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Exposure

The Exposure worker calculates the delta-adjusted notional exposure of each security, converted to the portfolio's base currency, and returns the results as a datastore.

Parameters

Input

Field Description
Portfolio The target portfolio. Accepts Fixed Portfolio, Get Latest, or Upstream Data
Workspace Workspace of the portfolio. Accepts Fixed Workspace. Defaults to the current workspace
Gross Exposure Whether to calculate gross exposure. Accepts Boolean
Net Exposure Whether to calculate net exposure. Accepts Boolean
Factors Factor symbols for exposure calculation. Accepts Symbol. Default is no factors
Macro Exposures Whether to calculate macro exposures (Commodities, Credit, Equity, Rates). Accepts Boolean

Output

Field Description
Name Name of the output datastore. Accepts Template Text or Upstream Data. Defaults to the portfolio name
Date Date of the output datastore. Accepts Fixed Date or Upstream Data. Defaults to the portfolio date
Workspace Workspace where the output datastore will be saved. Accepts Fixed Workspace. Defaults to the portfolio workspace
Tags Tags for the output datastore. Accepts Fixed Tags or Upstream Data. Defaults to the portfolio tags
Storage Mode Transient — exists only within the current workflow run (default); Create — saves the datastore to the platform

Advanced

Field Description
Header Suffix Suffix appended to the end of property column names in the output datastore. Accepts Template Text or Upstream Data. Default is no suffix
Sampling Frequency at which historical prices and rates are sampled to compute risk factors. Use 1 for daily, 5 for weekly (non-overlapping). Default is 1
Days Number of historical business days used in the exposure calculation. Accepts Fixed Number. Default is 252

Result

Once the worker finishes successfully, it returns a result object containing the datastore. You can check the Output Types article to learn more about result object types.

  • Datastore (datastore)
  • ID (string)
  • Name (string)
  • Date (date)
  • Tags (list of strings)
  • Data (list of lists)

The Data component includes the following columns:

  • sec_gross_exposure
  • sec_net_exposure
  • sec_net_exposure_factor_*
  • sec_macro_exposure_commodities
  • sec_macro_exposure_credit
  • sec_macro_exposure_equity
  • sec_macro_exposure_rates
  • sec_macro_exposure_residual