Getting started

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‘Make everything as simple as possible, but not simpler.’

Albert Einstein

Contents

Prerequisites

FIA is designed to use the absolute minimum of data. This is because

Data is expensive. Computer power is cheap.

For instance, FIA does not require that you supply risk numbers such as yield to maturity, modified duration, or convexity to run attribution - although these can be used if available. Instead, the program uses the information supplied in the security master file to calculate each security's cash flows. These are then priced using the supplied yield curves to arrive at a price, and hence a return, under a range of market scenarios.

In addition, FIA calculates all risk numbers, including OAS and YTM, as a by-product of the attribution calculation.

For most cases, three sets of data are required:

This section of the wiki is intended as a quick overview of the data needed to run FIA. For more information about each data type, please refer to the appropriate section of this wiki.

FIA overview.png

Overview of FIA's data requirements

Weights and returns

By design, FIA does not calculate weights and returns, but uses externally supplied values of these quantities. The rationale for this approach is that most clients already have perfectly good systems that perform this function.

The weights and returns file contains the weight, base currency and local currency returns of each security present in the current portfolio, at a range of dates. This information can typically be exported from your existing returns calculation system (for portfolios) or extracted from holdings files (for benchmarks).

On each date, the sum-product of the security weights and the base currency return will equal the overall portfolio return on that date. 

Notes


Detailed information on the format of the weights and returns file can be found here.

Security master data

The security master data file contains information about each security to be processed in FIA, including identifier, name, credit rating, currency, pricing function, and security-specific information such as maturity dates for bonds.

Securities that are not used in a particular analysis are ignored. This makes it possible to use a single security master file for all your portfolios and benchmarks.

At the very minimum, each security entry should contain

Addition information can be supplied to handle a wide range of additional treatments. For instance, if a bond has its credit rating downgraded, the effective date (column 4) can be used to record the date of the downgrade and the new credit rating.

Detailed information on the format of the security master file can be found here.

Yield curve data

The yield curve file contains data for each yield curve supplied to FIA. At each date, a curve name and a range of tenor points is supplied.

The yield curve file can hold data on zero curves, swap curves, par curves, real curves, or any other type.

The only constraint is that, on any date, a curve must hold data for at least three points on the curve. Any set of maturity points is permissible.

Detailed information on the format of the yield curve file can be found here.

Additional data

Depending on the types of securities held in your portfolio and benchmark, some additional information may be required by FIA.

For instance,

Please refer to section File formats for more information.

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