Configuration settings

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Contents

Overview

FIA has a large number of configuration options. These allow all aspects of the calculation to be tailored to your input data formats, investment model and reporting requirements.

Only a small number of quantities must be set in order to run an analysis. In all other cases, FIA provides sensible defaults.

Configuration can be carried out in a configuration file, as settings in the GUI, via calls to the local API, or over the Web API. However, the names and settings of FIA's variables are identical in all cases. In this section, we focus on how to set up a configuration file, as the settings are virtually identical for other modes.

Click here for information on setting up a configuration file.

File settings

Field Type Description
FileHeaders Boolean Treat first line in each file as a header, showing names of columns
PortfolioFile String Name of portfolio weights and returns file, including file path if required
BenchmarkFile String Name of benchmark weights and returns file, including file path if required
SecurityFile String Name of security definitions file, including file path if required
YieldCurveFile String Name of yield curve data file, including file path if required
FXFile String Name of exchange rate file, including file path if required, containing currency codes, dates and rates.
IndexFile String Name of file containing time series such as inflation indices, LIBOR and paydown schedules

Notes

Date settings

Field Type Description
StartDate String Date at which calculation begins. If not supplied, FIA uses the earliest date available
EndDate String Date at which calculation ends. If not supplied, FIA uses the latest date available
DateFormat String User-supplied format for parsing dates from all files
SecurityDateFormat String User-supplied format for parsing dates in security file
PortfolioDateFormat String User-supplied format for parsing dates in portfolio returns files
BenchmarkDateFormat String User-supplied format for parsing dates in benchmark returns files
YieldCurveDateFormat String User-supplied format for parsing dates in yield curve files
FXDateFormat String User-supplied format for parsing dates in exchange rate files
IndexDateFormat String User-supplied format for parsing dates in index file

Notes

Click here for more information about date formats.

Reporting settings

General reporting settings

Field Type Description
BasisPoints Boolean If active, shows all returns in terms of basis points. Otherwise all returns are shown as percentages.
ndp Integer Integer-valued switch between 0 and 12. Sets how many decimal places are used for reporting.
TotalsAtTop Boolean Controls whether totals on interactive reports should appear above or below the raw data.
Smoothing String Name of smoothing algorithm to use when reporting. Valid values are Carino and Geometric
SortDescending Boolean In interactive reports, controls whether results are shown in ascending or descending order
BatchID Integer Assigns a number to each report's name. If not set, a random number is assigned
LookThrough Boolean If true, all holdings in sub-portfolios are displayed as if they are holdings in the top level portfolio.

If false, holdings in sub-portfolios are displayed in aggregate

RootLevelOnly Boolean If true, no reports are generated for sub-portfolios
ReportSectors String Configures the hierarchy and data shown in a drill-down report.

See here for more information.

File-based reporting settings

The following table describes the various file-based reporting options available within FIA.

Field Type Description
ReportDirectory String Name of the directory to which reports are written. Can contain any valid directory string for your operating system, including relative paths, such as

c:\mydata, .\, .\mydata, ./mydata

If not set, reports are written to the current active directory.

SingleExcelReportFile String Name of Excel workbook to which all Excel reports are written.

If set, all reports are written into separate worksheeets within workbook If not set, all Excel reports are written to separate workbooks

Note that the Excel suffix should not be provided.

ZipFile String If set, all reports are written into a compressed Zip file with this name, and the originals erased
LogoFile String Name of logo file in JPG format

If set, the given logo file is inserted into every Excel worksheet

CSVreport Boolean Generate CSV reports
XLSreport Boolean Generate Excel reports

Notes

If ReportDirectory does not exist, FIA will try to create it before running reports. If this is unsuccessful (for instance, if FIA does not have sufficent permissions on your system) the program will abort with an error message.

Directories are not case sensitive on Windows systems, but are case sensitive on Linux and Unix systems.

Selecting reports

FIA's reporting options are controlled from the configuration file. In this section, we described the options available.

Click on the name of the report for more information.

Field Type Description
SummaryAttributionReport Boolean Generate summary report
InteractiveAttributionReport Boolean Generate hierarchical report
PortfolioRiskNumberReport Boolean Generates history of portfolio and benchmark risk numbers (YTM, MD, C, Z-spread, leverage) at each date over calculation interval
SecurityRiskNumberReport Boolean Generates report showing risk numbers for all securities in portfolio and benchamrk at last date in calculation interval
SecurityAttributionReport Boolean Shows attribution returns for all securities in portfolio and benchamrk over calculation interval
MaturityExposureReport Boolean Shows allocation to maturity buckets at last date in calculation interval. Maturity buckets are defined here
DurationExposureReport Boolean Shows allocation to duration buckets at last date in calculation interval. Duration buckets are defined here
DateRiskReport Boolean Shows aggregated attribution returns at portfolio level over calculation interval. Both daily and cumulative reports are generated.
SQLDataReport Boolean Generates file of normalised returns, ready for import into an SQL data table
ExPostRiskReport Boolean Generates ex-post risk statistics
CurveReport Boolean Generates report on yield curve movements. If more than one yield curve is supplied, Excel reports are written to separate worksheets in the same workbook.
StressReport Boolean Generates stress report
TreeMapReport Boolean Generate data for use in heat map

Notes

Interactive reports can be extensively configured. Click here for more information.

Labels

Field Type Description
TimeReturnLabel String Label for time/coupon return. Only used when CouponDecomposition set to AGGREGATED
RunningYieldLabel String Label for return due to runninh yield. Only used when CouponDecomposition set to PULL_TO_PAR
PullToParLabel String Label for return due to pull to par effects. Only used when CouponDecomposition set to PULL_TO_PAR
RiskFreeCarryLabel String Label for return due to risk free yield. Only used when CouponDecomposition set to CREDIT_CARRY
CreditCarryLabel String Label for return due to pull to par effects. Only used when CouponDecomposition set to CREDIT_CARRY
RolldownLabel String Label for rolldown return
ResidualReturnLabel String Label for residual return
SovereignCurveReturnLabel String Label for return due to changes in sovereign curve
CapitalCurveReturnLabel String Label for return due to changes in capital return
DurationCurveReturnLabel String Label for return due to parallel changes in the sovereign curve. Only used when SovereignCurveDecomposition set to DURATION
NonParallelCurveReturnLabel String Label for return due to non-parallel changes in the sovereign curve. Only used when SovereignCurveDecomposition set to DURATION
ShiftReturnLabel String Label for return due to parallel shift in sovereign curve. Only used when SovereignCurveDecomposition set to STB
TwistReturnLabel String Label for return due to steepening or flattening in sovereign curve. Only used when SovereignCurveDecomposition set to STB
CurvatureReturnLabel String Label for return due to increasing or decreasing curvature in sovereign curve. Only used when SovereignCurveDecomposition set to STB
ConvexityReturnLabel String Label for return due to convexity.
SpreadReturnLabel String Label for return due to movements in the country or sector spread
FXReturnLabel String Label for return due to changes in exchange rates
UnattributedReturnLabel String Label for return to due unattributed securities
TotalReturnLabel String Label for sum of all returns

Notes

FIA allows the names of any of the displayed sources of risk to be changed. For instance, to change Residual to Credit, set

ResidualReturnLabel=Credit

in the configuration file. Note that no quotation marks are required.

Attribution settings

Carry effects

Field Type Description
CarryDecomposition String Valid values are NONE, AGGREGATED, PULL_TO_PAR, CREDIT_CARRY

Curve effects

Field Description Default
AverageCurveLevel
SovereignCurveDecomposition
CapitalAttribution
UpperTwistMaturity
LowerTwistMaturity
ShiftMaturity


Allocation effects

Field Description Default
BrinsonAllocationSectors
CarryAllocationSectors
CurveAllocationSectors
SpreadAllocationSectors
ResidualAllocationSectors
DTS
InteractionAttribution


Credit effects

Field Description Default
SecuritySpecificAttribution
ZSpreadAttribution
AddSpreads


Other effects

Field Description Default
RollDownAttribution
ConvexityAttribution
PaydownAttribution
LeverageAttribution
PriceReturn
InterpolateAtTTM

Notes

Hedging settings

Field Description Default
HedgedReturns
HedgeRatio
HedgeCurrency

Notes

Miscellaneous settings

Field Description Default
BaseToLocal
LocalToBase
PortfolioBaseToLocal
PortfolioLocalToBase
BenchmarkBaseToLocal
BenchmarkLocalToBase
Silent
n_cores
BaseCurrency
MaturityList
DurationList
CouponList
KRDList
TenorList
SmoothingModel
UseCashOffsets

Notes

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