Interpolation method. Weighted ETG Incremental Reference Level The sum of the PnLVector field of the TradePnLs store is used to compute the weighted etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a confidence level defined by the ETGConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method. Weighted ETG 97.5 Incremental Reference Level The sum of the PnLVector field of the TradePnLs store is used to compute the weighted etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a 97.5% confidence level, using the VaR Interpolation method. Weighted ETG 99 Incremental Reference Level The sum of the PnLVector field of the TradePnLs store is used to compute the weighted etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a 99% confidence level, using the VaR Interpolation method.

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LEstimated reference level

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Top

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Incremental top

ETG Incremental Top The sum of the PnLVector field of the TradePnLs store is used to compute the etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a confidence level defined by the ETGConfidenceLevel context value, using the VaR Interpolation method. ETG 97.5 Incremental Top The sum of the PnLVector field of the TradePnLs store is used to compute the etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a 97.5% confidence level, using the VaR Interpolation method. ETG 99 Incremental Top The sum of the PnLVector field of the TradePnLs store is used to compute the etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a 99% confidence level, using the VaR Interpolation method. Weighted ETG Incremental Top The sum of the PnLVector field of the TradePnLs store is used to compute the weighted etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a confidence level defined by the ETGConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method. Weighted ETG 97.5 Incremental Top The sum of the PnLVector field of the TradePnLs store is used to compute the weighted etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a 97.5% confidence level, using the VaR Interpolation method. Weighted ETG 99 Incremental Top The sum of the PnLVector field of the TradePnLs store is used to compute the weighted etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a 99% confidence level, using the VaR Interpolation method.

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LEstimated top

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Trades

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Incremental trades

ETG base has no Incremental Trades measure. This section covers ETG 97.5, ETG 99, and all Weighted ETG variants.
ETG 97.5 Incremental Trades The sum of the PnLVector field of the TradePnLs store is used to compute the etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 an ETG measure with a 97.5% confidence level, using the VaR Interpolation method. ETG 99 Incremental Trades The sum of the PnLVector field of the TradePnLs store is used to compute the etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 an ETG measure with a 99% confidence level, using the VaR Interpolation method. Weighted ETG Incremental Trades The sum of the PnLVector field of the TradePnLs store is used to compute the weighted etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a confidence level defined by the ETGConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method. Weighted ETG 97.5 Incremental Trades The sum of the PnLVector field of the TradePnLs store is used to compute the weighted etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a 97.5% confidence level, using the VaR Interpolation method. Weighted ETG 99 Incremental Trades The sum of the PnLVector field of the TradePnLs store is used to compute the weighted etg with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ETG measure with a 99% confidence level, using the VaR Interpolation method.

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LEstimated trades