The Exposure worker calculates the delta-adjusted notional exposure of each security, converted to the base currency of the portfolio.
Parameters
The Exposure worker must receive specific parameters in order to execute properly.
1 Portfolio
Select the portfolio to be calculated using Fixed Portfolio, Get Latest, Get List or Upstream Data variants.
2 Workspace
Set the research workspace of the portfolio to be calculated using Fixed Workspace variant
3 Filter
Select the filter to be applied in the calculation using Select variant.
4 Aggregation
Select the aggregation to be applied in the calculation using Select variant.
Result
Once the worker finishes it's executions successfully, it will return a result object containing the merged portfolio to the workflow, which can be used by downstream workers. Below you can see an example of the Exposure's result object hierarchy.
- Portfolio Level (object)
- NLV (number)
- Net Exposure (number)
- Gross Exposure (number)
- Aggregation Level (object)
- Aggregation ID (string)
- Net Exposure (number)
- Gross Exposure (number)