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.
VaE and Weighted VaE
| Measure | Description | Relevant context values |
|---|
| VaE | Value-at-Earning | VaEConfidenceLevel |
| VaE 97.5 | VaE at 97.5% confidence level | |
| VaE 99 | VaE at 99% confidence level | |
| Parametric VaE | Parametric Value-at-Earning | VaEConfidenceLevel |
| Weighted VaE | The Weighted variation of the VaE measure. Please refer to the WHS calculations chapter | VaEConfidenceLevel, WeightedVaRLambda |
| Weighted VaE 97.5 | The Weighted variation of the VaE measure at 97.5% confidence level. Please refer to the WHS calculations chapter | WeightedVaRLambda |
| Weighted VaE 99 | The Weighted variation of the VaE measure at 99% confidence level. Please refer to the WHS calculations chapter | WeightedVaRLambda |
DtD
| Measure | Description | Relevant context values |
|---|
| VaE DtD | Change of VaE from one day to another. By default DtD. | VaEConfidenceLevel |
| VaE 97.5 DtD | Change of VaE 97.5 from one day to another. By default DtD. | |
| VaE 99 DtD | Change of VaE 99 from one day to another. By default DtD. | |
| Weighted VaE DtD | Change of Weighted VaE from one day to another. By default DtD. | VaEConfidenceLevel, WeightedVaRLambda |
| Weighted VaE 97.5 DtD | Change of Weighted VaE from one day to another at 97.5% confidence level. By default DtD. | WeightedVaRLambda |
| Weighted VaE 99 DtD | Change of Weighted VaE from one day to another at 99% confidence level. By default DtD. | WeightedVaRLambda |
DtD % difference
| Measure | Description | Relevant context values |
|---|
| VaE DtD % Difference | Percentage change of VaE from one day to another. By default DtD. | VaEConfidenceLevel |
| VaE 97.5 DtD % Difference | Percentage change of VaE 97.5 from one day to another. By default DtD. | VaEConfidenceLevel |
| VaE 99 DtD % Difference | Percentage change of VaE 99 from one day to another. By default DtD. | VaEConfidenceLevel |
| Weighted VaE DtD % Difference | Percentage change of Weighted VaE from one day to another. By default DtD. | VaEConfidenceLevel, WeightedVaRLambda |
| Weighted VaE 97.5 DtD % Difference | Percentage change of Weighted VaE from one day to another at 97.5% confidence level. By default DtD. | WeightedVaRLambda |
| Weighted VaE 99 DtD % Difference | Percentage change of Weighted VaE from one day to another at 99% confidence level. By default DtD. | WeightedVaRLambda |
Previous
| Measure | Description | Relevant context values |
|---|
| VaE Previous | Value-at-Earning for the previous day. | VaEConfidenceLevel |
| VaE 97.5 Previous | Value-at-Earning for the previous day at 97.5% confidence level. | VaEConfidenceLevel |
| VaE 99 Previous | Value-at-Earning for the previous day at 99% confidence level. | VaEConfidenceLevel |
| Weighted VaE Previous | The Weighted VaE of the previous day | VaEConfidenceLevel, WeightedVaRLambda |
| Weighted VaE 97.5 Previous | The Weighted VaE of the previous day at 97.5% confidence level | WeightedVaRLambda |
| Weighted VaE 99 Previous | The Weighted VaE 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 |
|---|
| VaE Scenario Name(s) | List of scenario names contributing to the VaE calculation | VaEConfidenceLevel |
| VaE 97.5 Scenario Name(s) | List of scenario names contributing to the VaE calculation at 97.5% confidence level | VaEConfidenceLevel |
| VaE 99 Scenario Name(s) | List of scenario names contributing to the VaE calculation at 99% confidence level | VaEConfidenceLevel |
| Weighted VaE Scenario Name(s) | Scenarios that contribute to the weighted VaE. | VaEConfidenceLevel, WeightedVaRLambda |
| Weighted VaE 97.5 Scenario Name(s) | Scenarios that contribute to the weighted VaE at 97.5% confidence level. | WeightedVaRLambda |
| Weighted VaE 99 Scenario Name(s) | Scenarios that contribute to the weighted VaE at 99% confidence level. | WeightedVaRLambda |
Values
All measures in this section output a string.
| Measure | Description | Relevant context values |
|---|
| VaE Values | PnL values that contribute to the VaE. | VaEConfidenceLevel |
| Weighted VaE Values | PnL values that contribute to the weighted VaE. | VaEConfidenceLevel |
| Weighted VaE 97.5 Values | PnL values that contribute to the weighted VaE at 97.5% confidence level. | |
| Weighted VaE 99 Values | PnL values that contribute to the weighted VaE at 99% confidence level. | |
With % difference
All measures in this section output a string.
| Measure | Description | Relevant context values |
|---|
| VaE with % Difference | VaE with percentage difference in brackets. | VaEConfidenceLevel |
| VaE 97.5 with % Difference | VaE with percentage difference in brackets at 97.5% confidence level. | VaEConfidenceLevel |
| VaE 99 with % Difference | VaE with percentage difference in brackets at 99% confidence level. | VaEConfidenceLevel |
| Weighted VaE with % Difference | Weighted VaE with percentage difference in brackets. | VaEConfidenceLevel, WeightedVaRLambda |
| Weighted VaE 97.5 with % Difference | Weighted VaE with percentage difference in brackets at 97.5% confidence level. | WeightedVaRLambda |
| Weighted VaE 99 with % Difference | Weighted VaE with percentage difference in brackets at 99% confidence level. | WeightedVaRLambda |
Booking
Incremental booking
| Measure | Description | Related methodologies | Relevant context values | Required hierarchies |
|---|
| VaE Incremental Booking | Incremental variation of the VaE that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | Incremental | VaEConfidenceLevel | BookHierarchy |
| VaE 97.5 Incremental Booking | Incremental variation of the VaE 97.5 that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | Incremental | | BookHierarchy |
| VaE 99 Incremental Booking | Incremental variation of the VaE 99 that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | Incremental | | BookHierarchy |
| Weighted VaE Incremental Booking | Incremental variation of the Weighted VaE that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | Incremental | VaEConfidenceLevel, WeightedVaRLambda | BookHierarchy |
| Weighted VaE 97.5 Incremental Booking | Incremental variation of the Weighted VaE 97.5 that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | Incremental | WeightedVaRLambda | BookHierarchy |
| Weighted VaE 99 Incremental Booking | Incremental variation of the Weighted VaE 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 vae 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 VaE measure with a confidence level defined by the VaEConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method.
Weighted VaE 97.5 Incremental Booking
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted vae 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 VaE measure with a 97.5% confidence level, using the VaR Interpolation method.
Weighted VaE 99 Incremental Booking
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted vae 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 VaE measure with a 99% confidence level, using the VaR Interpolation method.
LEstimated booking
| Measure | Description | Related methodologies |
|---|
| VaE LEstimated Booking | Contribution of the upper Booking of Value at Earning | Lestimated |
| VaE 97.5 LEstimated Booking | Contribution of the upper Booking of VaE 97.5 | Lestimated |
| VaE 99 LEstimated Booking | Contribution of the upper Booking of VaE 99 | Lestimated |
| Weighted VaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings | Lestimated |
| Weighted VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted VaE 97.5 | Lestimated |
| Weighted VaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted VaE 99 | Lestimated |
Reference level
Incremental reference level
| Measure | Description | Related methodologies | Relevant context values |
|---|
| VaE Incremental Reference Level | Incremental variation of the VaE. Please refer to the Incremental Measures chapter linked below. | Incremental | VaEConfidenceLevel, ReferenceLevel |
| VaE 97.5 Incremental Reference Level | Incremental variation of the VaE 97.5. Please refer to the Incremental Measures chapter linked below. | Incremental | ReferenceLevel |
| VaE 99 Incremental Reference Level | Incremental variation of the VaE 99. Please refer to the Incremental Measures chapter linked below. | Incremental | ReferenceLevel |
| Weighted VaE Incremental Reference Level | Incremental variation of the Weighted VaE. Please refer to the Incremental Measures chapter linked below. | Incremental | VaEConfidenceLevel, WeightedVaRLambda, ReferenceLevel |
| Weighted VaE 97.5 Incremental Reference Level | Incremental variation of the Weighted VaE 97.5. Please refer to the Incremental Measures chapter linked below. | Incremental | WeightedVaRLambda, ReferenceLevel |
| Weighted VaE 99 Incremental Reference Level | Incremental variation of the Weighted VaE 99. Please refer to the Incremental Measures chapter linked below. | Incremental | WeightedVaRLambda, ReferenceLevel |
PnLVector field of the TradePnLs store is used to compute the vae 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 VaE measure with a confidence level defined by the VaEConfidenceLevel context value, using the VaR Interpolation method.
Weighted VaE Incremental Reference Level
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted vae 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 VaE measure with a confidence level defined by the VaEConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method.
Weighted VaE 97.5 Incremental Reference Level
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted vae 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 VaE measure with a 97.5% confidence level, using the VaR Interpolation method.
Weighted VaE 99 Incremental Reference Level
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted vae 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 VaE measure with a 99% confidence level, using the VaR Interpolation method.
LEstimated reference level
| Measure | Description | Related methodologies |
|---|
| VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earning | Lestimated |
| VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of VaE 97.5 | Lestimated |
| VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of VaE 99 | Lestimated |
| Weighted VaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earning | Lestimated |
| Weighted VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted VaE 97.5 | Lestimated |
| Weighted VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted VaE 99 | Lestimated |
Top
Incremental top
| Measure | Description | Related methodologies | Relevant context values |
|---|
| VaE Incremental Top | Incremental variation of the VaE. Please refer to the Incremental Measures chapter linked below. | Incremental | VaEConfidenceLevel |
| VaE 97.5 Incremental Top | Incremental variation of the VaE 97.5. Please refer to the Incremental Measures chapter linked below. | Incremental | |
| VaE 99 Incremental Top | Incremental variation of the VaE 99. Please refer to the Incremental Measures chapter linked below. | Incremental | |
| Weighted VaE Incremental Top | Incremental variation of the Weighted VaE. Please refer to the Incremental Measures chapter linked below. | Incremental | VaEConfidenceLevel, WeightedVaRLambda |
| Weighted VaE 97.5 Incremental Top | Incremental variation of the Weighted VaE 97.5. Please refer to the Incremental Measures chapter linked below. | Incremental | WeightedVaRLambda |
| Weighted VaE 99 Incremental Top | Incremental variation of the Weighted VaE 99. Please refer to the Incremental Measures chapter linked below. | Incremental | WeightedVaRLambda |
PnLVector field of the TradePnLs store is used to compute the vae 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 VaE measure with a confidence level defined by the VaEConfidenceLevel context value, using the VaR Interpolation method.
Weighted VaE Incremental Top
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted vae 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 VaE measure with a confidence level defined by the VaEConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method.
Weighted VaE 97.5 Incremental Top
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted vae 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 VaE measure with a 97.5% confidence level, using the VaR Interpolation method.
Weighted VaE 99 Incremental Top
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted vae 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 VaE measure with a 99% confidence level, using the VaR Interpolation method.
LEstimated top
| Measure | Description | Related methodologies |
|---|
| VaE LEstimated Top | Contribution of the upper Top of Value at Earning | Lestimated |
| VaE 97.5 LEstimated Top | Contribution of the upper Top of VaE 97.5 | Lestimated |
| VaE 99 LEstimated Top | Contribution of the upper Top of VaE 99 | Lestimated |
| Weighted VaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earning | Lestimated |
| Weighted VaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted VaE 97.5 | Lestimated |
| Weighted VaE 99 LEstimated Top | Contribution of the upper Top of Weighted VaE 99 | Lestimated |
Trades
Incremental trades
VaE does not have an Incremental Trades measure. This section covers VaE 97.5, VaE 99, and all Weighted VaE variants.
| Measure | Description | Related methodologies | Relevant context values | Required hierarchies |
|---|
| VaE 97.5 Incremental Trades | Incremental variation of the VaE 97.5 that computes the contribution of trades. Refer to the Incremental Measures chapter | Incremental | | Trades |
| VaE 99 Incremental Trades | Incremental variation of the VaE 99 that computes the contribution of trades. Refer to the Incremental Measures chapter | Incremental | | Trades |
| Weighted VaE Incremental Trades | Incremental variation of the Weighted VaE that computes the contribution of trades. Refer to the Incremental Measures chapter | Incremental | VaEConfidenceLevel, WeightedVaRLambda | Trades |
| Weighted VaE 97.5 Incremental Trades | Incremental variation of the Weighted VaE 97.5 that computes the contribution of trades. Refer to the Incremental Measures chapter | Incremental | WeightedVaRLambda | Trades |
| Weighted VaE 99 Incremental Trades | Incremental variation of the Weighted VaE 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 vae 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 VaE measure with a confidence level defined by the VaEConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method.
Weighted VaE 97.5 Incremental Trades
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted vae 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 VaE measure with a 97.5% confidence level, using the VaR Interpolation method.
Weighted VaE 99 Incremental Trades
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted vae 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 VaE measure with a 99% confidence level, using the VaR Interpolation method.
LEstimated trades
| Measure | Description | Related methodologies |
|---|
| VaE LEstimated Trades | Contribution of the upper Trades of Value at Earning | Lestimated |
| VaE 97.5 LEstimated Trades | Contribution of the upper Trades of VaE 97.5 | Lestimated |
| VaE 99 LEstimated Trades | Contribution of the upper Trades of VaE 99 | Lestimated |
| Weighted VaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earning | Lestimated |
| Weighted VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted VaE 97.5 | Lestimated |
| Weighted VaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted VaE 99 | Lestimated |
