IMsValueAtRiskTransform.Portfolio

Syntax

Description

The Portfolio property determines the term that corresponds to variable containing portfolio data.

Comments

Portfolio contains the list of organizations and number of financial tools that organizations have. The variable, that contains the information about portfolio, consists of the following dimensions:

Organizations. The dimension must be specified in IMsValueAtRiskTransform.OrganizationsDimension.
Tools. The dimension must be specified in IMsValueAtRiskTransform.InstrumentsDimension.

Example

Executing the example requires that the repository contains dictionaries with the identifiers:

DIM_INSTRUMENTS. It contains the list of financial instrucments.
DIM_ORGANIZATIONS. It contains the list of organizations.

These dictionaries are used for variable dimensions described below.

The repository should contain a modeling container with the MS_PRIMARY identifier that contains a model with the M_VAR identifier. The container should include variables with identifiers:

V_STOCKPRICES. Variable of financial tools. It contains the DIM_INSTRUMENTS dimension
V_PORTFOLIO. Variable of portfolio. It contains the DIM_INSTRUMENTS and DIM_ORGANIZATIONS dimensions
V_VALUEATRISK. Variable, to which the results are loaded. It contains the DIM_ORGANIZATIONS dimension.

Add links to the Dimensions, Cubes, Metabase, Ms, Stat system assemblies.

Sub UserProc;
Var
    mb: IMetabase;
    pMsDescrKey: Integer;
    pModel: IMsModel;
    pTrans: IMsFormulaTransform;
    pInsStub, pPortStub, pVaRStub: IVariableStub;
    pOutVar, pPortVar, pInsVar: IMsFormulaTransformVariable;
    pOutSlice, pPortSlice, pInsSlice: IMsFormulaTransformSLice;
    pDimIns, pDimOrg: IDimensionModel;
    pInstIns, pInstOrg: IDimInstance;
    pSel: IDimSelection;
    pSelSet: IDimSelectionSet;
    pFactory: IDimSelectionSetFactory;
    pSelector: IMsFormulaTransformSelector;
    pFormula: IMsFOrmula;
    pVaR: IMsValueAtRiskTransform;
    pTerm: IMsFormulaTermInfo;
    pBT: IMsValueAtRiskBacktesting;
    coo: IMsFormulaTransformCoord;
    calc: IMsMethodCalculation;
    res: IMsValueAtRiskBacktestingResult;
    i: integer;
Begin
    mb := MetabaseClass.Active;
    pMsDescrKey := mb.ItemById("MS_PRIMARY").Key;
    pModel := mb.ItemByIdNamespace("M_VAR", pMsDescrKey).Edit As IMsModel;
    pTrans := pModel.Transform;
// Delete all variables from model
    pTrans.Inputs.Clear;
    pTrans.Outputs.Clear;
    pTrans.Series.Clear;
// Set sample and forecast periods
    pModel.Period.IdentificationStartDate := DateTime.ComposeDay(2000, 1, 1);
    pModel.Period.IdentificationEndDate := DateTime.ComposeDay(2000, 1, 10);
    pModel.Period.ForecastStartDate := DateTime.ComposeDay(2000, 1, 11);
    pModel.Period.ForecastEndDate := DateTime.ComposeDay(2000, 1, 20);
// Get variables for VaR model
    pInsStub := mb.ItemByIdNamespace("V_STOCKPRICES", pMsDescrKey).Bind As IVariableStub;
    pPortStub := mb.ItemByIdNamespace("V_PORTFOLIO", pMsDescrKey).Bind As IVariableStub;
    pVaRStub := mb.ItemByIdNamespace("V_VALUEATRISK", pMsDescrKey).Bind As IVariableStub;
// Get dimension of financial tools
    pInstIns := mb.ItemById("DIM_INSTRUMENTS").Open(Null) As IDimInstance;
    pDimIns := pInstIns.Dimension;
// Get dimension of organizations
    pInstOrg := mb.ItemById("DIM_ORGANIZATIONS").Open(Null) As IDimInstance;
    pDimOrg := pInstOrg.Dimension;
// Add output variable
    pOutVar := pTrans.Outputs.Add(pVaRStub);
// Get input variable slice
    pFactory := New DimSelectionSetFactory.Create;
    pSelSet := pFactory.CreateDimSelectionSet;
    pSel := pSelSet.Add(pInstOrg);
    pSel.SelectAll;
    pOutSlice := pOutVar.Slices.Add(pSelSet);
// Add the variable of portfolio
    pPortVar := pTrans.Inputs.Add(pPortStub);
// Get the slice of portfolio
    pSelSet.Clear;
    pSel := pSelSet.Add(pInstIns);
    pSel.SelectAll;
    pSel := pSelSet.Add(pInstOrg);
    pSel.SelectAll;
    pPortSlice := pPortVar.Slices.Add(pSelSet);
//  Add variable of financial tools
    pInsVar := pTrans.Inputs.Add(pInsStub);
//  Get the slice of financial tools
    pSelSet.Clear;
    pSel := pSelSet.Add(pInstIns);
    pSel.SelectAll;
    pInsSlice := pInsVar.Slices.Add(pSelSet);
// Set model calculation method
    pSelector := pTrans.CreateSelector;
    pSelector.Slice := pOutSlice;
    pSelector.Level := DimCalendarLevel.Day;
    pFormula := pTrans.Transform(pSelector);
    pFormula.Kind := MsFormulaKind.ValueAtRisk;
    pModel.Kind := MsModelKind.ValueAtRisk;
    pFormula.Level := DimCalendarLevel.Day;
    pVaR := pFormula.Method As IMsValueAtRiskTransform;
// Set dimensions of tools and organizations
    pVaR.InstrumentsDimension := pDimIns;
    pVaR.OrganizationsDimension := pDimOrg;
// Set "portfolio"
    pTerm := pTrans.CreateTermInfo;
    pTerm.Slice := pPortSlice;
    pVaR.Portfolio := pTerm;
// Set financial tools
    pTerm := pTrans.CreateTermInfo;
    pTerm.Slice := pInsSlice;
    pVaR.StockPrices := pTerm;
// Set output variable
    pTerm := pTrans.CreateTermInfo;
    pTerm.Slice := pOutSlice;
    pVaR.ValueAtRisk := pTerm;
// Specify VaR calculation method
    pVaR.MethodType := MsValueAtRiskMethodType.MonteCarlo;
// Specify confidence limit significance
    pVaR.ConfidenceLevel := 0.05;
// Set missing data treatment method
    pVaR.UseFillGaps := True;
    pVaR.MissingData.Method := MissingDataMethod.SampleAverage;
// Use logarithmic yield and zero mean hypothesis
    pVaR.LogarithmicProfit := True;
    pVaR.ZeroMean := True;
// Set forecasting horizon
    pVaR.ForecastingHorizon := 1;
// Set up Monte Carlo method parameters:
// Use the Cholesky factorization
    pVaR.UseCholeskyFactorization := True;
// Set distribution for financial tools
    For i := 0 To pInstIns.Elements.Count - 1 Do
        pVaR.InstrumentDistribution(i) := MsValueAtRiskDistributionType.Uniform;
    End For;
// Set backtesting VaR
    pBT := pVaR.Backtesting;
    pBT.Enabled := True;
    pBT.Observations := 10;
// Set calculation parameters
    coo := ptrans.CreateCoord(pTrans.Outputs.Item(0));
    calc := pTrans.CreateCalculation;
    calc.Period.IdentificationStartDate := pModel.Period.IdentificationStartDate;
    calc.Period.IdentificationEndDate:=pModel.Period.IdentificationEndDate;
    calc.Period.ForecastStartDate := pModel.Period.ForecastStartDate;
    calc.Period.ForecastEndDate := pModel.Period.ForecastEndDate;
// Calculate model
    pVaR.Execute(calc, coo);
// display results
    For i := 0 To pInstOrg.Elements.Count - 1 Do
        res := pBT.Result(i);
        Debug.WriteLine("=====Organization: " + pInstOrg.Elements.Name(i) + "=======");
        If res <> Null Then
            Debug.WriteLine("Confidence level = " + res.ActualConfidenceLevel.ToString);
            Debug.WriteLine("Average uncovered risk = " + res.AverageUncoveredRisk.ToString);
            Debug.WriteLine("Average unused risk = " + res.AverageUnusedRisk.ToString);
            Debug.WriteLine("Binary loss function = " + res.BinaryLossFunction.ToString);
            Debug.WriteLine("Multiple to obtain coverage = " + res.CoveringFactor.ToString);
            Debug.WriteLine("Quadratic loss function = " + res.QuadraticLossFunction.ToString);
            Select Case res.TrafficLight
                Case MsValueAtRiskTrafficLight.Green: Debug.WriteLine("Traffic light = is green");
                Case MsValueAtRiskTrafficLight.Yellow: Debug.WriteLine("Traffic light = is yellow");
                Case MsValueAtRiskTrafficLight.Red: Debug.WriteLine("Traffic light = is red");
            End Select;
            Debug.WriteLine("Correlation between VaR and actual losses = " + res.VaRLossCorrelation.ToString);
        Else
            Debug.WriteLine("Result for organization " + i.ToString + " is empty!");
        End If;
    End For;
    (pModel As IMetabaseObject).Save;
End Sub UserProc;

After executing the example the Value-At-Risk model is created. Parameters of its calculation are set by the Monte-Carlo method. Model calculation results are displayed in the console window.