Advanced Measures

The following measures are only available during Sensitivity Analysis on a Portfolio when the World State specified has a Factor Structure assigned to it:

ValueAtRisk_MidMkt:

This measure returns the cumulative distribution of changes in the portfolio's mid-market value at some future time as compared to the spot mid-market value.

ValueAtRisk_Closeout:

This measure returns the cumulative distribution of changes in the portfolio's closeout value at some future time as compared to the spot mid-market value.

The closeout value 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.

ValueAtRisk_MidMktProfit:

This measure returns the cumulative distribution of changes in the portfolio's mid-market value at some future time less the current accounting cost of acquiring this portfolio.

ValueAtRisk_CloseoutProfit:

This measure returns the cumulative distribution of changes in the portfolio's closeout value at some future time less the current accounting cost of acquiring this portfolio.

The closeout value 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.

ValueAtRisk_MidMktUnrealizedProfit:

This measure returns the cumulative distribution of changes in the portfolio's mid-market value at some future time less the following amounts:

ValueAtRisk_CloseoutUnrealizedProfit:

This measure returns the cumulative distribution of changes in the portfolio's closeout value at some future time less the following amounts:

Distribution_MidMktValue:

This measure returns the distribution of the portfolio's mid-market value at some future time.

Distribution_CloseoutValue:

This measure returns the distribution of the portfolio's closeout value at some future time.

Distribution_MidMktProfit:

This measure returns the distribution of the portfolio's mid-market value at some future time less the current accounting cost of acquiring this portfolio.

Distribution_CloseoutProfit:

This measure returns the distribution of the portfolio's closeout value at some future time less the current accounting cost of acquiring this portfolio.

Distribution_MidMktUnrealizedProfit:

This measure returns the distribution of the portfolio's mid-market value at some future time less the following amounts:

Distribution_CloseoutUnrealizedProfit:

This measure returns the distribution of the portfolio's closeout value at some future time less the following amounts: