com.powerpilot

Type RiskModelSpan

com.powerpilot.0.2300
Instance of Type
Inheriting from RiskModel

Known instances are Default SPAN risk

Type data Value

org.uninode.Type.displayPattern {att:org.unizone.finance.portfolio.RiskModel.name}

Attribute summary Defined in Uninode® Id Properties Default

Real cappingLimitLower RiskModelSpan com.powerpilot.0.2307 0,04

Real cappingLimitUpper RiskModelSpan com.powerpilot.0.2306 0,45

Text correlMatrix
The format is
1,(days0),(days1)...,(daysN); (days0),(value0x0)...,(value0xN); (days1),(value1x0)...,(value1xN); ... (daysN),(valueNx0)...,(valueNxN)
RiskModelSpan com.powerpilot.0.2312 1, 1, 8, 15, 22, 29, 36, 43, 50, 57, 85, 113, 141, 169, 197, 225, 337, 393, 540, 603, 729, 1095; 1, 1.000, 0.080, -0.035, -0.017, -0.044, -0.087, -0.144, -0.001, 0.052, -0.013, 0.125, 0.083, 0.080, 0.071, 0.067, 0.090, 0.068, 0.027, 0.024, -0.057, -0.010; 8, 0.080, 1.000, 0.883, 0.838, 0.770, 0.731, 0.660, 0.676, 0.671, 0.614, 0.644, 0.637, 0.624, 0.627, 0.639, 0.590, 0.592, 0.569, 0.535, 0.491, 0.464; 15, -0.035, 0.883, 1.000, 0.916, 0.857, 0.830, 0.782, 0.772, 0.790, 0.742, 0.746, 0.749, 0.726, 0.725, 0.730, 0.712, 0.696, 0.689, 0.638, 0.562, 0.509; 22, -0.017, 0.838, 0.916, 1.000, 0.919, 0.880, 0.812, 0.810, 0.840, 0.786, 0.790, 0.789, 0.755, 0.753, 0.758, 0.725, 0.728, 0.652, 0.653, 0.606, 0.522; 29, -0.044, 0.770, 0.857, 0.919, 1.000, 0.896, 0.840, 0.845, 0.849, 0.799, 0.809, 0.805, 0.778, 0.766, 0.761, 0.729, 0.724, 0.692, 0.667, 0.559, 0.546; 36, -0.087, 0.731, 0.830, 0.880, 0.896, 1.000, 0.878, 0.870, 0.886, 0.825, 0.812, 0.812, 0.796, 0.788, 0.792, 0.753, 0.745, 0.679, 0.683, 0.593, 0.566; 43, -0.144, 0.660, 0.782, 0.812, 0.840, 0.878, 1.000, 0.963, 0.940, 0.873, 0.868, 0.864, 0.847, 0.836, 0.837, 0.800, 0.763, 0.736, 0.732, 0.620, 0.614; 50, -0.001, 0.676, 0.772, 0.810, 0.845, 0.870, 0.963, 1.000, 0.967, 0.866, 0.880, 0.857, 0.838, 0.830, 0.824, 0.799, 0.774, 0.730, 0.713, 0.625, 0.631; 57, 0.052, 0.671, 0.790, 0.840, 0.849, 0.886, 0.940, 0.967, 1.000, 0.889, 0.902, 0.883, 0.864, 0.851, 0.841, 0.837, 0.815, 0.747, 0.749, 0.686, 0.669; 85, -0.013, 0.614, 0.742, 0.786, 0.799, 0.825, 0.873, 0.866, 0.889, 1.000, 0.917, 0.914, 0.898, 0.874, 0.859, 0.824, 0.825, 0.794, 0.798, 0.672, 0.672; 113, 0.125, 0.644, 0.746, 0.790, 0.809, 0.812, 0.868, 0.880, 0.902, 0.917, 1.000, 0.984, 0.969, 0.951, 0.933, 0.884, 0.869, 0.824, 0.826, 0.711, 0.732; 141, 0.083, 0.637, 0.749, 0.789, 0.805, 0.812, 0.864, 0.857, 0.883, 0.914, 0.984, 1.000, 0.986, 0.970, 0.955, 0.904, 0.889, 0.856, 0.861, 0.740, 0.757; 169, 0.080, 0.624, 0.726, 0.755, 0.778, 0.796, 0.847, 0.838, 0.864, 0.898, 0.969, 0.986, 1.000, 0.985, 0.970, 0.904, 0.883, 0.850, 0.855, 0.751, 0.767; 197, 0.071, 0.627, 0.725, 0.753, 0.766, 0.788, 0.836, 0.830, 0.851, 0.874, 0.951, 0.970, 0.985, 1.000, 0.984, 0.915, 0.891, 0.852, 0.855, 0.758, 0.776; 225, 0.067, 0.639, 0.730, 0.758, 0.761, 0.792, 0.837, 0.824, 0.841, 0.859, 0.933, 0.955, 0.970, 0.984, 1.000, 0.923, 0.891, 0.849, 0.864, 0.766, 0.804; 337, 0.090, 0.590, 0.712, 0.725, 0.729, 0.753, 0.800, 0.799, 0.837, 0.824, 0.884, 0.904, 0.904, 0.915, 0.923, 1.000, 0.969, 0.852, 0.876, 0.821, 0.791; 393, 0.068, 0.592, 0.696, 0.728, 0.724, 0.745, 0.763, 0.774, 0.815, 0.825, 0.869, 0.889, 0.883, 0.891, 0.891, 0.969, 1.000, 0.835, 0.848, 0.795, 0.763; 540, 0.027, 0.569, 0.689, 0.652, 0.692, 0.679, 0.736, 0.730, 0.747, 0.794, 0.824, 0.856, 0.850, 0.852, 0.849, 0.852, 0.835, 1.000, 0.925, 0.735, 0.730; 603, 0.024, 0.535, 0.638, 0.653, 0.667, 0.683, 0.732, 0.713, 0.749, 0.798, 0.826, 0.861, 0.855, 0.855, 0.864, 0.876, 0.848, 0.925, 1.000, 0.780, 0.772; 729, -0.057, 0.491, 0.562, 0.606, 0.559, 0.593, 0.620, 0.625, 0.686, 0.672, 0.711, 0.740, 0.751, 0.758, 0.766, 0.821, 0.795, 0.735, 0.780, 1.000, 0.707; 1095, -0.010, 0.464, 0.509, 0.522, 0.546, 0.566, 0.614, 0.631, 0.669, 0.672, 0.732, 0.757, 0.767, 0.776, 0.804, 0.791, 0.763, 0.730, 0.772, 0.707, 1.000

Real currencyExchangeLoss
Percentage loss when changing currency RiskModelSpan com.powerpilot.0.2309 2,25

Text dayVolatilities
The format is
(days0),(value0); (days1),(value1); ... (daysN),(valueN);
RiskModelSpan com.powerpilot.0.2311 0, 0.10386405; 1, 0.10386405; 8, 0.0316596; 15, 0.02960415; 22, 0.0264729; 29, 0.02357175; 36, 0.0227508; 43, 0.0231972; 50, 0.02475975; 57, 0.02475975; 85, 0.0240519; 113, 0.0242103; 141, 0.0242103; 169, 0.02367345; 197, 0.02287935; 225, 0.0220023; 337, 0.0120009; 393, 0.0110394; 540, 0.0100072; 603, 0.0100072; 729, 0.0087498; 1095, 0.0065179; 100000, 0.0065179

Int optionHorizonDiff
The number of days used for determining the time horizon of options, compared to contract horizon. RiskModelSpan com.powerpilot.0.2308 -1

String priceScenarioWindows
A list of price scenario windows, from top to bottom. The correlation is separated from the max price scenario difference by a colon, and the pairs are separated by semicolons, e.g. 0.97:0;0.92:1;0.86:2;0.8:3;0.74:4;0.68:5;-1:1000 RiskModelSpan com.powerpilot.0.2314 0.97:0;0.92:1;0.86:2;0.8:3;0.74:4;0.68:5;-1:1000

Real rate
The mathematical rate for risk calculations. RiskModelSpan com.powerpilot.0.2310 6

String riskIntervalCorrectionFactors
Maps name prefix to a correlation factor, with a colon between prefix and factor and semicolons between pairs, e.g. SYSTO:0.3;SYHEL:0.3 RiskModelSpan com.powerpilot.0.2313 SYSTO:0.3;SYHEL:0.3;SYOSL:0.2;SYARH:0.6;SYCPH:0.6

Real riskIntervalMultiplier RiskModelSpan com.powerpilot.0.2302 6,7

Text scenarios
Scenarios describe price-, vol- and currency scenarios.
The format is
[<priceScenario>]'<linebreak>'*
<priceScenario>: [pMult:<multiplierSet>;][cov:<coverage>;][<volScenario>]';'*
<multiplierSet>: [<number>]'/'* default is 0
<coverage>: <number> default is 1
volScenario: vMult:<multiplierSet>,<currencyScenario>
currencyScenario: cMult:<multiplierSet>
e.g.
pMult:-2.5;cov:0.35;vMult:1,cMult:-0.0225/0.0225
pMult:-1/-0.66666/-0.33333/0/0.33333/0.66666/1;vMult:0.7/1.4,cMult:-0.0225/0.0225
pMult:2.5;cov:0.35;vMult:1,cMult:-0.0225/0.0225

RiskModelSpan com.powerpilot.0.2301

Int timeHorizonDays
Days to time horizon. Bank days for scenario risk, natural days for liquidation value. RiskModelSpan com.powerpilot.0.2305 1

Boolean timespreadByDelta
True if timespread uses delta for options, false if timespread uses quantity. RiskModelSpan com.powerpilot.0.2303 N

Boolean useCapping
True if risk interval is capped by upper and lower limit. RiskModelSpan com.powerpilot.0.2304 Y

String toString
This is the display string. Node org.uninode.0.102

Type type
The type of an object determines the behaviour and attributes of the object. Node org.uninode.0.101

String uri Node org.uninode.0.103

String name RiskModel org.unizone.0.6731

Int version RiskModel org.unizone.0.6732 1

Type data	Value
org.uninode.Type.displayPattern	{att:org.unizone.finance.portfolio.RiskModel.name}

Attribute summary		Defined in	Uninode® Id	Properties	Default
Real	cappingLimitLower	RiskModelSpan	com.powerpilot.0.2307		0,04
Real	cappingLimitUpper	RiskModelSpan	com.powerpilot.0.2306		0,45
Text	correlMatrix The format is 1,(days0),(days1)...,(daysN); (days0),(value0x0)...,(value0xN); (days1),(value1x0)...,(value1xN); ... (daysN),(valueNx0)...,(valueNxN)	RiskModelSpan	com.powerpilot.0.2312		1, 1, 8, 15, 22, 29, 36, 43, 50, 57, 85, 113, 141, 169, 197, 225, 337, 393, 540, 603, 729, 1095; 1, 1.000, 0.080, -0.035, -0.017, -0.044, -0.087, -0.144, -0.001, 0.052, -0.013, 0.125, 0.083, 0.080, 0.071, 0.067, 0.090, 0.068, 0.027, 0.024, -0.057, -0.010; 8, 0.080, 1.000, 0.883, 0.838, 0.770, 0.731, 0.660, 0.676, 0.671, 0.614, 0.644, 0.637, 0.624, 0.627, 0.639, 0.590, 0.592, 0.569, 0.535, 0.491, 0.464; 15, -0.035, 0.883, 1.000, 0.916, 0.857, 0.830, 0.782, 0.772, 0.790, 0.742, 0.746, 0.749, 0.726, 0.725, 0.730, 0.712, 0.696, 0.689, 0.638, 0.562, 0.509; 22, -0.017, 0.838, 0.916, 1.000, 0.919, 0.880, 0.812, 0.810, 0.840, 0.786, 0.790, 0.789, 0.755, 0.753, 0.758, 0.725, 0.728, 0.652, 0.653, 0.606, 0.522; 29, -0.044, 0.770, 0.857, 0.919, 1.000, 0.896, 0.840, 0.845, 0.849, 0.799, 0.809, 0.805, 0.778, 0.766, 0.761, 0.729, 0.724, 0.692, 0.667, 0.559, 0.546; 36, -0.087, 0.731, 0.830, 0.880, 0.896, 1.000, 0.878, 0.870, 0.886, 0.825, 0.812, 0.812, 0.796, 0.788, 0.792, 0.753, 0.745, 0.679, 0.683, 0.593, 0.566; 43, -0.144, 0.660, 0.782, 0.812, 0.840, 0.878, 1.000, 0.963, 0.940, 0.873, 0.868, 0.864, 0.847, 0.836, 0.837, 0.800, 0.763, 0.736, 0.732, 0.620, 0.614; 50, -0.001, 0.676, 0.772, 0.810, 0.845, 0.870, 0.963, 1.000, 0.967, 0.866, 0.880, 0.857, 0.838, 0.830, 0.824, 0.799, 0.774, 0.730, 0.713, 0.625, 0.631; 57, 0.052, 0.671, 0.790, 0.840, 0.849, 0.886, 0.940, 0.967, 1.000, 0.889, 0.902, 0.883, 0.864, 0.851, 0.841, 0.837, 0.815, 0.747, 0.749, 0.686, 0.669; 85, -0.013, 0.614, 0.742, 0.786, 0.799, 0.825, 0.873, 0.866, 0.889, 1.000, 0.917, 0.914, 0.898, 0.874, 0.859, 0.824, 0.825, 0.794, 0.798, 0.672, 0.672; 113, 0.125, 0.644, 0.746, 0.790, 0.809, 0.812, 0.868, 0.880, 0.902, 0.917, 1.000, 0.984, 0.969, 0.951, 0.933, 0.884, 0.869, 0.824, 0.826, 0.711, 0.732; 141, 0.083, 0.637, 0.749, 0.789, 0.805, 0.812, 0.864, 0.857, 0.883, 0.914, 0.984, 1.000, 0.986, 0.970, 0.955, 0.904, 0.889, 0.856, 0.861, 0.740, 0.757; 169, 0.080, 0.624, 0.726, 0.755, 0.778, 0.796, 0.847, 0.838, 0.864, 0.898, 0.969, 0.986, 1.000, 0.985, 0.970, 0.904, 0.883, 0.850, 0.855, 0.751, 0.767; 197, 0.071, 0.627, 0.725, 0.753, 0.766, 0.788, 0.836, 0.830, 0.851, 0.874, 0.951, 0.970, 0.985, 1.000, 0.984, 0.915, 0.891, 0.852, 0.855, 0.758, 0.776; 225, 0.067, 0.639, 0.730, 0.758, 0.761, 0.792, 0.837, 0.824, 0.841, 0.859, 0.933, 0.955, 0.970, 0.984, 1.000, 0.923, 0.891, 0.849, 0.864, 0.766, 0.804; 337, 0.090, 0.590, 0.712, 0.725, 0.729, 0.753, 0.800, 0.799, 0.837, 0.824, 0.884, 0.904, 0.904, 0.915, 0.923, 1.000, 0.969, 0.852, 0.876, 0.821, 0.791; 393, 0.068, 0.592, 0.696, 0.728, 0.724, 0.745, 0.763, 0.774, 0.815, 0.825, 0.869, 0.889, 0.883, 0.891, 0.891, 0.969, 1.000, 0.835, 0.848, 0.795, 0.763; 540, 0.027, 0.569, 0.689, 0.652, 0.692, 0.679, 0.736, 0.730, 0.747, 0.794, 0.824, 0.856, 0.850, 0.852, 0.849, 0.852, 0.835, 1.000, 0.925, 0.735, 0.730; 603, 0.024, 0.535, 0.638, 0.653, 0.667, 0.683, 0.732, 0.713, 0.749, 0.798, 0.826, 0.861, 0.855, 0.855, 0.864, 0.876, 0.848, 0.925, 1.000, 0.780, 0.772; 729, -0.057, 0.491, 0.562, 0.606, 0.559, 0.593, 0.620, 0.625, 0.686, 0.672, 0.711, 0.740, 0.751, 0.758, 0.766, 0.821, 0.795, 0.735, 0.780, 1.000, 0.707; 1095, -0.010, 0.464, 0.509, 0.522, 0.546, 0.566, 0.614, 0.631, 0.669, 0.672, 0.732, 0.757, 0.767, 0.776, 0.804, 0.791, 0.763, 0.730, 0.772, 0.707, 1.000
Real	currencyExchangeLoss Percentage loss when changing currency	RiskModelSpan	com.powerpilot.0.2309		2,25
Text	dayVolatilities The format is (days0),(value0); (days1),(value1); ... (daysN),(valueN);	RiskModelSpan	com.powerpilot.0.2311		0, 0.10386405; 1, 0.10386405; 8, 0.0316596; 15, 0.02960415; 22, 0.0264729; 29, 0.02357175; 36, 0.0227508; 43, 0.0231972; 50, 0.02475975; 57, 0.02475975; 85, 0.0240519; 113, 0.0242103; 141, 0.0242103; 169, 0.02367345; 197, 0.02287935; 225, 0.0220023; 337, 0.0120009; 393, 0.0110394; 540, 0.0100072; 603, 0.0100072; 729, 0.0087498; 1095, 0.0065179; 100000, 0.0065179
Int	optionHorizonDiff The number of days used for determining the time horizon of options, compared to contract horizon.	RiskModelSpan	com.powerpilot.0.2308		-1
String	priceScenarioWindows A list of price scenario windows, from top to bottom. The correlation is separated from the max price scenario difference by a colon, and the pairs are separated by semicolons, e.g. 0.97:0;0.92:1;0.86:2;0.8:3;0.74:4;0.68:5;-1:1000	RiskModelSpan	com.powerpilot.0.2314		0.97:0;0.92:1;0.86:2;0.8:3;0.74:4;0.68:5;-1:1000
Real	rate The mathematical rate for risk calculations.	RiskModelSpan	com.powerpilot.0.2310		6
String	riskIntervalCorrectionFactors Maps name prefix to a correlation factor, with a colon between prefix and factor and semicolons between pairs, e.g. SYSTO:0.3;SYHEL:0.3	RiskModelSpan	com.powerpilot.0.2313		SYSTO:0.3;SYHEL:0.3;SYOSL:0.2;SYARH:0.6;SYCPH:0.6
Real	riskIntervalMultiplier	RiskModelSpan	com.powerpilot.0.2302		6,7
Text	scenarios Scenarios describe price-, vol- and currency scenarios. The format is [<priceScenario>]'<linebreak>'* <priceScenario>: [pMult:<multiplierSet>;][cov:<coverage>;][<volScenario>]';'* <multiplierSet>: [<number>]'/'* default is 0 <coverage>: <number> default is 1 volScenario: vMult:<multiplierSet>,<currencyScenario> currencyScenario: cMult:<multiplierSet> e.g. pMult:-2.5;cov:0.35;vMult:1,cMult:-0.0225/0.0225 pMult:-1/-0.66666/-0.33333/0/0.33333/0.66666/1;vMult:0.7/1.4,cMult:-0.0225/0.0225 pMult:2.5;cov:0.35;vMult:1,cMult:-0.0225/0.0225	RiskModelSpan	com.powerpilot.0.2301
Int	timeHorizonDays Days to time horizon. Bank days for scenario risk, natural days for liquidation value.	RiskModelSpan	com.powerpilot.0.2305		1
Boolean	timespreadByDelta True if timespread uses delta for options, false if timespread uses quantity.	RiskModelSpan	com.powerpilot.0.2303		N
Boolean	useCapping True if risk interval is capped by upper and lower limit.	RiskModelSpan	com.powerpilot.0.2304		Y
String	toString This is the display string.	Node	org.uninode.0.102
Type	type The type of an object determines the behaviour and attributes of the object.	Node	org.uninode.0.101
String	uri	Node	org.uninode.0.103
String	name	RiskModel	org.unizone.0.6731
Int	version	RiskModel	org.unizone.0.6732		1