re : uk portfolios and books setup in risktrac naveen and matthew ,
i started looking systematically through uk positions and corresponding var
numbers in the risckrac .
i found a few inconsistencies so far .
1 . the portfolio elsb 1 - nbp has a book elsb 1 under it . the sum of delta
positions for this book is
239 , 021 , 655 , the sum of gamma positions is - 211 , 031 , 450 . var for the
portfolio elsb 1 - nbp is zero .
the same refers to a few other portfolios , for example elsb 2 - nbp , elsb 3 - nbp ,
e 2 xxl - nbp .
2 . the portfolio elsbp 1 - ppp also has the book elsb 1 under it . this book
contains the positions on pppwdl
through pppwd 6 and pppwel through pppwe 4 .
the same refers to the other books , for example elsb 2 .
this looks messy . can someone in rac go over all the portfolios , all the
corresponding books and curves
in risktrac and make sure they are set up properly ?
thank you ,
tanya .
re : uk portfolios and books setup in risktrac
naveen and matthew ,
i started looking systematically through uk positions and corresponding var
numbers in the risckrac .
i found a few inconsistencies so far .
1 . the portfolio elsb 1 - nbp has a book elsb 1 under it . the sum of delta
positions for this book is
239 , 021 , 655 , the sum of gamma positions is - 211 , 031 , 450 . var for the
portfolio elsb 1 - nbp is zero .
the same refers to a few other portfolios , for example elsb 2 - nbp , elsb 3 - nbp ,
e 2 xxl - nbp .
2 . the portfolio elsbp 1 - ppp also has the book elsb 1 under it . this book
contains the positions on pppwdl
through pppwd 6 and pppwel through pppwe 4 .
the same refers to the other books , for example elsb 2 .
this looks messy . can someone in rac go over all the portfolios , all the
corresponding books and curves
in risktrac and make sure they are set up properly ?
thank you ,
tanya .