Basic Measures

The following are the measures that are available during Sensitivity Analysis on a Portfolio:

Earnings:

This measure returns the net amount expected to be earned on a portfolio.

Value_MidMkt:

This measure is the total market value of the portfolio if all positions are valued at their mid-market value.

Value_Closeout:

This measure is the total market value of the portfolio if all long positions are valued at their bid value and all short positions are valued at their ask value.

This is a conservative way to measure the net proceeds of a portfolio that was to be liquidated and there are no liquidity concerns.

Profit_MidMkt:

This measure is the total profit of the portfolio if all positions are valued at their mid-market value.

The profit of a position is calculated as the net proceeds of closing the position at the mid-market value, less the costs (or proceeds) from entering that position.

Profit_Closeout:

This measure is the total profit of the portfolio if all long positions are valued at their bid value and all short positions are valued at their ask value.

The profit of a position is calculated as the net proceeds of closing each position at the appropriate bid or ask value, less the costs (or proceeds) from entering that position.

RealizedProfit:

This measure returns the net amount of profit that has already been recognized against the positions in this portfolio.

UnrealizedProfit_MidMkt:

This measure returns the net amount of profit that has yet to be recognized against the positions in this portfolio if all positions are valued at their mid-market value.

UnrealizedProfit_Closeout:

This measure returns the net amount of profit that has yet to be recognized against the positions in this portfolio if all long positions are valued at their bid value and all short positions are valued at their ask value.

  1. st Derv. Of Value_MidMkt with Var1:

This measure returns the numerical first derivative of the mid-market value of the portfolio with respect to that sensitivity variable selected as "Var1".

This measure is useful for calculating the measures commonly referred to as: Delta, Vega, Theta and Rho.

  1. nd Derv. Of Value_MidMkt with Var1:

This measure returns the numerical second derivative of the mid-market value of the portfolio with respect to that sensitivity variable selected as "Var1".

This measure is useful for calculating the measure commonly referred to as: Gamma.