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Assidium
user manual
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Disclaimer
The information delivered by Assidium reporting, this User Manual as well as the AV tutorials (together
the “Reports”) is prepared by Risk101 UK LTD (Company Registration No 04405184). Please carefully
read the entire User Manual for a full understanding of the methodologies and outcomes of the
application and its Reports.
The Reports have been prepared for informational purposes only and are not intended to amount to
financial product advice or a recommendation in relation to any investments or securities. You should
not rely on it to make investment decisions. The Reports contain general factual information only
generated by an algorithmic system that uses the portfolio data input into the system. It should be read
in conjunction with this User Manual (which can also be downloaded from
https://assidium.com/documentation/AssidiumUserManual.pdf
Your personal information was not provided to us. Therefore, these reports do not take into account
your investment objectives, financial situation or needs. You should seek professional financial, legal
and taxation advice when using the Reports.
Any returns shown or implied in this report are not forecasts and are not reliable guides of future
performance. Information contained in this report has been calculated based on variable factors and
may not eventuate. Any opinions or information expressed in the Reports are subject to change without
notice.
Risk101 and Assidium do not accept any liability or responsibility for, and make no representation or
warranty, express or implied in relation to: (i) the data used to generate the Reports; (ii) how the
information in the Reports is used; (iii) the accuracy, completeness, reliability or otherwise of any
information in the Reports. The Reports are not intended to be a complete statement or summary of
your circumstances, the securities, markets or portfolios described in the Report or otherwise. The
Reports may not be an accurate representation of the portfolio, the market or the performance or
outcomes experienced by the portfolio or the market. Neither Risk101, Assidium nor any of its agents,
officers or employees shall be liable for (i) any information in the Reports, (ii) any error, inaccuracy in or
omission from any information in the Reports; or (iii) any direct, indirect, special, incidental,
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In particular, Risk101 takes no responsibility for statements or actions of any other person in respect of
the Reports. Various assets, commodities, securities, currencies, indices and funds may be referred to in
the Reports (“Assets”). Such references should not be construed as an express or implied endorsement
of the Assets by the relevant Asset issuer, index sponsors, Risk101, Assidium or any of their associates. No
product issuer, index sponsor or underlying fund has authorised, been involved in the preparation of, or
caused the issue of the Reports and therefore such entities take no responsibility for any part of the
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You may not copy, download, publish, distribute or reproduce any of the software/information
contained in the Reports in any form without the written consent of Assidium. Neither Risk101 UK nor
Assidium accept any liability whatsoever for the actions of third parties in this regard.
Various indices may be referred to in the Reports. Such references should not be construed as an
express or implied endorsement of the indices by Risk101 or Assidium. The returns and risk profile
described in the Reports are not guaranteed and may not occur.
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Contents
Section 1 --- QUICK START....................................................................6
Section 2 --- BOOK TRADES ..................................................................8
A My trades – Trade report ....................................................................... 8
B
My trades - Add a new trade manually .............................................. 8
C My trades - Import my trades: the import fields (csv) ..................... 10
ASSET CLASS
The asset class ................................................................13
CURRENCY
The security currency .......................................................14
SECURITY CODE
The security code .....................................................14
PORTFOLIO
Portfolio name ...................................................................17
TRADE DATE
The trade date .................................................................17
B/S
Buy (go long) or sell (go short) ....................................................18
QUANTITY
The Quantity .........................................................................18
MULTIPLIER
The Multiplier .......................................................................18
TRADE PRICE
The Traded Price .............................................................20
CONSIDERATION
Not required.............................................................20
BOOKING COSTS CURRENCY The Currency of the booking costs ..20
BOOKING COSTS
The Booking costs ...................................................21
VALUATION CURRENCY
MARGINED
The ‘margined’ flag ........................................................21
FUTURE DATE
STRIKE
The Valuation or trading currency ............21
Futures only .....................................................................21
Options only: The strike price ...............................................22
AMER/EURO
PUT/CALL
Options only: American or European.........................22
Options only: Put/Call ........................................................23
EXPIRY DATE
Options only: The Expiry date .......................................23
D My prices – for OTCs, derivatives, and manual pricing ................... 24
CURRENT PRICE ...........................................................................................24
VOLATILITY
(Options) .............................................................................24
OPTION SETTLEMENT PRICE
RISK FREE RATE
(Options).......................................................................26
DIVIDEND YIELD
(Options) ....................................................................26
UNDERLYING PRICE
E
3
(Options) ...................................................25
(Options) ...............................................................26
My portfolio – to view and revalue your positions ........................... 30
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Section 3 --- VALUATION SETUP - Customising your risk ..................33
Benchmark ..................................................................................................33
Spread .........................................................................................................34
Feeds and settings .....................................................................................36
Dashboard ..................................................................................................37
View..............................................................................................................39
Betas, V@R, Liquidity ..................................................................................39
Compliance ................................................................................................40
Section 4 --- OUTPUT - Interpretation and explanation ...................42
Dashboard output .....................................................................................42
Overview output ........................................................................................43
Stress test charts output ............................................................................47
Stress test data output ..............................................................................47
Summaries output ......................................................................................48
Value at risk (Monte Carlo) output .........................................................48
Liquidity output ...........................................................................................49
Betas output................................................................................................50
Price feed output .......................................................................................51
Utilities ..................................................................................................52
My account .........................................................................................52
Charting ...............................................................................................52
Option calculator ...............................................................................56
Section 5 --- REFERENCE MATERIAL ...................................................59
Appendix A - Glossary ...............................................................................59
Appendix B - Options made easy ...........................................................61
Appendix C - Betas ....................................................................................65
Appendix D – Liquidity ..............................................................................67
Appendix E – Monte Carlo value at risk .................................................68
Appendix F – Market Indices....................................................................70
Appendix G – Sectoral classification standards ...................................71
Appendix H – Standard deviation is volatility........................................73
Appendix I – Relative Strength ................................................................74
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Appendix J – Data supplier price references .......................................75
Appendix K – ISO 3 and 2-character country codes...........................79
Appendix L – ISO 3 -character currency codes ...................................85
Appendix M – Exchanges, providers, and price delays ......................89
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Section 1 --- QUICKSTART
Assidium helps you manage the risk and return analytics of your share
portfolios. You can make informed decisions about stock selection and
position size management, so as to better align the dynamic shape of
your portfolio with your view on the market.
We’ve made Assidium very easy to use. It’s not case sensitive. You
can’t break it. You can refresh it and start again at any moment.
If you have any problems please click on the Help button within the
troublesome page for context-appropriate video tutorials that cover
every aspect of the Assidium share management system. If that doesn’t
help you, try our FAQ page, or please send us an email at
[email protected].
There are only three steps to running Assidium:
1. My trades. Book them into the portfolio of your choice. You can add to them,
update them, or delete them later - as you wish. You do not need to use all of
the supplied portfolios. Your Assidium installation can handle up to 999999
trades across all the portfolios.
2. My prices. If you hold options, or any over-the-counter (OTC) securities, you
need to load their price inputs here. You do not need to load prices for vanilla
listed securities unless you have selected to manually value your holdings.
3. My portfolio. View and sort your holdings. Select your report currency and a
merged or separated view; and tick the portfolios you wish to value. Then
click to revalue. You can value up to 1000 positions at a time.
Three steps: book, tick and click.
Assidium is interactive software. It comes ready to roll but you can also
customise your Setup for future runs. These settings will be saved for you,
and you can change them whenever you like, according to what
questions you are asking about your portfolio/s at the time. At any point
you can click to reset these settings to the defaults from within the
Setup unit: Benchmark page.
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You can export most of the information to a csv file, and also print out
your trade and risk reports and portfolio summaries.
Assidium Mobile is a free app for your smart phone or tablet, and you
can download it from the iStore or from GooglePlay. You can value up
to 20 positions via a Watchlist. Logon and click on the Overview for
these real-time P&Ls.
To be able to manage your investment portfolio properly, you need to
download and install the full version onto your PC or Mac. Go to our
website www.assidium.com to download and install Assidium onto your
PC or Mac.
You can trade futures and options on equities, indices, spreads,
commodities, funds and ETFs. Assidium shows you real-time P&L’s and
exposures, betas, liquidity and value at risk (V@R) - as well as all stresstesting and all the option greeks.
When you first register you are automatically licensed for a two-week
trial version of Assidium. Enjoy!
Assidium is best managed primarily from your PC or Mac. Book your
trades and select which portfolios you wish to revalue while you are on
the move. From the ‘My portfolio’ page click to revalue them, and
while you are polling for real-time prices, click ‘Save to mobile’.
Once you have downloaded Assidium from the mobile stores (iStore or
GooglePlay), you can access these saved portfolios with your usual login from any of your mobile devices.
Assidium – Professional, portable risk management for the private
individual.
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Section 2 --- BOOK TRADES
A
My trades – Trade report
You can filter out portfolios by ticking only those you wish to view, and
then sort all your trades by
 ticket number
 trade date
 portfolio
 currency (and then by security)
 security
 purchases and sales
 asset class
You can either click to ‘Add a new trade’, or import them, or, if you are
using Assidium thanks to your broker, they will appear automatically in
your trade report when you synchronise your status.
B
My trades - Add a new trade manually
 Assidium tags each trade with a unique Assidium ticket number.
 Click the drop-down and select the Asset class. The security


autoprompts lower down are shaped (and speeded up) by your
asset class selection here.
The Trade date defaults to today’s date.
Click in the Security currency field to activate the autoprompt.
This is the currency of the security itself – in which it is traded on its
local exchange.
Assidium Autoprompts
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
The security autoprompts are interactive and get smaller and faster the more
information that you supply: if you load a currency first, then the autoprompts
will only show securities traded in that currency, and if you load an asset class,
e.g. index, they will only show index securities in that currency.

When you are trading a FUND the autoprompt displays the Sedol code as
another identification reference.

Within the security code field the autoprompt narrows even as you type. Look
in the security code list as well as the security description list for help with your
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security name.
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 Click in the Security code field to activate the autoprompt.
 Select whether you are Buying or selling.
 You can group your trades into five separate Portfolios. Any








combination can be revalued at one time, and you can choose
whether the holdings get merged together, or if they remain
discrete.
Enter the Quantity of your trade. This is the number of shares (or
contracts) which you are buying (going long) or selling (going
short; shorting). Because some OTC trades involve odd-lots, you
are not required to enter your holdings in whole numbers (e.g. a
holding of 3.5 options is permissible).
Derivative traders should pay special attention to the quantity,
with regard to its relationship with the multiplier field. If you are
trading 10 contracts of a future, and each future contract is
made up of 100 shares, then the quantity is 10 and the multiplier is
100. Buying 10 of these futures exposes you to 1000 shares in the
underlying spot/share market. For spread trades, the Quantity
defaults to one and you must use the multiplier field to reflect the
size of your position.
The traded Price of the security in its valuation currency.
The Consideration gets calculated out for you. Use it to confirm
that you have entered the quantity and multiplier correctly.
The Booking costs fields are optional.
The Booking costs can be entered in a different currency from
that of the security valuation currency.
The complicated stuff….
Tick the box if your trade is margined
Select your sub-class. It will default to a vanilla asset, but
alternatively tick to select whether your asset is a fund or a
spread.
The ‘SPREAD’ sub-class setting allows you to load a different
valuation currency from your security currency, and the required
box opens once selected. If the currency is not loaded, Assidium
will assume the security currency as the valuation currency. For
spread positions, the Multiplier defaults to one and you must use
the Quantity field to reflect the size of your position.
Example: You live in the UK and trade Apple in the US at £2 per point (i.e. per $0.01
move; say from $600.00 to $600.01)
Asset class
Equity
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Sub-class
Security currency
Security code
Trade price
Quantity
Valuation currency
Spread
USD
AAPL.US
600 (i.e. in USD)
200
GBP
Here are some examples of spread multipliers - but they differ across brokers,
exchanges, and trading platforms, so check with your counterparty first, as well as
checking your valuations in Assidium.
If your desired spread size is in £1 per point then that implies, for



C
VIX volatility index 15.01>15.02 > set your quantity at 100
FTSE Index 2934.4 > 2935.4 > set your quantity at 100
GOOG.US 600.01 >> 600.02 > set your quantity at 100
My trades - Import my trades: the import fields (csv)
If you are using other software to manage your portfolio, or if you are
loading a long trading history, it may prove worthwhile to set up a csv
file as a once-off and import your trades all in one go.
Click ‘Import my trades‘. Browse for your CSV file, and then click ‘Import
trades’. View your imported trades within the import screen and when
you are satisfied click ‘Save’ to save them to the database. The
headers of each field must follow a specific naming convention: To
download an import file template so that you can enter your trades or
simply to get an idea of the layout, click on:
http://assidium.com/documentation/IMPORT.CSV
A full description of each of the required fields follows this section.
More about the portfolio fields and the .csv import file:
Each column in the file corresponds to the headings within the ‘My
trades’ page in Assidium. The order of these fields does not matter.
Note that quite a few of the fields, if not populated, have a default fill.
Please see the black info-box immediately below for the full set of
default rules – it will simplify your import process.
The headers are not case sensitive, but within the file they must be
labelled exactly the same as in the ‘Row-1 header’ column in the
section below the black box.
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To help you out…..Assidium default rules when importing your trades:
You can leave out certain fields from the trade import file, and Assidium will
complete them for you. The default rules are:





If you don’t enter an Asset class then the default is EQUITY
If you don’t enter a Trade date then it will default to today’s date
If you don’t enter L or S it will default to LONG
If you don’t enter a Multiplier it will default to 1 (standard for equities)
If you load a valid future listed on our security database and you don’t
enter a future date then it will default to the future date on our security
master
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Cash rules:
The Assidium Auto-cash facility can be activated in the Setup/Settings tab. If active (the defau
is NOT active), then when Assidium revalues your portfolio it adds a line-item on the fly that
represents the cash you originally spent on each trade, so that moving forward in time your
cash will be automatically updated as you book your trades.
Example:
You start your fund with £10 000 cash, which you book in as cash GBP’s.
If you buy 2 x FTSE.GB-INDEX at £4000 then that trade costs you £8 000 and therefore Assidium
raises a cash line of -£8 000 to display what that purchase cost you.
Your net cash is displayed as a single line per currency type in the Overview tab. In this instanc
it would show Net cash GBP = £2000.
If you include booking costs then you will see a further line for ‘Net costs’, i.e. the total amount
of booking costs for each currency.
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List of trade import field headers: (detailed information follows below this list)
Row-1 header
All securities need:
ASSET CLASS
Description
TRADE PRICE
BOOKING COSTS CURRENCY
BOOKING COSTS
VALUATION CURRENCY
MARGIN
The asset class or type of security (e.g. INDEX). If left blank the
default is EQUITY
The currency of the security as it is traded on its local exchange
(e.g. EUR)
The security code (e.g. BHP.GB)
The name of the portfolio in which you want to group the trade
The date when the position was first opened (if left blank the
default is today)
The buy/sell flag (if left blank the default is Long)
The quantity / number of shares traded
The number of underlying shares represented by a contract. This
is 1.00 for most securities, but many derivatives are traded where
one contract represents 100 or 1000 shares of the underlying
security. In this case the multiplier would be set to100 or 1000
accordingly. (If left blank the Assidium default is 1)
Spreads are always traded with a multiplier of 1, for crosscurrency reasons
The traded price at which you purchased or sold the security
The currency in which the booking costs are reported
The booking costs and exchange fees (optional)
The currency in which the P&Ls are calculated (e.g. GBP)*
The margin flag (Y/N)
Futures also need:
FUTURE DATE
The expiry date of the future contract
Options also need:
STRIKE
AMER/EURO
PUT/CALL
EXPIRY DATE
The strike price of the option
The exercise rule (must be A or E)
The option-type identifier (must be P or C)
The expiry date of the option
CURRENCY
SECURITY CODE
PORTFOLIO
TRADE DATE
B/S
QUANTITY
MULTIPLIER
*Spread traders may trade a position where exposures and P&Ls are measured and calculated in
GBP on the USD gold price. In this example, GBP is the ‘CURRENCY’ and USD is the “VALUATION
CURRENCY’.
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BREAKDOWN: THE TRADE IMPORT HEADERS ONE AT A TIME:
ASSET CLASS
Also
ASSET
SEC-TYPE
The asset class
in the import file header
This field defines the asset class of the security, and must contain one of
the descriptors below:
CASH*
MONEY
Physical cash
Physical cash
EQUITY
EQUITY SPREAD
EQUITY FUND**
EQUITY OPTION
EQUITY FUTURE
EQUITY FUTURE OPTION
Physical/spot stocks and shares
Spread bet on an equity
A fund holding equities
Options on the physical equity
Equity futures
Options on the equity future
INDEX
INDEX SPREAD
INDEX FUND
INDEX OPTION
INDEX FUTURE
INDEX FUTURE OPTION
Physical indices- NOT index futures
Spread bet on an index
A fund holding indices
Options on the physical index
Index futures
Options on the index future
COMMODITY
COMMODITY SPREAD
COMMODITY FUND
COMMODITY OPTION
COMMODITY FUTURE
COMMODITY FUTURE OPTION
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Physical commodities - NOT commodity futures
Spread bet on a commodity
A commodity fund
Options on the physical commodity
Commodity futures
Options on the commodity future
*You can include the cash value of any cash investments you may have, in their appropriate
currency, in your portfolio by loading a SEC-TYPE called CASH, or MONEY.
**Funds are treated generically in Assidium, so the decision of how to label them is up to you
– it’s for reporting purposes only.
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How to book a cash trade:
The Asset class is CASH. The Security code for cash and the currency code will be the
same – it is the currency in which you have invested your cash. The Trade date is the
date you made the investment. Assidium will calculate currency P&Ls associated with
currency movements from the closing cross-rates on this (historical) date. You will be
Long the cash. In the Quantity field, enter how much cash you have. The Traded price
is always 1, and the Multiplier is always 1.
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CURRENCY
Also
The security currency
CURRENCY
SECURITY CURRENCY
SEC.CURR in the import file header
This is the currency in which the actual security is traded on its local
exchange. Assidium is a multi-currency product. The system will
automatically calculate any P&Ls from the security currency
movements against your report currency (as selected in ‘My
portfolios’), even if the local price of the security has not changed at
all.
The currency codes used by Assidium are the internationally recognised
3-character ISO currency codes. Please see Appendix F for a reference
list, or click in the currency field for the autoprompt.
SECURITY CODE
The security code
Also CODE in the import file header
If you wish to make use of the real-time price feeds from a data vendor
such as Yahoo or Google, you will need to load a valid Assidium
security code in this column. Assidium uses a very specific format to
identify each security because it is a global software system that can
handle securities listed on multiple exchanges in different countries. If
you are unable to find your security code within Assidium, and it exists
at your selected data supplier, please email us at
[email protected], and we will load it for you.
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You need to tell us:




your data supplier (Yahoo, Google, etc.)
your supplier’s code for the missing security
your security’s long name
and if possible, the previous night’s closing price for your security
Security code naming conventions in Assidium:
You can see from the security autoprompts that the naming
convention works like this:
1.
2.
3.
4.
The security code, as supplied by the exchange
A full-stop.
The country identifier as per the official 2-letter ISO country codes
Where there is more than one stock exchange within the country, the
relevant exchange is then added at the end, with a hyphen (with some
exceptions). A list of the exchange/country codes can be found in Appendix
D.
5. Indices then add a hyphen and the word ‘INDEX’ at the end, for example
DJ-COMP.US-INDEX
A security code example: BHP Billiton is a dual listed stock:
-its code on the London Stock Exchange is BLT, and
-its code on the Australian Stock Exchange is BHP
Thus the share code for these two securities would start with BLT.GB and
BHP.AU respectively; and because Australia sports the SFE and the ASX
exchanges, the complete code for the Australian-listed Billiton is in fact
BHP.AU-ASX.
Curious?
The four main US exchanges do not require a suffix, because they have an internal agreement
preventing security duplication. Thus all securities listed on any of the below do NOT require an
exchange flag and remain simply ‘.US’.
American Stock Exchange
NASDAQ
New York Stock Exchange
BATS Exchange
Yahoo prices, for example, are real-time for these exchanges, and not delayed by 15 minutes like
most of the other exchanges.
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Here is a list of the most commonly traded exchange/country codes
supported by Assidium. For the full list please of exchanges supported
by the various data suppliers please see Appendix D.
Country
Exchange
Suffix
Australia
Canada
France
Germany
Australian Stock Exchange
Toronto Stock Exchange
Euronext
Frankfurt Stock Exchange
.AU-ASX
.CAN-TO
.FR-NX
.DE-F
United Kingdom
London Stock Exchange
.GB
USA
Chicago Board of Trade
.US-CBT
USA
Chicago Mercantile Exchange
.US-CME
USA
Dow Jones Indexes
.US
USA
NASDAQ Stock Exchange
.US
You can also create your own over-the-counter, or OTC security to
represent any fund, unit trust or other investment you may have which is
not recognised by Assidium. These securities simply need a smiley “:)” at
the beginning of the security code so that Assidium can identify them
as such.
For example :)MYSECURITY. There is no need to add a country suffix to
the security code. No matching or validation is performed on any
security beginning with a smiley face.
If you do not populate the ‘Current price’ field of an OTC in ‘My prices’,
then Assidium will revalue the security at the entered Trade price, and it
will not show a profit or loss unless it was traded in a currency other than
your reporting currency – your P&L’s will be due only to cross rate
fluctuations. You will need to update the current price field on an ongoing basis yourself, manually. Simply type the price into the Current
price field of the My Price page, in the correct units. (This is true for all
your holdings if you select to manually update the price in the ‘Price
feeds’ setup page.)
OTC securities will appear as ‘Unclassified’ in your sector exposure as
well as in your country breakdowns.
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PORTFOLIO
Also
ACCOUNT
Portfolio name
in the import file header
You can rename each of your portfolios from within the ‘Setup/Display’
unit. Within the file, you can load each trade into:
Put the actual name of each of your renamed portfolios
Put 1,2,3,4, or 5
Put Portfolio 1, Portfolio 2, Portfolio 3, Portfolio 4 or Portfolio 5
TRADE DATE
Also
TRADE DATE
VAL-DATE
VAL DATE
VALUE DATE
VALUATION DATE
TRANSACTION DATE
The trade date
in the import file header
Assidium accepts the following date formats:
Europe:
USA:
21/06/15
06/21/15
21\06\15
06\21\15
21.06.15
06.21.15
21-06-15
06-21-05
21.Jun.15
Jun.21.15
21-Jun-15
Jun-21-15
(make your US/UK country date format selection in ‘Valuation setup’- Feeds and settings)
The date you traded. If you don’t populate this field in the import file,
Assidium will assume the date that you ran the import. This field is
important for those trades where the security currency is different from
your report currency (that’s the one the one you set in ‘My portfolios’).
Assidium records the closing cross rate of the day on which you loaded
the trade (the trade date) and, when you click GO, it is able to
separate out the P&L due to changes in the security price (the capital
P&L) from the currency P&L, which is that part of the P&L due to
changes in the cross rate. This P&L breakdown can be viewed in the
Overview tab when you are revaluing your portfolios. If you do not see
this breakdown, go to ‘View’ in the ‘Valuation setup’, and make sure
that the required fields are ticked for your required viewing device.
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B/S
Also
LS
L/S
L-S
BS
B/S
B-S
Buy (go long) or sell (go short)
in the import file header
For each transaction, you can use
For long positions: LONG, L, BUY, B, PURCHASE, P
For short positions: SHORT, S, SALE, SELL
QUANTITY
Also
QUANTITY
NOMINAL
NO.OF SHARES
The Quantity
in the import file header
The number of shares (or contracts) of which you are long or short.
Because some OTC trades involve odd-lots, you are not required to
enter your holdings in whole numbers (e.g. a holding of 3.5 options is
permissible). Derivative traders should pay special attention to the
quantity, with regard to its relationship to the multiplier field. If you are
trading 10 contracts of a future, and each future contract is made up
of 100 shares, then the quantity is 10 and the multiplier is 100. Buying 10
of these futures exposes you to 1000 shares in the underlying spot/share
market.
For spread positions, the multiplier must be 1 and you use the Quantity
field to reflect the size of your position.
MULTIPLIER
Also
MULTI
The Multiplier
in the import file header
The multiplier applies to ALL securities, but if you are trading a vanilla
equity and you leave this field blank, the system will automatically
populate it with a value of 1.00.
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For options, futures, and certain commodities, this multiplier represents
the number of underlying shares equal to one of the derivative
contracts.
OPTIONS: Most option contracts use a multiplier, such as: One option
contract is the right to purchase or sell 1000 shares in the underlying
security. In this example the multiplier would then be set to 1000. When
entering the traded price of the option into column 7, remember to
enter the option price PER SHARE (not per contract). Assidium will then
reference the quantity and the multiplier when calculating the (Value)
field, using the formula above.
COMMODITIES: Multipliers are crucial when arbitraging commodities
across different exchanges, where the quoted unit size may not be
consistent. Certain exchanges quote commodities in Metric tonnes,
whilst others quote in Imperial tons. These sizes are marginally different,
and traders often enter a multiplier to cater for this difference.
SPREAD BETTING: If you are modelling spread trades in any asset class,
then select that from the Asset class autoprompt (e.g. ‘Commodity
spread’). If you are trading a spread then the multiplier field is required
to be 1. Then use the quantity field to reflect the size of your position.
The ‘SPREAD’ asset class setting allows you to load a different Holding
currency (column 13, the ‘Valuation currency’) from your Security
currency (column 2).
Example: You live in the UK and trade Apple in the US at £2 per point (i.e. per $0.01 move; say
from $600.00 to $600.01)
Asset class
Equity
Sub-class
Spread
Security currency
USD
Security code
AAPL.US
Trade price
600 (i.e. in USD)
Multiplier
1
Quantity
200
Valuation currency
GBP
Here are some examples of spread multipliers - but they differ across brokers and exchanges,
so check with your counterparty first, and confirm your valuations within Assidium.
If your position is in £1 per point then that implies, for



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VIX volatility index 15.01>15.02 > set your multiplier at 100
FTSE Index 2934.4 > 2935.4 > set your multiplier at 100
GOOG.US 600.01 >> 600.02 > set your multiplier at 100
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TRADE PRICE
Also
The Traded Price
PRICE
TRADE PRICE
TX PRICE
TRANSACTION PRICE
in the import file header
The price, in the security’s traded and quoted currency, at which you
traded the share or contract. For options, this is the price (or premium)
of each option per underlying share, in line with international practice
(not the price of each contract).
CONSIDERATION
Also
VALUE
Not required
in the import file header
If this field is populated Assidium will reference it, but if it is blank then
we will calculate it for you. It is equal to the quantity x the traded price
x the multiplier
BOOKING COSTS CURRENCY The Currency of the booking costs
Also
COSTS CURR
COSTS CURRENCY
BOOKING COSTS CURRENCY
in the import file header
Assidium allows you to manage your booking costs in a currency other
than that of the valuation currency of the position, if you wish. If your
report is in GBP, and you traded Apple shares on the NASDAQ via a
European broker who is charging you in Euros for exchange fees and
brokerage; then you can load these costs into Assidium in Euros for
consistency.
Note however, that these fees will reference the historical cross rate on
the trade date, but they will NOT be revalued in the P&L calculations at
the ruling cross rate. The concept is that they were paid and settled in
the past, and the result is simply included in the Capital P&L column.
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If Booking costs are loaded but the booking cost currency is not
defined, then Assidium will assume these costs are in the security
currency
BOOKING COSTS
Also
COSTS
BOOKING COSTS
The Booking costs
in the import file header
This is the booking costs and exchange fees of executing your
transaction. If you do not wish to look at booking costs, simply uncheck
the ‘Include booking costs’ checkbox in the ‘Feeds and settings’ tab
before you revalue your holdings.
VALUATION CURRENCY
Also
The Valuation or trading currency
VAL CURRENCY
VAL.CURR
in the import file header
The valuation currency is normally the same as the security currency.
However, if you are trading spreads you are able to trade the P&L of a
security in a currency that is different from its security currency. If the
valuation currency is not defined then Assidium will assume it is the
same as the security currency.
MARGINED
Also
MARGIN
MARGINNED
The ‘margined’ flag
in the import file header
This flag must be either set to Y or N, and denotes whether or not the
security is margined. Margined options are valued slightly differently to
non-margined ones, as there is almost zero cost to holding the option if
it is margined, and thus they offer excellent gearing. If the option is not
margined then the premium must have been paid in cash when the
option was transacted.
FUTURE DATE
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Futures only
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Also
FUT
FUTURE
FUTURE DATE
FUTURE-DATE
in the import file header
This field, which applies to futures only, is the expiry date of the futures
contract. This date may differ from the options expiry date, especially
for commodities. The name of any future is coloured blue in the
Assidium outputs for easy reference.
Assidium accepts the following date formats:
Europe:
USA:
21/06/15
06/21/15
21\06\15
06\21\15
21.06.15
06.21.15
21-06-15
06-21-05
21.Jun.15
Jun.21.15
21-Jun-15
Jun-21-15
(make the country date format selection in ‘Valuation setup’- Feeds and settings)
STRIKE
Also
STRIKE PRICE
Options only: The strike price
in the import file header
This is the strike price of the option, and must be entered in the same
currency as the quoted price of the underlying security. (See the
Reference Material for a thorough explanation of the relevant option
terminology, or study our White Paper on options.) The name of any
option is coloured pink in the Assidium outputs for easy reference.
AMER/EURO
Also
AE
A/E
A-E
AMER-EURO
Options only: American or European
in the import file header
This flag must be set to either A, for American style options, or E, for
European style options. American options can be exercised any time
before the expiry date, while European options can only be exercised
at expiry. (See The Reference Material for a detailed option overview)
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PUT/CALL
Also
PC
P/C
P-C
PUT-CALL
Options only: Put/Call
in the import file header
A put is the right (not the obligation) to sell a security later, at a price
agreed now. A call is the right to buy a security later at a price agreed
now. See Appendix B for a full option overview.
EXPIRY DATE
Also
EXPIRY
EXP-DATE
EXP DATE
Options only: The Expiry date
in the import file header
The date the option expires. For certain contracts in some asset classes
(e.g. commodities), the futures date and the option expiry date are not
the same.
Assidium accepts the following date formats:
Europe:
USA:
21/06/15
06/21/15
21\06\15
06\21\15
21.06.15
06.21.15
21-06-15
06-21-05
21.Jun.15
Jun.21.15
21-Jun-15
Jun-21-15
(make the US/UK country date format selection in ‘Valuation setup’- Feeds and settings)
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D
My prices – for OTCs, derivatives, and manual pricing
If you have chosen a third party data supplier and are only trading
vanilla listed securities, you will not require this screen. It is only used to
manually load prices for securities that are NOT listed on of the
exchanges that Assidium can help you to access, and to load all the
inputs required for option valuations. For detailed help on Options and
the option greeks, see Appendix B. The relevant fields are listed below:
CURRENT PRICE
For users preferring to manually update the prices of their positions,
load the ruling market price for your security here for P&L valuation
purposes.
Note: If you do choose to use manually entered prices, then Assidium
will not accept a current price of zero. It will see that as ‘no price
entered’, and calculate the average price of the trades in that
security, and use that (so you would show a P&L of zero on that security
in that instance).
If you are using a third party data supplier, and Assidium cannot find a
price on a security from your supplier, under certain circumstances it
will poll other suppliers to try to find a price for you. If it still cannot find a
price, the same process will apply: Assidium will use the average price
of the holdings of that security. For this calculation, only trades that are
in portfolios currently being revalued are considered, and trades in that
security from portfolios not being revalued in that particular run are
ignored.
Assidium will continue to reference your data supplier for the other
positions in your portfolio.
VOLATILITY
(Options)
This is the volatility or standard deviation of the price of the underlying
security, and is usually expressed as a percentage (do not include the
% sign when populating this field). Volatility is crucial when valuing an
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option: the higher the volatility, the greater the chance of the option
being exercised, and therefore the higher the premium.
Volatility is the most powerful variable when Assidium values options. If
it is entered as well as a settlement price, then the settlement price will
be ignored and only the volatility will be used in revaluing the option as
the price of the underlying moves up and down.
Please study the option valuation principles in the black boxes at the
end of this section. They are extremely important.
For detailed help on Options and the option greeks, see ‘Options made
easy’. See also the white paper on Standard deviation.
OPTION SETTLEMENT PRICE
(Options)
In derivatives markets this is the price used for determining profit or loss
for the day and any required margin flows. It is usually calculated by
exchange-defined averaging procedures at market close every day. In
Assidium this is loaded as the price or premium per option on each
underlying share (as opposed to the price or premium per contract). If
the multiplier of a single contract is set to 100, then the total premium
for a single contract would be the settlement price x 100.
The option premium or settlement price is an important variable, and if
you enter it then Assidium will use it as the current price – and override
anything you may have in the current price field.
If you do not enter the settlement price of a smiley/OTC security,
Assidium will look for the volatility, and if that is not populated it will use
the trade price as proxy for the settlement price.
You can enter either the volatility or the settlement price, and Assidium
will calculate the other variable for you. If you enter both variables
NOTE that Assidium will reference the volatility and ignore the
settlement price. If you enter only the settlement price (and not the
volatility) then you must also enter the price of the underlying security in
the underlying price field, so that Assidium can calculate the volatility
out for you. NOTE that it will then continue to use this calculated
volatility to value your options as the price of the underlying moves up
and down, until you change the settlement price.
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See the black box below for rules on option inputs and how they affect
Assidium valuation rules for your options.
CAUTION:
If you use volatility as your input variable, don’t forget to
update it if the market gets more - or less - volatile
RISK FREE RATE
(Options)
This field is optional: If you do not fill it in, it will be ignored.
NOTE: Assidium assumes that your supplied rate is the exact risk-free
rate from the date of valuation to the expiry date of the option. No
"massaging" of this rate is performed, so it will NOT be converted from
an annual rate to a periodic rate for the life of the option. (The Assidium
risk evaluation assumes that the settlement rule is t+0, i.e. that any
premiums are paid on the same date as trade and the same date as
expiry.)
DIVIDEND YIELD
(Options)
This field is optional: Assidium does not store forecast dividend yields. If
you do enter a yield, it will be used in calculating your option values. If
nothing is entered, then Assidium will assume a dividend yield of zero.
UNDERLYING PRICE
(Options)
This field is only required when the option is a manually loaded/OTC/
security, or when no real-time price is available from your selected
data supplier for the underlying security of normal options.
For normal options, it is required when an option settlement price rather
than an option volatility has been entered. Assidium needs it in order to
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calculate the implied volatility at the beginning of the run. (Yahoo,
Google etc.)
OPTION VALUATIONS:
Assidium goes three ways
You can trade options in three different ways

Exchange-traded or price-traded options: if Assidium recognises the option
security code, and your chosen data supplier can provide a price for it, we will
continue to display that dynamic price for you as it changes.

User-defined options: You can load the underlying security code, underlying
price, expiry date, risk free and volatility or settlement price of your option, and
Assidium will value it for you based on these inputs and the movement of the
underlying security. The inputs will be used to calculate a volatility for your option,
which will THEN be used to calculate a value and risk outputs for your option,
based on movements of the underlying.
 OTC or ‘smileys’: You can trade OTC, or ‘smiley’ options – options where the
underlying security code is not listed. The underlying security code must begin
with a :) and you must ALWAYS provide an underlying price. It will be treated as a
security with a linear risk profile in Assidium.
~

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Now read the next blue box….
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OPTION VALUATION RULES:
IT’S ALL ABOUT THE VOLATILITY
Because Assidium allows you to trade options in three different ways, valuations
are governed by some very important rules:
Exchange/price traded options:
If you enter a Current price in the My Prices screen, it will only be used if a
live price cannot be found. As above, volatility always takes preference
over price. Thus if you enter both, Assidium will reset the settlement price to
zero and ignore it in all valuations.
User-defined options and OTC options:
Volatility always takes preference over price. If you load both a current price
and a volatility in the ‘My prices’ tab, the current price will be reset to zero
and ignored.
If you do not enter a volatility then the following rules apply:
If you do not enter a volatility then Assidium requires an underlying price and
a current price so as to calculate the volatility of the option.
Then….
If you enter a current price then Assidium will calculate the implied volatility
at (t-1) and use that implied volatility for all valuations.
If you do not enter a current price, then Assidium takes the average traded
price as proxy for the current price, and calculates volatility as above.
And what’s more…
NOTE THAT: Even for price-traded options, if you enter a volatility, this will take
preference over all live prices for the option. i.e. live prices will be ignored,
and only the entered volatility will be used, in conjunction with the
underlying price.
Also…
If any option trade is booked with a trade price (i.e. a settlement price) of
zero Assidium accepts that price and assumes that you got them for free.
~
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Price traded options above – we should provide a warning message
MERGING OPTIONS:
Assidium is able to ‘merge’ or collapse all of your spot and
derivative positions into the underlying security, so that you see as
few exposure lines as possible.
However, if certain variables are not identical, then this will not
occur. For options, if any of the variables below differ between two
options, then these option positions will NOT merge when clicking
‘collapse holdings’ in the Overview output:
Multiplier
Volatility
Settlement price
Risk free rate
Dividend yield
~
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E
My portfolio – to view and revalue your positions
This is the screen from which to launch the revaluation function of
Assidium. Select which portfolios you want to revalue in your run; select
your report currency; select whether you want the holdings merged
across your portfolios or not – and click the yellow ‘Revalue selected
portfolios’ button.
The currency you select here determines the currency of the output
reports. Your choice here is reflected in the flag at the top right-hand
corner of your Assidium display. Within the Overview display you are
able to toggle between this overriding currency view, and one which
shows you each position in its own traded currency, with totals
displayed in your currency selected here.
Your trades are displayed here as merged balances – i.e. the net
position of all of your trades in each security. They can be sorted





alphabetically
by portfolio
by currency then by security
by security,
and by purchases then sales
The fields are listed below:
Asset class
Currency (the security currency)
Security code, in Assidium format
Portfolio name – can be updated in the Valuation setup
Quantity
Multiplier
Average price – this is the weighted average price of all your trades in
the position until the position is closed. This means that Assidium does
NOT realise the profits or losses on any partial sales; they get
reabsorbed into the average price.
Average price - example:
You buy 10 x AAPL.US @ $500 – consideration is $5000
You sell 5 x AAPL.US @ $550 – consideration is $2750
Therefore you remain long of 5 AAPL.US with consideration of $2250, meaning
the average price of each share is $450.
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Consideration - you do not need to enter a ‘consideration’ value for
each holding, because Assidium calculates it for you. We use the
following formula:
Value or Consideration
Value
= the amount you paid or received to put on the position
= Quantity x Traded price x Multiplier
~
Costs currency (the booking costs currency)
Costs
Valuation currency
Margined flag
Future date
Strike price (options only)
American or European (options only)
Put or call (options only)
Expiry date – option expiry date (options only)
PORTFOLIO SELECTIONS FOR YOUR RUN
Before you click to revalue your portfolio/s, ensure that you have ticked the ones you
want to revalue out of your five portfolios. They do not all need to be run at the same
time, and you are able to look at each one separately or to group them together
according to your needs.
~
Trades on the same day in the same security will appear merged in the
My Portfolio page. Trades booked on different dates in the same
security and portfolio will not appear merged unless you click the
‘combine holdings of the same security’ button.
This trade date separation is to allow Assidium to separate currency P&L
out of the overall P&L in the Overview output (if the report currency is
different from the traded currency). The trade consideration is
crossed into the report currency at the closing FX rate on the relevant
trade date and is crossed back at revaluation time, or when the
position is closed. When trades are merged the weighted average is
calculated, so no detail is lost. In the Overview screen you can then see
the Currency P&L and the Capital P&L (P&L due solely to the
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movement of the shareprice in the valuation currency). To disable this
function, go to the Setup/ Settings screen. The default is to calculate
the currency P&L on non-margined securities only.
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Section 3 --- SETUP - Customising your risk
After you have booked your trades into your portfolios, and before you
click to revalue for the first time, you might like to check your valuation
settings for the run. Assidium is an interactive risk management tool,
and you can change your enquiries as you go. When you first use the
system these will all be populated with the standard Assidium defaults,
which can be reset from the Benchmark page. However each setting
will have a material effect on your analytic outputs, and you may wish
to tweak them between runs. Click ‘Save and quit’ to keep your
changes, or hit the escape key on your keyboard or the quit button to
exit with no changes.
Benchmark
Selecting your benchmark index
Choose the benchmark that governs the majority of the positions you
are trading. It is used in these ways:



It is used in the Monte Carlo V@R module. The NAV of your
portfolio(s) will be (theoretically) invested fully in the index, and put
through the same modelling methodology as your selected
(merged) portfolio holdings. This allows you to compare the Worst
Case return had you been invested in the index, against the Worst
Case return of your portfolio.
It is used in the Beta module, to calculate relative returns. See our
white paper for detailed information on Betas in Assidium.
Over/Under performing against the index. (Roll out of this function is
planned for 2014)
See our white paper on ‘Market indices’.
Selecting your sectoral standard
We suggest you choose the sectoral standard that governs the majority
of your holdings. It will be used in your sectoral breakdowns in the
Dashboard and Overview output tab. These summaries help you gain
better confidence in your portfolio by being always aware that your
greatest exposure concentration is in, for example, Pharmaceuticals
rather than Mining. You will see both graphic and tabular analyses of
your sectoral breakdowns in the run (i.e. once you have pressed GO).
Please see our White Paper on Sectoral hierarchies if you are unfamiliar
with the concept.
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Assidium has designed its own sector breakdowns, and your holdings
will be grouped as follows:
Assidium sectoral breakdown:
1. ENERGY
2. RAW MATERIALS
3. INDUSTRIALS
4. CONSUMER GOODS
5. CONSUMER SERVICES
6. HEALTH
7. TELECOMM
8. UTILITIES
9. FINANCE
10. TECHNOLOGY
11. OTHER
Please note that, while we do everything in our power to maintain upto-date and valid information on our securities, it is possible that there
may be some sector changes of which we are not aware. If you see an
outdated or invalid sectoral allocation for a particular share, please
email the information to us at [email protected] and we will
update it as soon as we can.
Please also read our white paper on ‘Sector classification standards’.
Settings
a. The scale of the X-axis spread
This is the size of the price stress performed on your holdings, and
affects the scale of the option and P&L graphics in your risk dashboard,
and the stress-test charts and stress-test data outputs. If you enter ‘10’ in
the box, (which is the default), then the current price of each of your
holdings will be increased by 10%, and decreased by 10%. Absolute
basis point (bp) stress is usually more useful for fixed interest portfolios.
Note that for equities, the market prices will then be stressed in terms of
the major currency unit of each security – i.e. for GBP the absolute
stress will be in pounds, not in pence.
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b. 2D versus 3D (for later releases)
A 2D (2-dimensional) stress simply changes the prices of your holdings
as described above. A 3D stress (rollout 2014) also displays a third axis of
twelve time-slices, so that you can see how your portfolio would
change over time (ceteris paribus). This is extremely useful for option
books where theta is a large consideration, or with calendar-spread
positions.
c. The option valuation date of your portfolio
This is relevant for option traders who calculate exact theta values on
specific dates. For traders trading options on a volatility basis, this date
can be used to test option valuations in the future, as well as in the
past. See the Assidium White Paper on options.
d. The treatment of cash
Assidium handles cash in two ways:
The default is to disable the Auto-cash. This means that as you book
your trades you need to update your cash holdings accordingly.
Example: You start a fund with £10000. You buy 100 MKS.GB at £4 each. If you
are concerned about seeing your NAV, or the current value of your portfolio,
when you book the MKS.GB purchase you would either update your cash
trade and change it from long £10000 to long £9600, or book a short cash
trade (a sell) of £400 to show the purchase cost on your cash.
If you enable the Auto-cash, then Assidium does this for you on the fly
when you revalue your portfolio.
EXAMPLE: You start a fund with £10000. You buy 100MKS.GB at £4 each. When
you revalue your portfolio, Assidium automatically creates a cash line-entry
reflecting the cost of the holding. Your net cash is displayed in the Overview
as £9600.
You only ever need to book your capital flows, and you never need to
book the cash effect of your trades, whether they are purchases or
sales.
e. The Currency P&L
Currency P&L is due to fluctuations in FX rates between your report
currency and the valuation currency of your position over time.
Assidium can separate currency P&L out of the overall P&L in the
Overview output (if the report currency is different from the traded
currency). The trade consideration is crossed into the report currency at
the closing FX rate on the relevant trade date and is crossed back at
revaluation time, or when the position is closed. When trades are
merged the weighted average is calculated, so no detail is lost. In the
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Overview screen you can then see the Currency P&L (due to
movements in the FX rate) and the Capital P&L (P&L due solely to the
movement of the shareprice in the valuation currency).
The default is to calculate the currency P&L on non-margined securities
only. If your trade is margined, these FX crosses would normally not be
valid as no cash is involved; however make your selection here.
f.
Booking costs
Booking costs and currency P&L – tick here to include booking costs in
your displays.
Display
Not displaying cents/pennies will simplify your display, but you may
need to see them, especially if you are trading options.
Date format – you can choose whether to view all dates in the
European (dd/mm/yy) or American (mm/dd/yy) format
Toggle between the dark blue ‘Modern’ skin and the paler ‘Classic’.
You can rename each of your portfolios from the default ‘Portfolio 1, 2,
3’ by clicking within each white box. Remember to ‘Save and close’ on
exit.
Feeds
You have a number of choices with respect to your pricing updates.
The most simple and obvious is to manually enter a current price when
you first load your holding into Assidium, in the ‘CURRENT PRICE’ field of
the ‘my prices’ page. This you can update manually simply by typing in
the price for each holding.
However, if you are using Assidium thanks to your broker you will
probably be receiving automatic price updates from them. Otherwise,
you may prefer to use one of the real-time data suppliers freely
available on the internet. Make this selection in the ‘Price feeds’ tab of
the setup screens.
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Later releases may access the CNBC or FT data platform as well as
Google and Yahoo. Note that if you choose to pull your data from one
of these suppliers, Assidium urges you to observe their terms and
conditions and likewise cannot guarantee the accuracy or
appropriateness of their data.
A WORD OF CAUTION
Assidium cautions you to make sure that you have mapped your required security
correctly to the Assidium security database and are receiving updates for the correct
one.
~
Having selected a price-feed source, you can choose which price
update information to use when automatically updating the portfolio,
and whether to poll continuously or to revalue only once during a run.
Certain data suppliers provide a choice between the last traded price,
or the standing bid and offer prices, for example.
Dashboard
This screen allows you to design your dashboard so as to compose a
one-page summary that suits the requirements of your portfolio as well
as your personal trading style. All output is calculated into the report
currency selected in ‘My portfolio’, as indicated by the flag in the top
RHS corner of your Assidium display.
Simply drag and drop to place the graphics as required. Group 1
graphics cannot go into the RHS of the display, and Group 2 cannot be
placed in the LHS of the display. If you keep the boxes directly beneath
any of the Breakdown reports free, then the report will extend
downward into the lower box/boxes as well, showing you double or
triple the amount of holdings. The breakdown reports allow you to
toggle between P&L and exposure from within the risk dashboard itself.
If you widen your screen slightly you will be able to see the current price
of each security as well.
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Graphics*: The settings for the choice of benchmark and the scale of
these graphics are defined from within the Spread page. Each graphic
shows the result of stressing (increasing and decreasing) the current
price of each underlying security in the portfolio/s by the percentage
defined in the ‘X-axis spread’ box. To view these graphics in greater
detail and for further help with the concepts, please see ‘Stress-test
charts’. Our white paper ‘Options made easy’ will also be useful.
The Graphs available are:

Profit and Loss (P&L) – resulting from the difference in valuations
between the average price and the current price (x Quantity x
Multiplier)

Delta-adjusted cash exposure - the current market exposure of your
portfolio. This equals delta x current market value x multiplier. It also
equals the total consideration of the hedge instrument required to
perfectly hedge the position. If you are holding options it will not
necessarily equal the current market value of your portfolio

Gamma – the rate of change in the delta for a one unit movement
up or down in the price of the underlying security.

Theta - the ‘time decay’ of your option book per day, as the
options approach expiry. Assidium values the options as at your
selected valuation date (the default is ‘today’), and then, using all
the same inputs (current price, volatility etc.), it changes the date
to ‘valuation date + 1’ and revalues them. This valuation difference
is called theta.

Vega - measures what difference a 1% increase in the volatility will
have on the premium of an option. This is then summed to give you
the effect on the value of your entire portfolio. As with theta,
Assidium values the options, and then ONLY changes the volatility
level, and then revalues them. Vega is the difference in premium
between the two valuations.

Rho – is the difference an increase of 1% in the risk-free rate has on
the premium of the options in your portfolio. As with vega, the
options are valued, and then ONLY the risk-free rate is changed,
and then they are revalued. This difference is called rho.
Breakdowns:
These reports group and rank the holdings in your portfolio in various
combinations. Within the dashboard you will be able to toggle
between P&L and exposure for your breakdowns, and also to view the
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current price of each security. All results are also displayed as
percentages of either the total exposure or the total P&L.
Breakdowns by sector depend on your selection of sectoral standard in
the ‘Benchmark’ page.
*These notes are written with special reference to options. Assidium currently does
not cater for other asset classes and their derivatives. If you are looking for software
to handle such instruments, please see www.risk101.com.
View
This screen allows you to tailor the displays on each of your devices, by
hiding information that is useless to you. Start by ticking the profile that
most defines you, and then tweak it further by ticking or unticking
individual boxes as you wish. If you are unhappy with your selections , or
your holdings profile changes, you can always come back here to
change them.
Betas, V@R, Liquidity
These three analytical processes may affect the speed of your portfolio
updates, so only check the ones that you will be using during your run,
and the others will not be calculated. You can always come back here
and change your settings for subsequent runs.
Portfolio Betas (uncheck if not required):
Betas measure a security’s sensitivity to the movement of the
benchmark index (as selected in the Benchmark page). For example, a
security that has a beta of 1.10 means that for every return in the
benchmark; the security's returns, on average, will be 1.10 times the
benchmark return. So if the benchmark returns 10%, the security will
return 11%. If the benchmark declines, the principle holds - if the
benchmark returns -10%, the security will return -11%. For a full
explanation, please see our white paper on Betas.
The time period you choose over which to calculate these historical
betas should be based upon your trading time horizon as well as
historical market events.
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Monte Carlo V@R inputs (uncheck if not required):
Value at Risk (V@R) answers the question ‘how much would I have lost’
as well as ‘how sure am I that I would have lost that little or that much?’
Assidium uses the Monte Carlo method of calculating V@R. A Monte
Carlo Simulation is an attempt to predict the future many times over. At
the end of the simulation, hundreds of "random trials" produce a
distribution of outcomes that can be ranked and analysed according
to how commonly or rarely each outcome occurs. For a detailed
explanation of the use of Monte Carlo V@R in Assidium, please go to
the Section 4, V@R output.
In this screen you input your assumptions regarding:
a. Iterations – the number of random trials you would like to perform in
your V@R calculation
b. Annual drift - the expected annual return of your portfolio
c. Annual volatility - the expected volatility of the drift above
Please see our white paper on Value at risk for a full explanation of the
Assidium V@R methodology.
Liquidity (uncheck if not required):
Liquidity is a measure of how quickly you can close out the positions in
your portfolio. It is calculated by examining the weighted average of
the actual historical trade volumes of each holding.
Here you need to set your assumption about the period of data you
want to include when calculating this average number of trades per
share (‘how far back do you want to look?’). The more conservative
view would usually average out over a longer period of historical trade,
but after periods of extreme market volatility, the opposite may be true.
You are able to change your market saturation factor within the
Liquidity output display itself. Please see more information on Liquidity in
the Reference section, Liquidity.
Compliance
The compliance module is under construction (May 2014).
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Section 4 --- OUTPUT - Interpretation and explanation
Once you have clicked to ‘Revalue your portfolios’, Assidium allows you
to access the latest prices from your data supplier, according to your
selection in the Setup/Feeds pages. The first page that opens is the risk
dashboard, as designed by you in the setup screens.
Dashboard output
The dashboard provides you with a one-page, high level summary of
the risk profiles of your portfolio. Go to the dashboard setup pages for
help on designing this screen.
If you are trading options, the six option greeks may be shown on the
left half of the screen. Please see our Reference Material for an
understanding of options and the greeks.
In the report breakdowns, the ‘U’ and the ‘M’ icons in the dashboard
refer to your selection in the Overview screen, and can be changed
there. They determine whether your positions are displayed as
‘Unmerged’ (as is), or as ‘Merged’, where the exposure of all
derivatives is rolled or collapsed into their underlying. Toggle between
Exposure and P&L for breakdowns of each.
If you widen your screen to the right you can view the real-time price
movements of each security. Not all price updates are live. For
information on the delays of each exchange, please go to Appendix
M.
Note that all the outputs for this screen are calculated in the report
currency you selected in ‘My portfolio’, as indicated by the flag in the
upper RHS of the screen.
Just below the flag you can see the NAV (Net Asset Value) box. The
Book value is the ‘cost value’ of your fund before you clicked to
revalue it. Profit/loss shows the Overall P&L of your selected holdings as
a result of revaluation. Current NAV is the sum of these. Click in the NAV
box to open the Portfolio NAV reconciliation, which provides a
breakdown of this summary.
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Portfolio NAV reconciliation
The explanation for this screen is displayed below the report, in gold
capital letters.
Capital flows + Purchases and sales = Book value
Book value + Capital P&L + Currency P&L = Current NAV
Overview output
Directly above the output, there is special functionality for multicurrency holdings.
You can click to view your report values in the reporting currency, (as
set up in the ‘My portfolio’ tab), which displays the holding numbers in
blue, or you can view each holding in the currency in which it was
traded (green). Totals and subtotals will always remain in the reporting
currency (blue).
Option traders can click to collapse or merge their options into the
underlying security exposures.
This is useful where options accompany future positions in the same
security, or to simplify and reduce a strip of option investments.
Note that the Quantity column in the ‘Unmerged’ display changes to
the ‘Stock equivalent delta’ in the Merged display. This shows you the
equivalent number of underlying securities you are exposed to once
the derivative has been collapsed.
Example: You hold 100 at-the money equity option calls on GOOG.US with a delta of
0.5. In the merged display, this changes to a Stock equivalent delta of 50 GOOG.US
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Spread holdings will merge into (and with) the underlying security as
long as the valuation currency is the same. If you have two separate
spread trades in the same security and with the same valuation
currency, but their booking costs are in different currencies, then when
you select to ‘Merge derivatives into their underlying holdings’, these
holdings will remain separate. However if you choose (Setup/Settings)
not to display booking costs, then these holdings will merge.
Please go to the Reference Material for extended explanations on
Options and the option Greeks.
You can re-sort your holdings using the drop-down menu, which helps
to gain a crucial understanding of your portfolio outline, and where
your concentrations lie.
The Sort drop-down menu:
Note that all sorting is done in the reporting currency, and so there may
be some apparent anomalies in the sort you are viewing – for example
the Delta adjusted cash exposure may be displayed in the currency of
each holding, but remember that the original sort was performed in the
reporting currency.
‘Long, then short exposure’ follows the rule of exposure rather than of
position: so if you are short a put, remember that it will be grouped in
the ‘Longs’ section.
‘Sort by absolute exposure’
‘Sort by net exposure, ascending’
‘Sort by sector’ groups your holdings by exposure within the Sectoral
hierarchy you selected in the setup screen. Assidium has designed its
own sector breakdowns, and your holdings will be grouped as follows:
Assidium sectoral breakdown:
12. ENERGY
13. RAW MATERIALS
14. INDUSTRIALS
15. CONSUMER GOODS
16. CONSUMER SERVICES
17. HEALTH
18. TELECOMM
19. UTILITIES
20. FINANCE
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21. TECHNOLOGY
22. OTHER
Please see our white paper on ‘Sector Classifications’.
‘Sort by current value (Absolute)’- the current value of a position is what
you would receive were you to close out the position. For options it is
the entire premium of the holding, and for equities it is the current price
of the share x the number of shares you hold.
‘Sort by portfolio’ – if you selected to merge the holdings of your
portfolios together before the run, then this sort will not be active.
The fields within the spreadsheet:
The delta of an option is the ratio of the change in value of the
premium, given a one penny move in the price of the underlying asset.
The delta of a share and of a future is always one.
The Profit/loss column shows you the difference between the market
value of your holding when you loaded the portfolio, and the holding
as it is valued using the price data from your chosen data feed.
For multi-currency portfolios, Assidium can separate the Overall P&L into
Capital and Currency P&L. You can select to view all three or only the
ones relevant in the View tab of the Setup unit.
Capital P&L: This is the P&L due solely to the change in price of the
position from the average price of the holding to the current price
when it is revalued in its valuation currency.
Currency P&L: With every trade, Assidium references the trade date
and finds the FX cross rate of the valuation currency against the report
currency. When you revalue, the consideration of the trade is ‘crossed
into the report currency at trade date, and then ‘crossed back’ into
the holding currency using the live FX rate at the date of valuation (or
when you closed the position). The ‘Cost Value’ is compared with the
Current value at revaluation time, to give you an overall P&L which
includes both capital and currency P&L.
Note that Assidium does NOT re-calculate the currency P&L on mobile
devices, because it is calculated using the historic cross-rate obtained
for the holding on the trade date. Re-loading these historical rates on
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tablets or mobiles would add massive overhead to the CPU processing
requirements. This is only a problem if the user changes the report
currency on the mobile device from the original report currency that he
was using on his PC/Mac.
In this case Assidium assumes the currency P&L to be the same
between the trade currency and the new report currency.
EXAMPLE: Report currency of GBP :
We buy 100 BHP on 01.01.13 for AUD 20.00 at an Fx-rate of 1.5.
(Therefore pay GBP 1333.33)
Today we revalue the security at AUD 20.00 but the dollar has
weakened to 1.80 therefore the holding is now only worth GBP 1111.11
representing a currency loss of GBP 222.22.
If we transfer that holding to the mobile but change our reporting
currency to South African Rands (ZAR) the overview will merely revalue
the 222.22 loss in Rands at the current AUD/ZAR cross-rate, and will not
take into account any currency movement in the Rand since the trade
date (01.01.13) and to-day.
2. The second reason is that all watchlist holdings are assumed to be
for valuation now, and consequently there is no currency PL to be
accounted for.
The percentage P&L shows you the percentage of the profit of your
single share against the total P&L for your portfolio. (This is obviously
affected by your portfolio selection when you clicked GO.)
If you open your screen to the right you will see even more output – or
use the scroll bar along the lower part of your screen.
The Delta-adjusted cash exposure of the holding will not necessarily
equal the market value of your holding. The exposure equals market
price x nominal x delta x multiplier.
The next column shows each share’s exposure as percentage of the
total exposure of your selected portfolio(s). This is especially useful when
preparing for big market moves, as it shows the ‘market sensitivity’ of
your portfolio holdings.
Scroll further to the right if you wish to see more information on your
holding, and how Assidium is valuing it.
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Stress test charts output
Please see our Reference Material for a detailed explanation of options
and the greeks.
This infographic shows you what will happen to your portfolio if you
‘stress’ the market prices of all your holdings by the percentages you
defined in the setup screen (e.g. up by 10% and down by 10%). These
aggregate values displayed are relevant to your portfolio as a whole.
Simply select which greek curve you want to view by checking the
relevant box across the top of the screen. Curves display in the same
colour as the box label, and as you move your cursor across the X axis
inside the graph, you will see the actual values of the curve displayed
beneath the relevant box. Portfolio values are displayed in the
currency of your setup choice above the GO button.
Be aware that, if you have selected a real-time data feed, this screen is
continually updating with the real time price inputs, including the
benchmark. So the at-the-money price in the middle of the X-axis is
adjusting all the time. This is easier to see if you toggle the X-axis to view
the benchmark, rather than the spread.
Use the buttons on the RHS of your screen to change the X-axis labels
from a percentage or absolute bp setting, to the actual price levels of
your chosen benchmark after the stress. If you are viewing multiple
curves together, then you may want to fix the Y-axes so that the
numbers display is relevant.
You can view this information in tabular form in the next tab, ‘Stress test
data’.
Stress test data output
This unit shows you the same information displayed on the stress test
chart, but in tabular format. Use the scroll bar on the RHS to scroll up to
your maximum spread stress, and down to your minimum price stress.
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You can toggle between the colourful aggregated greeks for your
portfolio as a whole, or click the button at the top of your screen to
view greeks for each individual holding. This allows you to drill into any
potential problems you may perceive in your book, and identify which
specific holding is most responsible for any spikes in your
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

Market value
Delta adjusted cash exposure, or
Profit and loss
Simply toggle each button to activate the view you require.
Summaries output
Ten reports show you the following:
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
Exposure overview
Exposure by underlying and then derivatives
Exposure by asset class
Exposure by sector
Exposure by country
Exposure by currency
A detailed options expiry report
An option expiry exposure report, summarised by month
Exposure by future contract date
Exposure for your top ten positions, merged and unmerged
Value at risk (Monte Carlo) output
Value at Risk (V@R) answers the question ‘how much would I have lost’
as well as ‘how sure am I that I would have lost that little or that much?’
If a portfolio's 10 day V@R at 99% confidence is $1m, this means that in
10 days from today you can be 99% confident that your portfolio will
not have lost more than $1m in value.
Assidium uses the Monte Carlo method of calculating V@R. A Monte
Carlo Simulation is an attempt to predict the future many times over. At
the end of the simulation, hundreds of "random trials" produce a
distribution of outcomes that can be ranked and analysed according
to how commonly or rarely each outcome occurs. This relates back to
the degree of confidence with which we can expect certain
outcomes.
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V@R is run on unmerged individual holdings, with the number of
iterations per holding selected by you in the setup screen. The portfolio
drift (return, or ‘expected growth in the asset price’ in the formula
above) and the volatility are defined manually in the setup screen.
Both the drift and volatility should be annualised. The drift and volatility
of the benchmark is often used as the proxy for the portfolio.
Please see our white paper for a full explanation of Assidium Monte
Carlo V@R.
In the output display you can select different confidence levels as well
as flip between different liquidation periods. For comparative purposes,
the data is presented next to results from similar iterations run on a
‘control’ portfolio which is fully ‘invested’ in the benchmark of your
choice.
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

The first (left-hand) box shows results for iterations of the portfolio
holdings.
The second (middle) box shows results for iterations of an imaginary
portfolio invested fully in the benchmark index.
The third (right-hand) box shows the relationship between the two.
The formula is simple:
V@R for your portfolio/V@R for the benchmark portfolio x 100%~
A 100% relative result means that your portfolio has exactly the
same V@R as the benchmark portfolio for your selected
confidence level.
Toggle to view the graphic output, which compares the iterations for
your portfolio against those for the control benchmark portfolio.
Please see the V@R white paper for a breakdown of the underlying
assumptions.
In later versions users may choose whether to adjust the drift by the
beta of the individual holdings, and the volatility of each individual
holding can be used instead of an average number to represent the
portfolio’s average volatility.
Liquidity output
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Assidium accesses the volumes traded in each of your holdings every
day. Then we average that daily amount over the number of days or
weeks that you chose in the setup screen. In line with international
practice, cash holdings are excluded and liquidity is calculated on
absolute exposures.
Click to select the market saturation, which is how much of the
market’s daily volume you believe you can trade …. 5%? 50%? (e.g. if
100 000 shares trade every day in AGK.GB on the FTSE, and you believe
you can participate in 10 000 of those, then select 10% market
saturation) The liquidity report is broken up into eleven discrete timebands, showing you what percentage of your portfolio can be
liquidated in each time band.
Assidium calculates liquidity by merging all your different derivative
holdings together for each security. This means that if you have equities
and futures and options on the same security, we will add up your total
exposure in that share and work out how many of the underlying
security you would need to trade to get out of the position. This is called
‘merging’ the position. Please see our white paper on Liquidity for more
information.
Betas output
BETA shows you how ‘in tune’ your portfolio is with the market, as
represented by your chosen index.
A security that has a beta of 1.1 means that, over a certain period, if
the benchmark goes up by 1%, the value of the security will, on
average, go up 1.1 times the benchmark return. You could say that the
BETA of a security measures that security's sensitivity to the movement
of a chosen benchmark. The benchmark is usually an index, for
example the FTSE-250. Please read more about Betas in our White
Papers section.
In a bull market you may prefer to have a portfolio with a high beta,
whereas in a bear market you might prefer a lower beta. Please see
our white paper on Betas.
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The Exposure equals delta x current market value x multiplier. The ‘Beta
vs. Benchmark’ column shows the results of the linear regression of the
security's return against the selected benchmark's return. Where
Assidium returns a red zero, there is insufficient historical price
information for the calculation.
The important column here is this one, which shows the beta weighted
by the exposure of your position. This is the result of the beta of the
holding being multiplied by the exposure of that holding.
The betas have also been separated out into up and downside betas.
Price feed output
After clicking the ‘Revalue your portfolios’ button you are immediately
directed to the price update screen. If you have chosen to access a
price-feed supplier, you will be able to see their prices feeding into
Assidium for each holding and for any currency data. Remember that
where there is a delay from the stock exchange to the data supplier,
this delay will be passed on to the user. It is usually no longer than 15 or
20 minutes, but that may not always be true. Assidium can take no
responsibility for errors in mapping the share price in your portfolio to the
correct share at the exchange.
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Utilities
Updating the

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
security,
sector,
currency and
country databases
from the Assidium websites will slow down your user experience each
time you click GO. It is however advisable to do this regularly –
especially when you think there may have been changes made to any
of the details in any of the list above. They may well affect your P&L’s.
Be aware that corporate actions can have a very real effect on your
portfolio, and the onus is on you to make any required changes to your
holdings to reflect a corporate action that your holding may have
experienced. If you are seeing a price which does not tie up with
external valuations for your required security, please contact us
immediately at [email protected].
You need to tell us:




your data supplier (Yahoo, Google, etc.)
your supplier’s code for the missing/incorrect security
your required security’s long name
and if possible, the previous night’s closing price for your security
My account
Access My account to view and update your account details and your
password.
Charting
Data service provider permitting, you can pull historical charts of daily
volume or closing-price data on up to five different securities by
clicking ‘Charting’ in the upper row of the main taskbar.
Then click along the top to open and edit one of the five codeselection boxes. In this new screen, type in your required security code.
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Go to Section 2 A – Security code for help on naming securities in
Assidium. Because the system handles multiple exchanges and
countries, there is a rigorous security code naming convention.
Toggle between price and volume data.
Tick to activate the Arithmetic functions. These are useful for viewing
currency cross rates (GBP/USD) and for share spreads, for example for
comparing the relationship between TESCO and WAITROSE.
Select one of the radio boxes to change the colour of your chart line.
You can either view the raw data, or a moving average on that data,
or the volatility of the data, or the relative strength of the data. Make a
selection from one of the radio buttons, which offer preselected or userdefined data averaging periods.
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

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Moving average –The period you choose is relevant to your
investment profile. It can be indicative of longer, slower price
momentums, and is sometimes used to exclude ‘noise’ in the share
price
Volatility – This measures the standard deviation of the historical
price series, and shows how wildly your share price is fluctuating.
Volatility is a crucial input into the valuation of an option. Assidium
calculates standard deviation as follows:
o Calculate the average of all the observations (mean)
o Subtract this average from each of the observations, and
square the result
o Add each of these results together
o Divide that total by the number of observations; and then
find the square root of that result
Relative strength (RSI) – this is a momentum indicator, measuring
the speed and change of price movements. It fluctuates between
0 and 100. J. Welles Wilder, who developed the concept,
considered a share to be overbought if the oscillator showed
above 70, and oversold below 30. As an indicator, it works best on
shares trading within a range. It is often used to detect
‘divergence’; for example when a share is making higher and
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
higher tops but the RSI is near overbought and making lower and
lower tops, the run may be tiring out.
Go to
http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:rel
ative_strength_index_rsi
for further information on Relative strength as a decision making
tool. Please see Appendix C for more detail on the Assidium
approach to relative strength
Additional functions - The ‘invert’ function is useful for currencies and
confusing for the rest. Tick to draw the mean and/or the standard
deviation of your data as well. These two functions are calculated on
your data string, whether it be the raw closing price data, or the
derived calculations strings, such as moving average, volatility or
relative strength.
After you have made your selections, click to ‘Draw’ or simply ‘Quit’,
which takes you back to the chart display
In the main screen, as you move your cursor parallel to the X axis within
the chart, the relevant price for each security is displayed directly
beneath its sharecode.
You can make your start and end date selections from within the
screen, and simply click to redraw.
Because you are viewing independent data sets, it may prove useful to
calculate the percentage change of each historical shareprice, rather
than view the actual price movements. Alternatively you can view the
natural log scale of the prices instead. ‘Fixing’ the Y axis and viewing
the ‘% change’, will result in viewing the returns of each share, all based
initially at 100.
Click on the ‘View data’ tab along the upper part of your screen to
view (and export) the daily closing price or volume data in tabular
form.
Note that when viewing data on an arithmetic function, (for example
the 30 day moving average of a share), that data will only be visible at
least 30 days after the first date! So scroll down the page a little to find
the beginning of the data string.
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Please remember that UK data is, by international convention, always
displayed in pence, whereas price data from all other countries is
displayed in the major currency unit (i.e. dollars not cents, etc.)
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Option calculator
The Assidium option calculator is multi-purpose: if you input the volatility
then we will calculate the resultant premium for you, and if you input
the premium, then Assidium will iterate out the implied volatility
according to your other settings.
First select which option pricing model you prefer to use. It can be
useful to compare the valuation output offered by the Black-Scholes
model against that from a Binomial valuation, for example.
If you are trading margined options where there is very little cost of
cash, we suggest that the Black Commodity model would be more
appropriate because it ignores the risk free and the dividend yield.
Note that the Assidium risk module applies the Black commodity
formula for all margined options. It ALSO uses it for all options on an
index, whether they are flagged as margined or not in the setup
screen. This is because options on an index are always margined.
In the calculator, if you choose the Black Scholes model, and enter a
risk free of zero, you will probably still see a rho value, because rho
measures the effect on the premium of a change in the risk free – for
example, a move from 0 to 1%.
If you know the precise security code of your listed, price-traded
option, then load that in the Option code field. If Assidium holds the
security on its databases, it will populate the relevant fields for you.
Otherwise skip this field and enter all the other information that you
know about the option.
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Example:
Let’s price an OTC 14 month at-the-money call on spot TESCO shares. We will
therefore select the Black-Scholes calculator. Let’s assume that the current date is 5th May
2014, and the option will expire on the 3rd July 2015.
Leave the Option code field blank, and click to define the settlement terms, which govern
when the premium is settled and how many days after expiry the underlying security must be
paid for if the option is exercised. For most listed options these terms would be t+0. This can
affect the valuation of the option, because the settlement dates are the actual dates used
in the option calculation. Note that the Assidium risk module assumes settlement rules of t+0.
Quantity:
Enter the number of option contracts being bought or sold (here 10)
Strike price:
Tesco is trading at £3.40, and because we are pricing an at-the-money
option, its strike is also £3.40
Current price of the underlying security: TESCO is £3.40 as above
Risk free rate: Assume 2% (simply enter ‘2’).
Annualised dividend yield: Assume the expected dividend yield for the year is 1%. (Enter ‘1’)
Multiplier:
Each option contract gives us the right to buy 100 shares. If this field is left
blank Assidium assumes a multiplier of 1.
Implied volatility: If we know the volatility, then we enter it here; or if we know the premium,
then we enter that in the lower field. If you enter the premium you MUST specify whether it is
the premium for puts or for calls. Enter the total premium for the entire quantity of options
that you entered in the Quantity field (NOT the option settlement price, which is a ‘per
underlying share’ value!)
Remember that in the Charting unit you can calculate the volatility (or standard deviation)
of the historical closing price of TESCO as a proxy input for your calculator.
Enter the Implied volatility (e.g. 17%), and click to Calculate.
You can click the value fields of the outputs on the right hand side of the screen in order to
view a simple graphic of how each option greek is affected by movements in the underlying
price (here assumed to be a 10% move up and down; so %10 x £3.40 = £0.34, thus from £3.04
up to £3.74).
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The theta is most costly when the option is ‘at the money’, and reduces, as the spot price of
TESCO diverges from the strike level. (Check the scale – the theta is shown as if you are long
the option, and so the numbers cost is displayed as negative).
You can view your weekly theta by changing the number of days in the lower middle box
‘Theta, vega and rho intervals’: and re-calculating.
Currently, the weekly time-decay cost of holding ten calls is £3.69. Remember that these 10
contracts give me the right to buy 1000 Tesco shares at £3.40 up until the 3rd July next year.
This calculator assumes a European option – which means that you cannot exercise it before
the expiry date.
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Section 5 --- REFERENCE MATERIAL
Appendix A - Glossary
Arbitrage
This is a method of trading where the investor does not
care about the absolute movement of the price of a security, but
rather looks at the differential in price between two related securities.
Example: We think the price difference between BHP Billiton and
Rio Tinto is going to narrow. Then we might sell (short) the more
expensive share, and buy the cheaper one, on a cash-for-cash basis.
We are then hedged on an absolute price-movement basis, and are
only exposed to the differential between to the two securities. This is
known as "arbitrage".
NAV The Net Asset Value of your portfolio. It represents the theoretical
amount of money you would realise if you sold the entire portfolio
today. In Assidium we show this as Cost (the cost of putting on each
position) + Cash (any cash you are holding within the portfolio) + P&L
(the profit or loss on all of your revalued holdings).
Consideration
This is the value of the holding, often also referred to
as the Market Value.
Exposure
This is the actual maximum amount that you could
lose on each holding. For simple securities such as equities, the
exposure is always the same as the consideration, but this gets trickier
when you start to trade futures and options. The financial definition of
Exposure is
nominal x price x delta x multiplier
The exposure amount of an option will not necessarily equal the current
market value of that option. The current market value of the option is
the premium, or the amount you could sell it for now, but the exposure
of the option is how much you could gain or lose by holding the option.
Because you can be liable for more than the original amount that you
invested, options are known as GEARED securities.
Settlement price This is the premium at which an option contract
trades, usually calculated at the close of each trading day. It is quoted
as a price per single underlying share, rather than a price for the entire
contract. It is important because it determines whether a trader may
be required to post additional margins. It is set by defined procedures
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that may differ slightly across exchanges as well as the particular
traded security.
Vanilla
Similar to its meaning in other contexts; in financial
markets ‘vanilla’ securities would be simple products such as spot
equities or mutual funds.
Gearing
In the context of the financial markets (not
accounting), gearing is a feature of leveraged instruments such as
options and futures. In options markets, by investing a small amount
called the option premium, investors could multiply their gains because
the potential returns are magnified. Their portfolio is then ‘Geared’.
Selling options can expose one to greater risk than only the loss of the
premium received, because the downside risk can be unlimited. In the
futures markets, it is possible to buy a margined future, where the
investment profile is much bigger than the actual cash laid out. Some
margining requirements are only 15% of the exposure of the position.
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Appendix B - Options made easy
An option is the right to buy or sell an asset at a pre-agreed price at a
future date.
A PUT option gives the holder the right to sell the underlying asset.
A CALL option gives the holder the right to buy the underlying asset at
a pre-agreed price.
The pre-agreed price is known as the STRIKE price.
The date in the future is known as the EXPIRY date.
EUROPEAN options only allow the holder to exercise his option (if he
wishes to do so) on the EXPIRY date.
AMERICAN options allow the holder to exercise his option at any time
up to the date of expiry. ie: He may exercise the option early if he
wishes.
1. Valuing options
Options have existed at least in concept since antiquity. It wasn't until
publication of the Black-Scholes option pricing formula in 1973 that a
theoretically consistent framework for pricing options became
available.
The formula developed by Myron Scholes and Fischer Black is based on
the following inputs.
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
The VOLATILITY of the price of the underlying security. - The higher
the volatility, the more chance of the option being exercised,
therefore the higher the premium that the writer of the option will
charge.

The Black-Scholes formula assumes that the writer of a call option
will have to buy at least a certain amount of the underlying asset to
have on hand to deliver, should the holder exercise his option.

The formula assumes that the writer of the option would have to
borrow money from the bank to finances his purchases, therefore
the current RISK-FREE BANK RATE at which he would borrow is also
factored into the formula.
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
TIME - How long is the option? The longer period of the option, the
greater the chance of the underlying price moving, and therefore
the greater the chance of the option being exercised. So the
longer the option, the higher the premium

STRIKE VS SPOT PRICE the further away that the strike price is from
the current spot price of the underlying asset, the less the chance
of the option being exercised, so the closer the strike is to spot, the
higher the premium.
2. Terminology:
When the strike price of the option is far away from underlying spot
price the option is known as being "OUT OF THE MONEY".
When the strike price of the option is close to or the same as the
underlying spot price the option is known as being "AT THE MONEY".
When the strike price of the option is (above that of the spot price in
the case of calls) and (below that of the spot price in the case of puts)
the option is known as being "IN THE MONEY".
3. The greeks:
DELTA : The Delta of an option is the ratio of the change in value of the
premium given a 1 cent move in the price of the asset.
Change in option premium
Delta = -----------------------------------------------------Change in price of underlying security
When an option is deep out of the money (i.e. the strike price is a long
way from the current spot price of the underlying asset), a 1 cent
change in the spot price will have very little impact on the premium of
the option. Therefore the delta will be close to zero.
When an option is deep in the money, and the option already has
intrinsic value, a 1 cent change in the spot price will near as dammit
equate to a 1 cent change in the premium of the option. Therefore the
delta will be close to 1.00.
At-the-money options have a delta of around 0.50.
Therefore by definition:
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The delta of a call option is always between 0.00 and 1.00.
The delta of a put option is always between 0.00 and -1.00.
Simplistically speaking:
We can also look at the delta as a measure of what chance we have
of the option being exercised.
A delta of zero means no chance of exercise.
When the option's strike is close to the underlying spot price (at the
money) there is a 50% chance of exercise.
When the option is in-the-money and the delta is approaching 1.00, the
option will almost certainly be exercised. (100%)
GAMMA: Gamma is purely the rate of change of delta, given
movement of the underlying spot price.
For the three greeks below, please refer to the "valuing options"
paragraph at the top of this appendix.
THETA: Theta is a measure of the "time decay" and is normally expressed
in units of 1-day. All you do is value the option as at today, and then
using all the same inputs (spot price etc.) change the date to
tomorrow, and revalue it.
The theta is the difference in premium between today's and tomorrow's
premiums.
(Remember T-theta, and T-time.)
VEGA :
Vega is a measure of what difference a change in the
volatility will have on the premium of the option, and is normally
expressed as a change of 1% up OR 1% down.
As with theta, you value the option as at now, and then ONLY change
the volatility, and then revalue it. Vega is the difference in premium
between the two valuations.
(Remember V-vega, and V-volatility.)
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RHO : Rho is a measure of what difference a change in the risk-free
rate will have on the premium of the option, and is also normally
expressed as a change of 1% up OR 1% down.
As with vega, you value the option as at now, and then ONLY change
the risk-free rate, and then revalue it. Rho is the difference in premium
between the two valuations.
(Remember R-rho, and R-risk-free rates.)
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Appendix C - Betas
It is useful to consider how your portfolio is expected to respond to
market movements. The beta of a security measures that security's
sensitivity to the movement of a chosen benchmark. The benchmark is
usually an index, for example the FTSE-250.
If the market goes up 10% and your portfolio (or share) only goes up
8.5%, then it has a beta of 0.85.
A security that has a beta of 1.10 means that for every return in the
benchmark, the security's returns, on average, will be 1.10 times the
benchmark return. So if the FTSE returns 10%, the fund will return 11%.
Also, if the benchmark declines, and returns -10%, then the fund would
return -11%.
A negative beta implies that there is a negative correlation between
the security and the benchmark. For example, if a security has a beta
of -0.50, it implies that if the benchmark returns 10.00%, the security
would return -5.00%.
A security that has a beta of 0.00 implies that there is no correlation at
all in the returns of the two instruments. A low beta does not mean that
the fund has a low level of volatility. A low beta means only that the
fund's market-related risk is low.
Therefore, by definition, the beta of your benchmark is 1.
For upside beta, the return of the index is filtered to only use the positive
returns. The matching/equivalent data points from the portfolio on
those dates are then analysed.
For downside betas, the return is filtered to only use the zero and
outright negative returns.
Betas are useful when designing your portfolio. In a bull market you
would look for a portfolio beta greater than 1. If you are worried about
a downward move, you could include shares with a beta less than 1, so
as to reduce the portfolio’s sensitivity to market moves.
A low beta does not mean that the fund has a low level of volatility. A
low beta means only that the fund's market-related risk is low.
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A specialty fund that invests primarily in gold, for example, will often
have a low beta relative to the FTSE, because its performance is tied
more closely to the price of gold and gold-mining stocks than to the
overall stock market, which is what the FTSE measures.
Advanced
To calculate the beta of an entire fund, Assidium calculates the betas
of each security in the fund, and then weights them by each security's
delta-adjusted exposure. (You could see these numbers in the exposure
analysis.)
You can choose the period over which you would like the sensitivities to
be calculated:

The 3 month beta uses 91 days

The 6 month bets uses 182 days

The 9 month beta uses 296 days

The 12 month beta uses 369 days
The betas are calculated using daily closing price data, and if the
currency of the benchmark is different from that of the security, the
security’s price is adjusted by the cross rate before calculating.
Note:
 The Assidium default is to force in a beta of 1.00 for securities
where there is not enough historical information to calculate the
beta (for example for user-defined securities)
 Assidium has boundary limits, and will not accept betas of less
than -5.00 on the lower side, and +5.00 on the upper side. In
addition, a warning is generated if the beta is greater than +3.00
or less than -3.00.
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Appendix D – Liquidity
Assidium accesses the volumes traded in each of your equity holdings
every day. Then we average that daily amount over the number of
days or weeks that you choose.
You can toggle between the buttons setting how much of the market’s
daily volume you believe you can actually participate in …. 5%? 50%?
The report breaks your portfolio up into discrete timebands, so that you
can see how much of your portfolio you can close out within a required
risk window – half a day, a day, a week, etc.
Assidium calculates liquidity by merging all your different derivative
holdings together for each security. This means that if you have equities
and futures and options on the same security, we will add up your total
exposure in that share and work out how many of the underlying
security you would need to trade to get out of the position. This is called
‘merging’ the position.
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Appendix E – Monte Carlo value at risk
How much money would I have lost?
Value at Risk (VAR) answers the question ‘how much would I have lost’ as well as ‘how sure
am I that I would have lost that little or that much?’
If a portfolio's 10 day VAR at 99% confidence is $1m, this means that in 10 days from today
you can be 99% confident that your portfolio will not have lost more than $1m in value.
Assidium uses the Monte Carlo method of calculating VAR. A Monte Carlo Simulation is an
attempt to predict the future many times over. At the end of the simulation, hundreds of
"random trials" or iterations produce a distribution of outcomes that can be ranked and
analysed according to how commonly or rarely each outcome occurs. This relates back to
the degree of confidence with which we can expect certain outcomes.
Monte Carlo setup notes:
VAR is run on (merged) individual holdings, and you can select the number of iterations you
want performed for each run.
The Mersenne-Twister methodology is used to generate the random numbers using a normal
distribution. ‘Seeding’ is required to kick off the random number generator, and Assidium uses
the current date and time to this end. The random number is always between 0 and 1, and it
equals a probability; where 0.5 is the most common, and the tails (0.94 and 0.05) get less
probable.
The portfolio drift (return, or ‘expected growth in the asset price’ in the formula below) and
the volatility are defined manually in the setup screen. Later versions will allow users to
choose whether to adjust the drift by the beta of the individual holdings. Both the drift and
volatility should be annualised.
The drift and volatility of the benchmark are often used as the proxy for the portfolio inputs.
Monte Carlo simulation procedure:
1. Setup the statistical rules and assumptions (in the Assidium ‘Betas, V@R and Liquidity’
setup tab). The portfolio drift (return, or ‘expected growth in the asset price’ in the
formula above) and the volatility are defined manually in the setup screen.
2. Revalue the portfolio using real-time prices.
3. Generate random numbers based on the distribution rules (as per the setup
requirements in 1).
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4. Determine the new stock price for each random number for each holding
(independently). Assidium uses the following price path:
5. Determine the holding value and hence the portfolio value for each iteration
performed
6. Rank the portfolio and determine the daily VAR for the required level of confidence
7. You can scroll through different confidence levels and VAR risk periods from within the
output screen.
As for all models, one must be aware of the underlying assumptions:
Caveat with respect to the Assidium Monte Carlo Simulation:
1. A limitation of the Assidium Monte Carlo simulation is that it assumes all holdings being
analysed have a linear return structure. In other words no adjustments are being
made for securities with a non-linear return (e.g. options)
2. Assidium assumes there are no correlations between holdings; in other words each
price is determined independently of the next.
3. For option valuations, Assidium only adjusts the underlying price (see 1. above). The
volatility and risk free rates are held constant at the current (implied) market levels.
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Appendix F – Market Indices
A stock market index is made up of a basket of stocks grouped together according to a
specific rule. It is a theoretical construct which carries its own price, but cannot be invested in
directly, although you can trade derivatives of indices, such as futures and options.
Because there are so many individual shares listed on exchanges, these indices are used as
barometers of the stock market, or even of the economy as a whole, e.g. the ‘FTSE 250’ or
the ‘Dow Jones top 100’.
Smaller indices may mirror the performance of a particular market sector, such as the Mining
Index of the Johannesburg Stock Exchange, or the ‘FTSE4Good’ index series, which measure
the performance of companies that meet globally recognised corporate responsibility
standards.
Indices are also used as a benchmark for evaluating the performance of an investment
portfolio. They help with stock allocation – if a fund is mandated to track an index, the
manager would allocate shareholdings according to the weighting of the constituents within
that index.
Different types of indices
Indices differ with respect to their weighting rules and with how they account for dividends.
Weighting describes the proportional representation of a constituent calculated within a
given index. The two main ones are:
Price-weighted: In a price-weighted index such as the Dow Jones Industrial Average (DJIA),
the price of the component shares is the sole determinant of the value of the index. The DJIA
weighs each security based on the stock's price relative to the sum of all the stock prices. The
index thus gives proportionately more weight to higher priced shares, ignoring the relative
size of the company as a whole. Some economists turn up their noses at price-weighting
because it allocates assets in a somewhat arbitrary manner.
If company ABC shares trade at $20 a share, and company XYZ shares trade at $10 and
these are twice as plentiful, then the index will hold twice as much of A as B, regardless of the
fact that both companies are the same size. There is no theoretical reason why a stock with
a higher price, all else being equal, ought to perform better than one with a lower price.
Market-value weighted: A market-value weighted (or capitalisation-weighted) index, such as
the Hang Seng Index, is calculated from the ‘market values’ of the constituent companies.
The market value of a company or the market capitalisation of the company (‘market cap’)
is the number of shares in issue x the current market price of the share.
These indices are nowadays often adjusted for ‘free float’. This is when the number of shares
used to calculate the market values of each company is reduced by the number of shares
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not freely available on the market (for example those shares held by a government, or held
to term by Life Insurance companies, cross holdings etc.).
Appendix G – Sectoral classification standards
Sectoral classification standards exist to enable the financial
community to categorize companies and industries across globally
consistent standardised groups. They create a common framework for
portfolio diversification and asset allocation decisions. They generally
consist of a hierarchy of granularity, with huge ‘super sectors’ able to
be divided and subdivided so as to provide a very granular
understanding of the much smaller market divisions.
There are two industry leaders: In practice, both are four tiered, and
most of the same sector and industry designations exist within both
standards.
Global Industry Classification Standard (GICS)
GICS was developed in 1999 by Morgan Stanley Capital International
(MSCI) and Standard & Poor’s.
A company is assigned to a GICS sub-industry according to the
definition of its principal business activity. Revenues are a significant
factor in determining principal business activity; however, earnings
analysis and market perception are also important criteria for
classification.
A company’s GICS classification will be reviewed when there is a major
corporate action that redefines a company's primary line of business; or
else annually as a routine check.
Industry Classification Benchmark (ICB)
In 2005 Dow Jones Indexes and FTSE Group** created a classification
system called the Industry Classification Benchmark (ICB). This replaced
the earlier FTSE classification.
The system allocates companies to a Subsector according to the
nature of their business, which is determined largely by their major
source of revenue.
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Comparing GICS and ICB classifications:
GICS
10 main sectors including:
ICB
10 main sectors including:
Energy
Materials
Industrials
Consumer Discretionary
Consumer Staples
Health Care
Financials
Information Technology
Telecommunication Services
Utilities
Oil and Gas
Basic Materials
Industrials
Consumer Goods
Health Care
Consumer Services
Telecommunication
Utilities
Financials
Technology
Comprises:
Comprises:
24 Industry groups (4 digits)
67 Industries (6 digits)
154 Sub-industries (8 digits)
19 Supersectors (4 digits)
41 Sectors (4 digits)
114 Subsectors (4 digits)
Both systems are used extensively around the world, with GICS
dominating in the USA, Canada, the Pacific Rim, and Australia; whilst
ICB is more widely used in the UK, Europe, and Africa.
Risk101 supports both GICS and ICB classifications, as well as offering
clients the opportunity to create and maintain a four-tiered sector
system of your own. Risk analytics then display exposures and other risk
measures sorted by the sector hierarchy of your choice.
* FTSE is an independent company owned by The Financial Times and
the London Stock Exchange. Its sole business is the creation and
management of indices and associated data services.
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Appendix H – Standard deviation is volatility
Standard deviation, or volatility, is a statistical measurement of dispersion about an average,
depicting how widely a model or simulations’ returns are varied over a certain period of time.
When a fund has a high standard deviation, the predicted range of performance is wide,
implying greater volatility.
Investors can use the standard deviation of historical performance to try to predict the range
of returns that are most likely in the future.
Since a models’ returns are assumed to follow a normal distribution, then approximately 68%
of the time the returns will fall within one standard deviation of the mean, and 95% of the
time within two standard deviations.
Where to find standard deviation calculations in Assidium:
All the graphics procedures in ‘Graphs and Charts’ allow you to calculate the standard
deviation of a time series of closing prices.
Value at risk allows you to enter confidence intervals when calculating VAR. The commonly
accepted standard is to use 95%, 98% or 99% intervals. (The United Kingdom and Europe tend
to use 95% and 98% as a standard, whereas the USA and Pacific-rim countries tend to use
95% and 99%. The original Basel II market risk framework suggested a 99% confidence interval
assuming a 10-day holding period.)
Methodology:
Assidium takes the daily closing price series, and works out the daily returns. Then it calculates
the squared variability of each return from the average return over the period. Volatility is the
square root of that answer divided by the number of days (or by the size of the sample).
Assidium does NOT add 1 to the sample when calculating standard deviation.
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Appendix I – Relative Strength
The Assidium engine scrolls through the entire time period; from day 1, then starts at day 2,
then 3, and does the following for each run:
If today’s price < yesterday’s price then subtract today’s from yesterday’s price; total all
these values for the total observed down differences
If today’s price > yesterday’s price then subtract today’s from yesterday’s price; total all
these values for the total observed up differences
Divide each of these outputs by their respective number of down- or up- observations to
work out the ‘average down’ and the ‘average up’ values over the period.
The data value for day x is 100 –(100/1+(average up/average down)
Example:
Assume the prices are 10, 8, 9, 12 in that order.
Start at first number:
10: 8 is smaller than 10, thus = 10 – 8 = 2 down.
Now do 8: 9 is larger than 8, so 8 – 9 = 1 up.
Now do 9:12 is larger than 9 so 9 – 12 = 3 up.
Down total = 2 with only 1 observation so 2/1 = 2
Up total = 1 + 3 with 2 observations = 3/2 = 1.5
So data point 1 is 100 – (100/1+(1.5/2).
Then repeat the procedure, but starting at 8 (observation 2).
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Appendix J – Data supplier price references
Group 1A: Yahoo: Stock exchanges with live or delayed price feeds
Assidium
Suffix
.AR
.AT
.AU-ASX
.BE
.BR
.CAN-TO
.CAN-V
.CL
.CN-SS
.CN-SZ
.DK
.EU-EX
.EU-MDD
.EU-TI
.FR-PA
.FR-NX
.DE-DE
.DE-BE
.DE-BM
.DE-DU
.DE-F
.DE-HM
.DE-HA
.DE-MU
.DE-SG
.GR
.HK
.IN-BO
.IN-NS
.ID
.IE
.IL
.IT
.MY
.MX
.NL
.NZ
.NO
.PT
.RU-MICEX
.SG
.KR-KQ
.KR-KS
.ES-MA
.ES-BC
.ES-BI
.ES-MF
.ES-MC
.CH-SW
.CH-VX
.TW-TW
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Yahoo
Suffix
.BA
.VI
.AX
.BR
.SA
.TO
.V
.SN
.SS
.SZ
.CO
.EX
.MDD
.TI
.PA
.NX
.DE
.BE
.BM
.DU
.F
.HM
.HA
.MU
.SG
.AT
.HK
.BO
.NS
.JK
.IR
.TA
.MI
.KL
.MX
.AS
.NZ
.OL
.LS
.ME
.SI
.KQ
.KS
.MA
.BC
.BI
.MF
.MC
.SW
.VX
.TW
Country
GMT
Exchange
Argentina
Austria
Australia
Belgium
Brazil
Canada
Canada
Chile
China
China
Denmark
Europe
Unknown?
Unknown?
France
France
Germany
Germany
Germany
Germany
Germany
Germany
Germany
Germany
Germany
Greece
Hong Kong
India
India
Indonesia
Ireland
Israel
Italy
Malaysia
Mexico
Netherlands
New Zealand
Norway
Portugal
Russia
Singapore
S.Korea
S.Korea
Spain
Spain
Spain
Spain
Spain
Switzerland
Switzerland
Taiwan
-3
1
11
1
-2
-5
-5
-3
8
8
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
2
8
6
6
7
0
2
1
8
-6
1
13
1
0
4
8
9
9
0
0
0
0
0
1
1
8
Buenos Aires Stock Exchange
Vienna Stock Exchange
Australian Stock Exchange
Brussels Stock Exchange
BOVESPA - Sao Paolo Stock Exchange
Toronto Stock Exchange
TSX Venture Exchange
Santiago Stock Exchange
Shanghai Stock Exchange
Shenzhen Stock Exchange
Copenhagen Stock Exchange
Eurex
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Paris Stock Exchange
Euronext
XETRA Stock Exchange
Berlin Stock Exchange
Bremen Stock Exchange
Dusseldorf Stock Exchange
Frankfurt Stock Exchange
Hamburg Stock Exchange
Hanover Stock Exchange
Munich Stock Exchange
Stuttgart Stock Exchange
Athens Stock Exchange
Hong Kong Stock Exchange
Bombay Stock Exchange
National Stock Exchange
Jakarta Stock Exchange
Irish Stock Exchange
Tel Aviv Stock Exchange
Milan Stock Exchange
Kuala Lumpur Stock Exchange
Mexico Stock Exchange
Amsterdam Stock Exchange
New Zealand Stock Exchange
Oslo Stock Exchange
Lisbon Stock Exchange
Moscow Interbank Currency Exchange
Singapore Stock Exchange
KOSDAQ
Korea Stock Exchange
Madrid Stock Exchange
Barcelona Stock Exchange
Bilbao Stock Exchange
Madrid Fixed Income Market
Madrid SE CATS
Swiss Exchange
Six Exchange
Taiwan Stock Exchange
.TW-TWO
.SE
.GB
.GB-SEAQ
.US
.US
.US
.US
.US-CBT
.US-CME
.US-NYB
.US-CMX
.US-NYM
.US-OB
.US-PK
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.TWO
.ST
.L
.IL
.CBT
.CME
.NYB
.CMX
.NYM
.OB
.PK
Taiwan
Sweden
UK
UK
USA
USA
USA
USA
USA
USA
USA
USA
USA
USA
USA
8
1
0
0
-5
-5
-5
5
-6
-6
-5
-5
-5
-5
-5
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Taiwan OTC Exchange
Stockholm Stock Exchange
London Stock Exchange
London Stock Exchange - SEAQ
American Stock Exchange
BATS Exchange
NASDAQ Stock Exchange
New York Stock Exchange
Chicago Board of Trade
Chicago Mercantile Exchange
New York Board of Trade
New York Commodities Exchange
New York Mercantile Exchange
OTC Bulletin Board Market
OTC Markets Group (Pink slips?)
Group 1B: Yahoo: Stock exchanges not supported
Curious?
The first two letters of the ISO 4217 three-letter currency code are the same as the 2-letter
code for the country name, and where possible the third letter corresponds to the first
letter of the currency name.~
.AU-RBA
.AU-SFE
.BA
.BD
.BG
.BM
.HR
.CY
.CZ
.EU-TQ
.FI
.HU
.IS
.JP
.KZ
.LA
.LT
.LU
.MK
.MT
.MD
.ME
.PH
.PK
.PL
.RO
.RU-RTI
.RS
.LK
.SI
.SK
.TH
.TR
.UA
.VN
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Australia
Australia
Bosnia
Bangladesh
Bulgaria
Bermuda
Croatia
Cyprus
Czechoslovakia
Europe
Finland
Hungary
Iceland
Japan
Kazakhstan
Laos
Lithuania
Luxembourg
Macedonia
Malta
Moldova
Montenegro
Philippines
Pakistan
Poland
Romania
Russia
Serbia
Sri Lanka
Slovenia
Slovakia
Thailand
Turkey
Ukraine
Vietnam
[email protected]
Reserve Bank
Sydney futures exchange
Turquoise
Group 2A: Google: Stock exchanges with live or delayed price feeds
Group 2B: Google: Stock exchanges not supported
78
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Appendix K – ISO 3 and 2-character country codes
Country
3
2
(International)
AAA
Aruba
ABW
AW
Afghanistan
AFG
AF
Angola
AGO
AO
Anguilla
AIA
AI
Aland Islands
ALA
AX
Albania
ALB
AL
Andorra
AND
AD
United Arab Emirates
ARE
AE
Argentina
ARG
AR
Armenia
ARM
AM
American Samoa
ASM
AS
Antarctica
ATA
AQ
French Southern Territories
ATF
TF
Antigua
ATG
AG
Australia
AUS
AU
Austria
AUT
AT
Azerbaijan
AZE
AZ
Burundi
BDI
BI
Belgium
BEL
BE
Benin
BEN
BJ
Bonaire Sint Eustatius and Saba
BES
BQ
Burkina Faso
BFA
BF
Bangladesh
BGD
BD
Bulgaria
BGR
BG
Bahrain
BHR
BH
Bahamas
BHS
BS
Bosnia
BIH
BA
Saint Barthelemy
BLM
BL
Belarus
BLR
BY
Belize
BLZ
BZ
Bermuda
BMU
BM
Bolivia
BOL
BO
Brazil
BRA
BR
Barbados
BRB
BB
Brunei
BRN
BN
Bhutan
BTN
BT
Bouvet Island
BVT
BV
Botswana
BWA
BW
Central African Republic
CAF
CF
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Canada
CAN
CA
Cocos Island
CCK
CC
Switzerland
CHE
CH
Chile
CHL
CL
China
CHN
CN
Cote d`Ivoire
CIV
CI
Cameroon
Democratic Republic of the
Congo
CMR
CM
COD
CD
Republic of the Congo
COG
CG
Cook Islands
COK
CK
Colombia
COL
CO
Comoros
COM
KM
Cape Verde
CPV
CV
Costa Rica
CRI
CR
Cuba
CUB
CU
Curacao
CUW
CW
Christmas Island
CXR
CX
Cayman Islands
CYM
KY
Cyprus
CYP
CY
Czech Republic
CZE
CZ
Germany
DEU
DE
Djibouti
DJI
DJ
Dominica
DMA
DM
Denmark
DNK
DK
Dominican Republic
DOM
DO
Algeria
DZA
DZ
Ecuador
ECU
EC
Egypt
EGY
EG
Eritrea
ERI
ER
Western Sahara
ESH
EH
Spain
ESP
ES
Estonia
EST
EE
Ethiopia
ETH
ET
Europe
EUR
Finland
FIN
FI
Fiji
FJI
FJ
Falkland Islands
FLK
FK
France
FRA
FR
Faroe Islands
FRO
FO
Micronesia
FSM
FM
Gabon
GAB
GA
United Kingdom
GBR
GB
Georgia
GEO
GE
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Guernsey
GGY
GG
Ghana
GHA
GH
Gibraltar
GIB
GI
Guinea
GIN
GN
Guadeloupe
GLP
GP
Gambia
GMB
GM
Guinea-Bissau
GNB
GW
Equatorial Guinea
GNQ
GQ
Greece
GRC
GR
Grenada
GRD
GD
Greenland
GRL
GL
Guatemala
GTM
GT
French Guinea
GUF
GF
Guam
GUM
GU
Guyana
GUY
GY
Hong Kong
HKG
HK
HMD
HM
HND
HN
Croatia
HRV
HR
Haiti
HTI
HT
Hungary
HUN
HU
Indonesia
IDN
ID
Isle of Man
IMN
IM
India
IND
IN
British Indian Ocean Territory
IOT
IO
Ireland
IRL
IE
Iran
IRN
IR
Iraq
IRQ
IQ
Iceland
ISL
IS
Israel
ISR
IL
Italy
ITA
IT
Jamaica
JAM
JM
Jersey
JEY
JE
Jordan
JOR
JO
Japan
JPN
JP
Kazakhstan
KAZ
KZ
Kenya
KEN
KE
Kyrgyzstan
KGZ
KG
Cambodia
KHM
KH
Kiribati
KIR
KI
Saint Kitts and Nevis
KNA
KN
Korea (South)
KOR
KR
Kuwait
KWT
KW
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Heard Island and McDonald
Island
Honduras
Laos
LAO
LA
Lebanon
LBN
LB
Liberia
LBR
LR
Libya
LBY
LY
Saint Lucia
LCA
LC
Liechtenstein
LIE
LI
Sri Lanka
LKA
LK
Lesotho
LSO
LS
Lithuania
LTU
LT
Luxembourg
LUX
LU
Latvia
LVA
LV
Macau
MAC
MO
Saint Martin French part
MAF
MF
Morocco
MAR
MA
Monaco
MCO
MC
Moldova
MDA
MD
Madagascar
MDG
MG
Maldives
MDV
MV
Mexico
MEX
MX
Marshall Islands
MHL
MH
Macedonia
MKD
MK
Mali
MLI
ML
Malta
MLT
MT
Myanmar
MMR
MM
Montenegro
MNE
ME
Mongolia
MNG
MN
Northern Mariana Islands
MNP
MP
Mozambique
MOZ
MZ
Mauritania
MRT
MR
Montserrat
MSR
MS
Martinique
MTQ
MQ
Mauritius
MUS
MU
Malawi
MWI
MW
Malaysia
MYS
MY
Mayotte
MYT
YT
Namibia
NAM
NA
New Caledonia
NCL
NC
Niger
NER
NE
Norfolk Island
NFK
NF
Nigeria
NGA
NG
Nicaragua
NIC
NI
Niue
NIU
NU
Netherlands
NLD
NL
Norway
NOR
NO
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Nepal
NPL
NP
Nauru
NRU
NR
New Zealand
NZL
NZ
Oman
OMN
OM
Pakistan
PAK
PK
Panama
PAN
PA
Pitcairn
PCN
PN
Peru
PER
PE
Philippines
PHL
PH
Palau
PLW
PW
Papua New Guinea
PNG
PG
Poland
POL
PL
Puerto Rico
PRI
PR
Korea (North)
PRK
KP
Portugal
PRT
PT
Paraguay
PRY
PY
Palestine
PSE
PS
French Polynesia
PYF
PF
Qatar
QAT
QA
Reunion
REU
RE
Romania
ROU
RO
Russia
RUS
RU
Rwanda
RWA
RW
Saudi Arabia
SAU
SA
Sudan
SDN
SD
Senegal
SEN
SN
Singapore
SGP
SG
SGS
GS
SHN
SH
Svalbard and Jan Mayen
SJM
SJ
Solomon Islands
SLB
SB
Sierra Leone
SLE
SL
El Salvador
SLV
SV
San Marino
SMR
SM
Somalia
SOM
SO
Saint Pierre
SPM
PM
Serbia
SRB
RS
South Sudan
SSD
SS
Sao Tome
STP
ST
Suriname
SUR
SR
Slovakia
SVK
SK
Slovenia
SVN
SI
Sweden
SWE
SE
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South Georgia and the South
Sand
Saint Helena
Swaziland
SWZ
SZ
Netherlands Antilles - Sint Maar
SXM
SX
Seychelles
SYC
SC
Syria
SYR
SY
Turks and Caicos Islands
TCA
TC
Chad
TCD
TD
Togo
TGO
TG
Thailand
THA
TH
Tajikistan
TJK
TJ
Tokelau
TKL
TK
Turkmenistan
TKM
TM
East Timor
TLS
TL
Tonga
TON
TO
Trinidad and Tobago
TTO
TT
Tunisia
TUN
TN
Turkey
TUR
TR
Tuvalu
TUV
TV
Taiwan
TWN
TW
Tanzania
TZA
TZ
Uganda
UGA
UG
Ukraine
UKR
UA
United States Minor Outlying Isl
UMI
UM
Uruguay
URY
UY
United States
USA
US
Uzbekistan
UZB
UZ
Vatican City (Holy See)
VAT
VA
Saint Vincent
VCT
VC
Venezuela
VEN
VE
British Virgin Islands
VGB
VG
U.S. Virgin Islands
VIR
VI
Vietnam
VNM
VN
Vanuatu
VUT
VU
Wallis and Futuna
WLF
WF
Samoa
WSM
WS
Yemen
YEM
YE
South Africa
ZAF
ZA
Zambia
ZMB
ZM
Zimbabwe
ZWE
ZW
84
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Appendix L – ISO 3 -character currency codes
Andorran Franc
ADF
Andorran Peseta
ADP
Emirates Dirham
AED
Afghanistan Afghani
AFN
Albanian Lek
ALL
Armenian Dram
AMD
NL Antillian Guilder
ANG
Angolan Kwanza
AOA
Angolan New Kwanza
AON
Argentinian Peso
ARS
Austrian Schilling
ATS
Australian Dollar
AUD
Aruban Florin
AWG
Azerbaijan Manat
AZM
Azerbaijan New Manat
AZN
Bosnian Mark
BAM
Barbados Dollar
BBD
Bangladeshi Taka
BDT
Belgian Franc
BEF
Bulgarian Lev
BGN
Bahrain Dinar
BHD
Burundi Franc
BIF
Bermudian Dollar
BMD
Brunei Dollar
BND
Bolivian Boliviano
BOB
Brazilian Real
BRL
Bahamian Dollar
BSD
Bhutan Ngultrum
BTN
Botswana Pula
BWP
Belarusian Ruble
BYR
Belize Dollar
BZD
Canadian Dollar
CAD
Congolese Franc
CDF
Swiss Franc
CHF
Chilean Peso
CLP
Chinese Renminbi
CNY
Colombian Peso
COP
Costa Rican Colon
CRC
Cuban Convertible Peso
CUC
Cuban Peso
CUP
Cape Verde Escudo
CVE
Cyprus Pound
CYP
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Czech Koruna
CZK
Deutsche Mark
DEM
Djibouti Franc
DJF
Danish Krone
DKK
Dominican Peso
DOP
Algerian Dinar
DZD
Ecuadorian Sucre
ECS
Estonian Kroon
EEK
Egyptian Pound
EGP
Spanish Peseta
ESP
Ethiopian Birr
ETB
Euro
EUR
Finnish Mark
FIM
Fiji Dollar
FJD
Falkland Islands Pound
FKP
French Franc
FRF
British Pound
GBP
Georgian Lari
GEL
Ghanaian Cedi
GHC
Ghanaian New Cedi
GHS
Gibraltar Pound
GIP
Gambian Dalasi
GMD
Guinea Franc
GNF
Greek Drachma
GRD
Guatemalan Quetzal
GTQ
Guyanese Dollar
GYD
Hong Kong Dollar
HKD
Honduran Lempira
HNL
Croatian Kuna
HRK
Haitian Gourde
HTG
Hungarian Florint
HUF
Indonesian Rupiah
IDR
Irish Punt
IEP
Israeli Shekel
ILS
Indian Rupee
INR
Iraqi Dinar
IQD
Iranian Rial
IRR
Icelandic Krona
ISK
Italian Lire
ITL
Jamaican Dollar
JMD
Jordanian Dinar
JOD
Japanese Yen
JPY
Kenyan Shilling
KES
Kyrgyzstanian Som
KGS
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Cambodian Riel
KHR
Comoros Franc
KMF
North Korean Won
KPW
South Korean Won
KRW
Kuwaiti Dinar
KWD
Cayman Islands Dollar
KYD
Kazakhstan Tenge
KZT
Lao Kip
LAK
Lebanese Pound
LBP
Sri Lanka Rupee
LKR
Liberian Dollar
LRD
Lesotho Loti
LSL
Lithuanian Litas
LTL
Luxembourg Franc
LUF
Latvian Lats
LVL
Libyan Dinar
LYD
Morrocan Dirham
MAD
Moldovan Leu
MDL
Malagasy Ariary
MGA
Malagasy Franc
MGF
Macedonian Denar
MKD
Myanmar Kyat
MMK
Mongolian Tugrik
MNT
Macau Pataca
MOP
Mauritanian Ougiuya
MRO
Maltese Lira
MTL
Mauritian Rupee
MUR
Maldive Rufiyaa
MVR
Malawian Kwacha
MWK
Mexican Peso
MXN
Malaysian Ringgit
MYR
Mozambique Metical
MZM
Mozambique New Metical
MZN
Namibian Dollar
NAD
Nigerian Naira
NGN
Nicaraguan Cordoba Oro
NIO
Dutch Guilder
NLG
Norwegian Kroner
NOK
Nepalese Rupee
NPR
New Zealand Dollar
NZD
Omani Rial
OMR
Panamanian Balboa
PAB
Peruvian Nuevo
PEN
Papua N.Guinea Kina
PGK
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Philippine Peso
PHP
Pakistani Rupee
PKR
Polish Zloty
PLN
Portuguese Escudo
PTE
Paraguayan Guarani
PYG
Qatar Rial
QAR
Romanian Lei
ROL
Romanian New Lei
RON
Serbian Dinar
RSD
Russian Rouble
RUB
Rwandan Franc
RWF
Saudi Arabian Rial
SAR
Solomon Islands Dollar
SBD
Seychelles Rupee
SCR
Sudanese Dinar
SDD
Sudanese Pound
SDG
Sudanese Old Pound
SDP
Swedish Krona
SEK
Singapore Dollar
SGD
St. Helena Pound
SHP
Slovenian Tolar
SIT
Slovak Koruna
SKK
Sierra-Leone Leone
SLL
Somali Shilling
SOS
Suriname Dollar
SRD
Suriname Guilder
SRG
Sao Tome/Principe Dobra
STD
El Salvador Colon
SVC
Syrian Pound
SYP
Swaziland Lilangeni
SZL
Thai Baht
THB
Tajikistani Somoni
TJS
Turkmenistan Manat
TMM
Tunisian Dinar
TND
Tonga Pa`anga
TOP
Turkish Lira
TRL
Turkish New Lira
TRY
Trinidad/Tobago Dollar
TTD
Taiwan Dollar
TWD
Tanzanian Shilling
TZS
Ukraine Hryvnia
UAH
Ugandan Shilling
UGX
US Dollar
USD
Uruguayan Peso
UYU
88
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Uzbekistan Som
UZS
Venezualan Bolivar
VEB
Venezualan Bolivar Fuerte
VEF
Vietnamese Dong
VND
Vanuatu Vatu
VUV
Samoan Tala
WST
CFA Franc
XAF
East Caribbean Dollar
XCD
ECU
XEU
CFA Franc BCEAO
XOF
CFP Franc
XPF
Yemen Rial
YER
Yugoslav Dinar
YUN
South African Rand
ZAR
Zambian Kwacha
ZMK
Zimbabwean Dollar
ZWD
Appendix M – Exchanges, providers, and price delays
Price updates are real-time, but may be delayed from certain
exchanges.
If you are accessing Google Finance, click here to see a breakdown:
http://www.google.com/intl/en/googlefinance/disclaimer/
For Yahoo Finance, please follow this URL:
https://help.yahoo.com/kb/finance/SLN2310.html?impressions=true
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