Total and Aggr

Anonymous — Fri, 10 Aug 2018 09:05:54 GMT

Hi,

I want to use the Aggr function where one of the variables inn the function needs to calculate the total value for the portfolio at each date and the other variables will aggregate on the dimension defined in the aggr function on each date multiplied by the change in the total portfolio value. I only want one dimension in the chart.

When i use TOTAL in the variable that calculates the total portfolio value it takes all the dates and calculates one aggregated value for all dates in the Aggr function, disregarding the dimension in chart. I guess this is as expected, but I want the TOTAL function to calculate for each date in the expression below.

Is this possible?

Something like this:

sum(aggr($(vbPrvSD)* $(vbDSpreadTot)),SecBondSectorName,DateTime))

sum({<Portfolio=P([PortfolioRHS])>}#MaturityWeightPrv*#SpreadDurationPrv*#RiskExpWgtPrv)/sum({<Portfolio=P([PortfolioRHS])>}#RiskExpWgtPrv*#MaturityWeightPrv)

sum({$<Portfolio=P([PortfolioRHS])>}TOTAL #RiskExpWgt*#MaturityWeightPrv*#SpreadDuration*#Spread)/sum({$<Portfolio=P([PortfolioRHS])>}TOTAL #RiskExpWgt*#MaturityWeightPrv*#SpreadDuration)

sum({$<Portfolio=P([PortfolioRHS])>}TOTAL #RiskExpWgtPrv*#MaturityWeightPrv*#SpreadDurationPrv*#SpreadPrv)/sum({$<Portfolio=P([PortfolioRHS])>}TOTAL #RiskExpWgtPrv*#MaturityWeightPrv*#SpreadDurationPrv)

Regards,

Haavard

Re: Total and Aggr

sunny_talwar — Fri, 10 Aug 2018 16:05:32 GMT

Try this

sum({$<Portfolio=P([PortfolioRHS])>}TOTAL <DateTime> #RiskExpWgt*#MaturityWeightPrv*#SpreadDuration*#Spread)/sum({$<Portfolio=P([PortfolioRHS])>}TOTAL #RiskExpWgt*#MaturityWeightPrv*#SpreadDuration)

sum({$<Portfolio=P([PortfolioRHS])>}TOTAL <DateTime> #RiskExpWgtPrv*#MaturityWeightPrv*#SpreadDurationPrv*#SpreadPrv)/sum({$<Portfolio=P([PortfolioRHS])>}TOTAL #RiskExpWgtPrv*#MaturityWeightPrv*#SpreadDurationPrv)

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Total and Aggr

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