Abstract: A system, computer implemented method, and software product provide for the correct allocation of cashflows to enable accurate determination of value at risk with respect to income and balance sheet risk for transactions portfolio including transactions occurring in different fiscal periods. The computer implemented method includes establishing watershed variables, such as watershed dates, and partitioning both cashflows derived from the transaction portfolio and the vertex set of market risk data into distinct subsets. The partitioned cashflows are allocated, using a regular allocation function, onto individual ones of the partitioned vertex sets. The partitioning and allocation correctly segregate cashflows with respect to the fiscal periods to which they contribute to the value at risk. The allocated cashflows are then each separately treated by a value at risk computation.
Abstract: A spreadsheet application includes functions and data structures for transforming real time data items individually received over time from a real time data source into time series data globally available within the spreadsheet environment. The spreadsheet application includes a tape function operating in conjunction with a plurality of tape data structures, to store real time data items received over individually over time from a real time data source into one of the tape data structures, thereby persistently storing a set of previously received real time data items in a manner that is accessible to other functions of the spreadsheet.
Abstract: A system, method, and product determines the incremental impact of any number of candidate trades on the value at risk (VaR) measure of a trading portfolio within a trading interval, without requiring that the VaR measure be redetermined individually with respect to each candidate trade. The method includes determining the VaR measure for the trading portfolio, and determining a derivative vector quantity for the VaR measure. For each candidate trade, the impact of the candidate trade on the VaR measure is determined as the vector product of the derivative vector and the mapped cashflows of the candidate trade. A negative sign indicates a desirable reduction in the VaR measure. This determination may be made for any number of candidate trades without having to re-determine the VaR measure. The software product employs this method in a financial analysis application in an optimized implementation. The system includes the software product along with databases storing the trading portfolio(s).