The Datastore Exposure worker calculates the delta-adjusted notional exposure of each security, converted to the base currency of the portfolio, creating a new datastore with the result of the calculations.
The Datastore Exposure worker must receive specific parameters in order to execute properly. When parameters are not set correctly it may cause the worker to not work as expected. This worker parameters is separated in the following tabs: Input, Output and Advanced.
The Input tab contains parameters which are consumed by the worker, in order to execute it's calculations.
Set the target portfolio using Fixed Portfolio, Get Latest or Upstream Data variants.
Set the research workspace of the portfolio using Fixed Workspace variant. The default is using the current workspace.
1.3 Property Selection
The property selection section contains the properties that will be included in the datastore.
1.3.1 Gross Exposure
Set whether the gross exposure will be calculated or not using Boolean variant.
1.3.2 Net Exposure
Set whether the net exposure will be calculated or not using Boolean variant.
Set the factor symbols using Symbol variant. The default is not using factors.
1.3.3 Macro Exposures
Set whether the macro exposures will be calculated or not using Boolean variant. The following exposures are returned in the output datastore: Commodities, Credit, Equity and Rates.
The Output tab contains parameters that defines the worker execution results, and how it will be provided to downstream workers.
Set the output datastore name using Template Text or Upstream Data variants. Default setting is the name of the input portfolio.
Set the output datastore date using Fixed Date or Upstream Data variants. Default setting is the date of the input portfolio.
Set the workspace in which the output datastore will be saved on the platform using Fixed Workspace. Default setting is the workspace of the input portfolio.
Set the output datastore tags using Fixed Tags or Upstream Data variants. Default setting is the tags of the input portfolio.
Select if the output datastore will be saved on the platform or be a transient one (temporary during workflow execution), through the following options: Transient or Create. The default is a transient datastore.
The Advanced tab contains the header suffix and the set of parameters that will be used in the calculations.
3.1 Header Suffix
Set the header suffix that will be added to the end of selected properties columns in the datastore using Template Text or Upstream Data variants. The default is not using header suffix.
3.2 Factor Settings (Beta)
When calculation factors described in Factors (item 188.8.131.52) are added, the beta calculation settings appears in the advanced tab.
Sampling represents the frequency that historical prices and rates (spreads) are collected in order to compute the invariant risk factors. In order to sample daily, use 1. In order to sample weekly (non-overlapping), pass 5. The default is 1-day sampling.
Number of historical business days used in exposure calculation using Number variants, the default is 252.
Once the worker finishes it's executions succesfully, it will return a result object containing the datastore to the workflow, which can be used by upstream workers. Below you can see an example of the datastore result object hierarchy.
- Datastore (datastore)
- ID (string)
- Name (string)
- Date (date)
- Tags (list of strings)
- Data (list of lists)
The Data component is composed of the columns common to all datastores, attributes and aggregations, including the selected properties columns. The possible columns added to the datastore are listed below.