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Properties

The Properties worker calculates portfolio-level risk metrics including volatility, Value at Risk (VaR), Conditional VaR (CVaR), and risk factor exposures for each security and the portfolio as a whole, 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
Volatility Whether to calculate volatility at the Security, Standalone, Portfolio, and/or Risk Factor level. Accepts Boolean
VaR Whether to calculate Value at Risk at the Security, Standalone, Portfolio, and/or Risk Factor level. Accepts Boolean
CVaR Whether to calculate Conditional VaR at the Security, Standalone, Portfolio, and/or Risk Factor level. Accepts Boolean
Risk Factor Exposures Whether to calculate Risk Factor Exposures at the Security, Standalone, Portfolio, and/or Risk Factor level. 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
Fixed Income Mapping How fixed income securities are mapped to interest rate curves. Cashflows maps each cashflow event to key rate curve points; Duration uses Macaulay duration. Default is Duration
Days Number of historical business days used in the calculation. Default is 252
Exponential Decay Weighting factor determining the rate at which older data enters the calculation. Default is 0.94
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
Horizon The forecast horizon for calculation. Default is 1-day forecast
Confidence Confidence level for calculation. For example, at 95% confidence, the first 5% of simulations are used. Default is 95%

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:

  • factor_parametric_contribution_to_cvar_*
  • factor_parametric_contribution_to_var_*
  • factor_parametric_contribution_to_vol_*
  • port_parametric_cvar
  • port_parametric_var
  • port_parametric_vol
  • sec_parametric_contribution_to_cvar
  • sec_parametric_contribution_to_var
  • sec_parametric_contribution_to_vol
  • sec_parametric_factor_exposure_*
  • sec_parametric_no_sens_factor_exposure_*
  • sec_parametric_standalone_cvar
  • sec_parametric_standalone_var
  • sec_parametric_standalone_vol