VALUATION OpenBI
The positions of a valuation in use, as its run valued them or priced again with every yield shifted.
Group: Quantitative finance. OpenBI’s own: DAX has no function of this name.
Syntax
VALUATION ( <name> [, <shift>] )| Parameter | Type | Description |
|---|---|---|
name | Text | The valuation's name: the Quantitative notebook it was saved from. |
shift | Number optional | A parallel shift of every position's yield, in basis points (100 is one percentage point); 0 when left out. |
Returns
Table. The run's own columns, then Change: each position's market value less the run's. A valuation of bonds has the bond's name, its Maturity, Coupon and Nominal, its prices (Clean price, Accrued and Dirty price), and Market value, Yield, Mod. duration and DV01.
Remarks
- A valuation is a Quantitative notebook's result saved as a version. It is read only once a version has been approved and put in use, in the notebook's Versions tab; a name with none in use is an error.
- Without a shift the rows are the run's, as approved, and Change is 0. With one, each bond is priced again at its yield plus the shift, on the run's settlement date, coupon frequency and day count: the prices, the market value, the yield, the duration and the DV01 change; the accrued interest does not.
- The shift may be negative and goes up to 5000 basis points either way; a blank shift is 0.
- It is the table behind a what-if page's sliders:
VALUATION ( "Bond portfolio", 100 )is the portfolio with rates 100 basis points up. - Workspace Viewers, and anyone else who reads the model through one of its roles, get an error: the saved results were computed over the whole model, rows a role would hide included.
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 with rates 100 basis points up
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 a valuation in use it returns a row for each bond, priced again, with its Change.
EVALUATE
VALUATION ( "Bond portfolio", 100 )Result: an error.
Related functions
VALUATION.VALUE, QUANT.BOND.PRICE, QUANT.BOND.DV01, OPTIMIZE.