Xplain’s Menu Items

Valuations, including PV, greeks, PNL Explain, net currency exposure and scenario analysis, can be performed under the Valuations menu item.

Market data or valuation data anomaly detection can be performed under the Data Cleansing menu item.

User preferences and data framework for valuation and data cleansing, including curve configurations, trade portfolio definitions, data provider definitions, data mapping, and valuation parameterisation can be defined under the menu items set out in the table below.

Menu Item	For Valuation	For Market Data Cleansing	For Valuation Data Cleansing
Curves	✓
Portfolios	✓		✓
Data/Market Data	✓	✓
Data/Fixings	✓
Data/Valuation Data			✓
Preferences	✓	✓	✓
Admin ^(*)	✓	✓	✓
XVA ^(**)	✓
TRS ^(**)	✓

^(*) Only applicable for Admin users

^(**) Add-on Modules

Sub-Menu Item	Description
Curve Configurations	A curve configuration links a curve group to preferred market data providers (primary and secondary) on an instrument type basis
Curve Groups	A curve group is defined by a list of i) IR and inflation curves, ii) IR volatility surfaces, iii) FX rates, iv) FX volatility surfaces and v) credit curves

Sub-Menu Item	Description
Company List	Company and company's entities set up. Includes CSA definitions, default valuation parameters and preferred valuation data providers per company, with potential overrides on an entity basis
Portfolio List	A portfolio is defined as a list of trades and is linked to a company's entity. Each trade can be allocated to a company's CSA on an individual basis
Security Master	Reference security definitions. Trades can alternatively be defined as a notional allocation to a reference security
Non-MTM Portfolio List	A non-MTM portfolio is defined as a list of TRS trades and is linked to a company's entity
Ccy Exposure List	A currency exposure is defined as a list of cashflows in a given currency

Sub-Menu Item	Description
Market Data	A market data group comprises raw market data (quotes, volatilities and credit spreads) for various curve dates and providers
Fixings	Historical fixings
Valuation Data	A valuation data group comprises raw valuation data for various valuation dates and providers

Sub-Menu Item	Description
Run Valuation	To specify the valuation parameters and start PV calculations
Valuation Results	Last performed PV calculations and saved PV calculations
Valuation Simulation	To simulate daily PV calculations between two dates using the same market data
PnL Explain	To calculate PnL Explain (allocation of PV difference against relevant pricing factors according to sensitivities and market move) between two dates
Ccy Exposure Simulation	To simulate net currency exposure across a range of shifted Spot FX and/or FX volatilities

Sub-Menu Item	Description
Market Data	To start a market data anomaly detection workflow, monitor progress via a dashboard and access live data cleansing tasks (resolution and approval)
Valuation Data	To start a valuation anomaly detection workflow, monitor progress via a dashboard and access live data cleansing tasks (resolution and approval)
Onboarding	To run an onboarding report on a selection of portfolios
Market Data Batch	To start a market data anomaly detection workflow for curve dates within a range, monitor progress via a dashboard and access live data cleansing tasks (resolution and approval)

Category	Sub-Menu Item	Description
Valuations	Default Valuation Settings	Default parameters for PV and Greeks calculations
Valuations	Inflation Seasonality and Convexity Settings	Seasonality adjustments for inflation curves and Hull-White parameters for future convexity adjustments
Valuations	Curve Mapping Rules for Local Ccy Discounting	Curve mapping settings for local currency discounting on a trade type basis
Data Cleansing	Mapping Rules	Valuation data provider definitions and overrides
Data Cleansing	Break Test Defintions	Break test definition for raw market data and valuation data
Data Cleansing	Task Allocation and Granularity	Resolution and approval task allocation
Data Cleansing	Valuation Data Cleansing Settings	Currency and NAV parameters for valuation data cleansing
Static Data	Market Data Keys	Xplain automatically generates a unique identifier (Market Data Key or MDK) for each curve node, FX rate and volatility point (ATM and skew). MDKs have to be mapped to each relevant provider's ticker (with the corresponding scaling factor).
Static Data	Data Providers	List of permissible data providers for market/valuation data. "XPLAIN" refers to PV and Greeks calculations performed in XPLAIN.
Static Data	External ID Sources	List of user-defined external ID sources
Static Data	Custom Field Names	List of user-defined custom field names
Static Data	Calendars	List of business days per year per business centre
Static Data	Conventions	Curve node convention download

Sub-Menu Item	Description
Roles	Role profile and corresponding application permissions set up
Teams	A team is defined as a list of users
Monitor/Locks	List of shared exclusive locks (current and historical)
Setup	To erase date, reset the application or upload default environments

Sub-Menu Item	Description
Run Valuation	To specify the valuation parameters for a portfolio and start the PV / XVA calculations
Valuation Results	Last performed PV / XVA calculations and saved PV / XVA calculations
Correlation Matrices	Historical asset correlation matrices
Settings	Hull-White parameters for exposure calculation and main projection index definition

Sub-Menu Item	Description
Run Calculation	To specify the TRS accrual calculation parameters for a portfolio and start the calculation
Calculation Results	Last performed accrual calculations and saved calculations
Market Data Groups	A market data group comprises raw market data (index prices and dividends) for various curve dates and providers
TRS Indices	TRS index definitions

Introduction to Xplain

Curves

Portfolios

Data

Valuations

Data Cleansing

Preferences

Admin

Importing and Versioning

XVA Module

TRS Module

Xplain's Menu Items

Xplain's Overview

Introduction to the Curves Menu

Related Docs