Overview
To perform PV calculation or valuation data anomaly detection in Xplain, you need to create a company tree, which will provide you with the structure to organise your derivative trade portfolios, as well as the ability to set your default valuation and valuation data provider settings. This section of the guide will show you how to do this.
The company tree structure is as follows:
%%{init: {'theme': 'base', 'themeVariables': {'background': '#FFFFFF'}, 'flowchart': {'nodeSpacing': 20}}}%%
flowchart TB
A["Company"]
B["Entity 1"]
C["Entity 2"]
D["Portfolio 1"]
E["Portfolio 2"]
F["Portfolio 3"]
G["Trades"]
H["Trades"]
I["Trades"]
subgraph " "
direction TB
A --> B
A --> C
B --> D
B --> E
C --> F
D --> G
E --> H
F --> I
direction LR
end
classDef boldText font-weight:bold;
classDef xplStyle fill:#302353,stroke:#333,stroke-width:1px,color:#fff;
classDef xplStyle2 fill:#805cdd,stroke:#333,stroke-width:1px,color:#fff;
classDef xplStyle3 fill:#302353,stroke:#333,stroke-width:1px,color:#00ff00;
classDef xplStyle4 fill:#E6E6E6,stroke:#333,stroke-width:1px,color:#302353;
class A,B,C,D,E,F,G,H,I boldText;
class A xplStyle;
class B,C xplStyle2;
class D,E,F xplStyle3;
class G,H,I xplStyle4;
Currency Exposure
To perform net currency exposure calculations and simulations by reference to a hedge portfolio, you will need to define currency exposure profiles.
For consistency, the examples throughout this guide will use the structure of the existing ‘LONDON_FICC’ company.
In this section, you will learn how to:
- create a company and add an entity
- define the company’s default valuation settings
- define the company’s default valuation data provider settings
- create a portfolio and add standalone trades, create reference securities and add allocation trades, and add custom trades
- define a currency exposure profile
