Analysis

The Analysis applet provides deep-dive analysis of a single instrument. It allows calculation of present values under scenarios and inspection of detailed results like cash flows and cash flow tables.

For calculation of risk figures on a whole portfolio of instruments, see documentation of the Pricing applet.

Table of contents
  1. Creating and editing an instrument
  2. Parameters and scenarios
  3. Results

Creating and editing an instrument

The easiest way to create an instrument in the Analysis applet is to just click Analyze for any existing instrument in the Portfolio or Pricing applet. This immediately opens the Analysis applet with a copy of the instrument.

Then, there are two ways to edit instrument attributes within the JSON risk analysis applet:

  • Edit the instrument's JSON representation directly: Click Edit JSON and edit, add or remove properties freely. Click Recalc to make your changes effective.

  • Edit fields separately: Click Edit fields and edit each field separately. Here, a fixed set of fields is supported, including the standard JSON risk instrument fields. Changes are effective immediately while typing.

Paramaters and scenarios

In order for the analysis applet to calculate anything, a parameter set must be seleced. Optionally, you can select a scenario group. For managing parameter sets see documentation of JSON risk app parameter management . For managing scenario groups, see documentation of JSON risk app scenarios management .

Calculations are performed automatically each time you select a parameter set or a scenario group, and the results are displayed.

Results

When a valid instrument and parameters are set up, the Analysis applet immediately shows

  • A table with present values and scenario PnLs.
  • A section with Cashflows, Interest Cashflows and Principal Cashflows.
  • Detailed cash flow tables for the instrument. In case of a swap or swaption instrument, two separate tables for the fix leg and the float leg are shown.
  • Moreover, the analysis applet displays all warnings or errors that occurred during calculations.

The cash flow tables provide information on each accrual period:

  • Pmt date: The payment date of the accrual period. This is always the Accr end date adjusted according to the leg's business day convention.
  • Accr start date: The start date of the accrual period.
  • Accr end date: The end date of the accrual period.
  • Accr factor: The year fraction between Accr start and end dates, according to the leg's day count convention.
  • Fwd rate: The forward rate for the accrual period or zero in case of a fixed rate instrument.
  • Interest date: Is the end of this accrual period an interest payment date? If yes, interest is paid out in the end. If no, accrued interest is carried forward to the next period.
  • Fixing date: Is the forward rate reset at the end of this accrual period?
  • Repay date: Is there a repayment in the end of this accrual period?
  • Condition change date: Is there a new interest rate or a new repayment amount scheduled for the end of this accrual period?
  • Current principal: The principal amount of this accrual period which is the basis of interest rate calculations.
  • Accr: Accrued interest in the end of this accrual period after interest rate payments. In periods with Interest date = true, this is always zero.
  • Int pmt: The interest paid at the end of this period. In periods with Interest date = false, this is always zero.
  • Principal pmt: The principal paid at the end of this period. In periods with Repay date = false, this is always zero.
  • Total pmt: The sum of Int pmt and Principal pmt.

For more details about cash flow generation in JSON risk, see documentation of JSON risk schedule generation.