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Datastore Exposure

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.

Parameters

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's parameters are separated in the following tabs: Input, Output and Advanced.

Input

The Input tab contains parameters which are consumed by the worker, in order to execute its calculations.

Portfolio

Set the target portfolio using Fixed Portfolio, Get Latest or Upstream Data variants.

Workspace

Set the research workspace of the portfolio using Fixed Workspace variant. The default is using the current workspace.

Property Selection

The property selection section contains the properties that will be included in the datastore.

Gross Exposure

Set whether the gross exposure will be calculated or not using Boolean variant.

Net Exposure

Set whether the net exposure will be calculated or not using Boolean variant.

Factors

Set the factor symbols using Symbol variant. The default is not using factors.

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.

Output

The Output tab contains parameters that defines the worker execution results, and how it will be provided to downstream workers.

Name

Set the output datastore name using Template Text or Upstream Data variants. Default setting is the name of the input portfolio.

Date

Set the output datastore date using Fixed Date or Upstream Data variants. Default setting is the date of the input portfolio.

Workspace

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.

Tags

Set the output datastore tags using Fixed Tags or Upstream Data variants. Default setting is the tags of the input portfolio.

Persist

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.

Advanced

The Advanced tab contains the header suffix and the set of parameters that will be used in the calculations.

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.

Factor Settings (Beta)

When calculation factors described in Factors (item 1.3.2.1) are added, the beta calculation settings appears in the advanced tab.

Sampling

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.

Days

Number of historical business days used in exposure calculation using Number variants, the default is 252.

Result

Once the worker finishes its executions successfully, it will return a result object containing the datastore to the workflow, which can be used by downstream 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.

  • "sec_gross_exposure"
  • "sec_net_exposure"
  • "sec_net_exposure_factor_*"
  • "sec_macro_exposure_commodities"
  • "sec_macro_exposure_credit"
  • "sec_macro_exposure_equity"
  • "sec_macro_exposure_rates"
  • "sec_macro_exposure_residual"