Most widgets (Stress Test, Risk Attribution, Backtest) can display information either from all the positions in the portfolio or alternatively only a subset of securities to emphasize the contribution of the subset to the whole.
A sophisticated filtering language controls what is displayed in the widgets. Widgets that have been pre-processed with a filter have the name of the filter on its title. For example, a stress test that has been pre-processed with the exposure filter will have the filter expression available as you move your mouse over the word Filter (see figure below).
The following basic filters are currently supported:
|currency||currency(‘foreign securities’)||This filter extracts different currency related buckets. The choices are: ’foreign securities’,’domestic securities’,’currency hedges’,’non-USD currencies’.|
|exposure||exposure(‘short’)||The choices are: ’long’, ‘short’. This filter extracts securities that represent long exposures (including long calls and short puts) and short exposures (including long puts and short calls)|
|type||type(‘equity option long delta’)||Retrieves different types of securities. The choices are: ’equity option long delta’,’equity option short delta’,’future option long delta’,’future option short delta’, foreign equity long’,’foreign equity short’, ‘us equity long’,’us equity short’,’fx’|
|liquidity||liquidity(‘0-5%’)||Retrieves different securities according to their liquidity. The choices are: ’0-5%’,’5-25%’,’25-50%’,’50-100%’, ‘100-300%’,’>300%’|
Filters return only the IDs of the selected securities for further processing. Furthermore the basic filters above can be part of more complex logical expressions.
Users of Everysk Dashboards currently have access to Filter functionality in the following templates:
- Stress Test Filters
- Risk Filters
- BackTest Filters