ES
| Measure | Description | Relevant context values |
|---|---|---|
| ESFXVector | Technical measure | |
| ESIndices | Technical measure | |
| ESSubVector | Technical measure | |
| ESBookHierarchyFXVectorParentValue | Technical measure | |
| ESBookingFXVectorParentValue | Technical measure | |
| ESRiskClassFXVectorParentValue | Technical measure | |
| ESTradesFXVectorParentValue | Technical measure | |
| ES97.5Indices | Technical measure | |
| ES99Indices | Technical measure | |
| ESNeighbourValue | ES as of previous date (by default T-1) | ESConfidenceLevel |
| ES97.5NeighbourValue | ES 97.5 as of previous date (by default T-1) | |
| ES99NeighbourValue | Technical measure | |
| CommodityESFXVector | Technical measure | |
| EquityESFXVector | Technical measure | |
| FXESFXVector | Technical measure | |
| GIRRESFXVector | Technical measure |
VaR
| Measure | Description | Relevant context values |
|---|---|---|
| VaRFXVector | Technical measure | |
| VaRIndices | Technical measure | |
| VaRSubVector | Technical measure | |
| VaRBookHierarchyFXVectorParentValue | Technical measure | |
| VaRBookingFXVectorParentValue | Technical measure | |
| VaRRiskClassFXVectorParentValue | Technical measure | |
| VaRTradesFXVectorParentValue | Technical measure | |
| VaR97.5Indices | Technical measure | |
| VaR99Indices | Technical measure | |
| VaRNeighbourValue | VaR as of previous date (by default T-1) | VaRConfidenceLevel |
| VaR97.5NeighbourValue | VaR 97.5 as of previous date (by default T-1) | |
| VaR99NeighbourValue | VaR 99 as of previous date (by default T-1) | |
| CommodityVaRFXVector | Technical measure | |
| EquityVaRFXVector | Technical measure | |
| FXVaRFXVector | Technical measure | |
| GIRRVaRFXVector | Technical measure | |
| TailVaRIndex | Technical measure |
VaE
| Measure | Description | Relevant context values |
|---|---|---|
| VaEFXVector | Technical measure | |
| VaESubVector | Technical measure | |
| VaEBookHierarchyFXVectorParentValue | Technical measure | |
| VaEBookingFXVectorParentValue | Technical measure | |
| VaERiskClassFXVectorParentValue | Technical measure | |
| VaETradesFXVectorParentValue | Technical measure | |
| VaENeighbourValue | VaE as of previous date (by default T-1) | VAEConfidenceLevel |
| VaE97.5NeighbourValue | VaE 97.5 as of previous date (by default T-1) | |
| VaE99NeighbourValue | VaE 99 as of previous date (by default T-1) | |
| CommodityVaEFXVector | Technical measure | |
| EquityVaEFXVector | Technical measure | |
| FXVaEFXVector | Technical measure | |
| GIRRVaEFXVector | Technical measure | |
| TailVaEIndex | Technical measure |
CSR FX vectors
| Measure | Description |
|---|---|
| CSR non-SecESFXVector | Technical measure |
| CSR non-SecVaEFXVector | Technical measure |
| CSR non-SecVaRFXVector | Technical measure |
| CSR Sec CTPESFXVector | Technical measure |
| CSR Sec CTPVaEFXVector | Technical measure |
| CSR Sec CTPVaRFXVector | Technical measure |
| CSR Sec non-CTPESFXVector | Technical measure |
| CSR Sec non-CTPVaEFXVector | Technical measure |
| CSR Sec non-CTPVaRFXVector | Technical measure |
PnL vector
| Measure | Description |
|---|---|
| PnLVector.COUNT | Technical measure |
| PnLVector.SUM | Technical measure |
| PnLVectorExpandNeighbourValue | PnLVectorExpand as of previous date (by default T-1) |