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Datastore Historical

The Datastore Historical worker calculates the historical magnitude of a security's reaction to changes in underlying factors, 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 and/or Portfolio level. Accepts Boolean
VaR Whether to calculate Value at Risk at the Security and/or Portfolio level. Accepts Boolean
CVaR Whether to calculate Conditional VaR at the Security and/or Portfolio level. Accepts Boolean
Stress Test Whether to calculate stress test results at the Security and/or Portfolio level. Accepts Boolean
BVaR Whether to calculate Portfolio BVaR. Accepts Boolean
Max Drawdown Whether to calculate Portfolio Max Drawdown. 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
Days Number of business days used to calculate the covariance for the primitive risk factors. 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. Produces a range of outcomes for each security via their underlying factors across a specific date range. Default is 1-day forecast
Confidence Confidence level for calculation. For example, at 95% confidence with 10,000 simulations, the first 5% (500 samples) are used. Default is 95%

Result

Once the worker finishes successfully, it returns a result object containing the datastore.

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

The Data component includes the following columns:

  • port_historical_bvar
  • port_historical_cvar
  • port_historical_max_drawdown
  • port_historical_st_date
  • port_historical_st_value
  • port_historical_var
  • port_historical_vol
  • sec_historical_cvar
  • sec_historical_st_value
  • sec_historical_var
  • sec_historical_vol