Portfolio
The main component used for analysis in the RiskWin framework is the Portfolio. The Portfolio is used to hold a collection of
Actual Positions which can be analyzed in aggregate. There are two types of
portfolios: Actual Portfolios and Synthetic Portfolios.
Actual Portfolio:
This type of portfolio is primarily used to represent an actual portfolio in a
firm. Trades can be allocated to this type of portfolio resulting in each Actual Portfolio
being represented by a collection of Actual Positions. [ NOTE: Trades can only be allocated to Actual Portfolios; therefore, only Actual Portfolios can
contain Actual Positions. ]
What-If Positions can be allocated to an Actual Portfolio in order to facilitate analysis of
the portfolio.
Actual Portfolios must be assigned to a Desk. This assignment is useful since it facilitates the aggregation of Actual
Positions into a Synthetic Portfolio.
Synthetic Portfolio:
This type of portfolio is used to represent an aggregation of selected Actual
Positions from Actual Portfolios. The positions are selected according to
user-defined criteria and the resulting collection of Actual Positions is analyzed
as a portfolio.
What-If Positions can be allocated to a Synthetic Portfolio in order to
facilitate analysis of the portfolio.
Synthetic Portfolios must also be assigned to a Desk.
Portfolio Valuation:
Portfolio analysis usually requires that the portfolio calculate a value for
itself under a given set of conditions in order to obtain the measurements
required for the analysis.
A portfolio in RiskWin calculates a value for itself at a specified World State. The portfolio value is calculated in the current valuation currency as set
in the Application Defaults. The value of a portfolio is computed by summing the values of all Actual
Positions with the values of all activated What-If Positions associated with that
portfolio.
The basic measures and the advanced measures available in RiskWin all use this valuation approach.