Once you have a pricing environment ready, our valuation offering includes:
- PV (and greeks) calculations
- portfolio valuation simulations over a period of time, to pre-empt any potential future valuation issues
- PNL explain calculations to allocate the change in valuation between two dates according to trade sensitivities (greeks) and corresponding change in market data
- net currency exposure calculations (*) (i.e. the total amount of risk you may have in a particular currency)
- net currency exposure scenario analysis across a range of Spot FX or FX volatilities
(*) Net currency exposure calculations can only be performed following a PV calculation
Pricing Environment
To have a pricing environment ready, you will need to define the following:
- curve configuration
- market data environment
- portfolio of trades
- applicable valuation settings
flowchart TB
c1@{ shape: procs, label: "<a href="/docs.xplainfinancial/docs/aurea/curves/curvesGroup">Curves<br>FX Rates<br>Volatility Surfaces</a>"}
c2@{ shape: procs, label: "<a href="/docs.xplainfinancial/docs/aurea/preferences/marketDataMapping/#mapping">Data Providers<br>Tickers</a>"}
p0@{ shape: procs, label: "<a href="/docs.xplainfinancial/docs/aurea/portfolios/companyList">Company<br>Entity</a>"}
p1t@{ shape: docs, label: "<a href="/docs.xplainfinancial/docs/aurea/portfolios/portfolioList">P1 Trades</a>"}
pit@{ shape: docs, label: "<a href="/docs.xplainfinancial/docs/aurea/portfolios/portfolioList">Pi Trades</a>"}
pnt@{ shape: docs, label: "<a href="/docs.xplainfinancial/docs/aurea/portfolios/portfolioList">Pn Trades</a>"}
PE@{ shape: circle, label: "Pricing<br>Environment"}
MD@{ shape: bow-rect, label: "<a href="/docs.xplainfinancial/docs/aurea/data/marketData">Market Data</a>"}
VS@{ shape: bow-rect, label: "<a href="/docs.xplainfinancial/docs/aurea/preferences/defaultValuationSettings">Valuation Settings</a>"}
subgraph C[Curve Configuration]
direction LR
c1<-->|MDK|c2
end
subgraph P[Company Tree]
direction TB
p0-->|Portfolio 1|p1t
p0-->|Portfolio i|pit
p0-->|Portfolio n|pnt
end
c1 <--> PE
c2 <--> MD
VS & MD --> PE
VS <--> p0
pit <--> PE
classDef nodeStyle fill:#805CDD,stroke:#333,stroke-width:2px,padding:30px,margin:20px,color:#fff;
classDef nodeStyle2 padding:30px,margin:20px;
classDef subgraphStyle font-weight:bold,fill:none,stroke:#805CDD,stroke-width:1px;
class PE nodeStyle;
class MD nodeStyle2;
class VS nodeStyle2;
class C,P subgraphStyle;
invisibleNode[ ]:::invisible
style invisibleNode fill:none,stroke:none
