VALUATION.VALUE OpenBI
One number of a valuation in use: its market value, its DV01, the change at a shift, or a risk figure saved with it.
Group: Quantitative finance. OpenBI’s own: DAX has no function of this name.
Syntax
VALUATION.VALUE ( <name>, <what> [, <shift>] )| Parameter | Type | Description |
|---|---|---|
name | Text | The valuation's name: the Quantitative notebook it was saved from. |
what | Text | "Market value", "DV01", "Change", or the name of a risk figure the run saved, such as "VaR 99 %, 1 day". Not case-sensitive. |
shift | Number optional | A parallel shift of every position's yield, in basis points; 0 when left out. |
Returns
Number. The figure asked for, for the whole valuation.
Remarks
- Without a shift, Market value and DV01 are the run's totals as approved, and Change is 0.
- With a shift the positions are priced again as
VALUATIONprices them, and the three are added up again: the market value at the shifted yields, its DV01 there, and the change from the run's market value. - A risk figure, such as a value at risk, is the run's own and is not worked out again: asking for one with a shift is an error, as is a name the run did not save.
- In a card,
VALUATION.VALUE ( "Bond portfolio", "Change", 100 )is what a rise of one percentage point would cost; a slider can give the shift. - The same rules as for
VALUATIONsay who may read it: a version in use, and no reading through a role.
Compared with DAX
An OpenBI function: DAX has none like it, so a measure or query that uses it works in OpenBI only, not in Power BI or Analysis Services.
Examples
The portfolio's value now and at +100 basis points
The Example Brewery as it ships has no valuation in use (its Bond portfolio example becomes one only once a person approves a version), so here the query is an error. With one in use, the first two are the run's own totals and the last the change at the shift.
EVALUATE
ROW (
"Market value", VALUATION.VALUE ( "Bond portfolio", "Market value" ),
"DV01", VALUATION.VALUE ( "Bond portfolio", "DV01" ),
"Change at +100 bp", VALUATION.VALUE ( "Bond portfolio", "Change", 100 )
)Result: an error.