View Definitions consist of several different components:
- The Name of the view definition
- The Unique Identifier of the portfolio to build a view upon, e.g. DbPrt~11345
- The default User who is to run the view - this is only used in the case of a batch process, otherwise a user is passed to the view processor when starting a view client
- The default Currency of the view. This may soon be divided into Risk and PnL currency.
- Execution parameters to control the minimum and maximum rates of computation for both full and delta cycles. Within these limits, computation is driven by input data changes, such as market data ticks.
- Minimum delta calculation period - the minimum time that must elapse since any previous cycle before a delta cycle may be executed, to throttle the overall execution rate
- Maximum delta calculation period - the maximum time that can elapse since any previous cycle before a delta cycle will be forced to execute, to ensure a minimum execution rate
- Minimum full calculation period - the minimum time that must elapse since the previous full cycle before a further full cycle may be executed, to throttle the full cycle execution rate
- Maximum full calculation period - the maximum time that can elapse since the previous full cycle before a further full cycle will be forced to execute, to ensure a minimum full cycle execution rate
- The Result model definition. Each category of target, below, has a ResultOutputMode specified as either NONE (no outputs), TERMINAL (terminal outputs only - excludes intermediate results), and ALL (all outputs including intermediate results)
- Aggregate positions (any portfolio node above position in the hierarchy)
- Positions
- Trades
- Securities (many trades/positions may share a security output)
- Primitives (outputs that aren't linked to a specific security, trade, position or aggregate position)
- A list of named View Calculation Configurations (stored as a map from names to calculation configurations). These allow the same analytics to be computed using different settings and viewed side by side at the same time.
- Each View Calculation Configuration contains:
- For each of
- Portfolio Requirements - these cover both position and aggregate position (aka portfolio level) requirements
- Trade Requirements - these cover only trade level requirements
- the calculation configuration is specified by a map
- from Security type (strings like EQUITY, EQUITY_OPTION derived from the Security type property on all Security objects
- to a pair of a Value Requirement name and a properties object (see ValueRequirementNames and ValueProperties). A grocery list of available value requirements is shown here.
- and also a set of Specific value requirements (name, target type, target), e.g. (FAIR_VALUE, POSITION, unique id of position)
- These cover any other requirements that may be needed, either primitive types such as yield curves and volatility surfaces, or even specific trade or portfolio requirements that need not involve the whole portfolio (e.g one trade, position or aggregate position). They can also specify market data.
- For each of
- Each View Calculation Configuration contains:
Notes
Cycle
An execution pass on a compiled view definition for a particular valuation time, with a snapshot of input data, to produce the required outputs. Sometimes called a computation cycle or view cycle.
Delta Cycle
An execution pass based on the previous cycle. Only the outputs which are downstream of modified inputs are recalculated; other outputs are reused from the previous cycle. These are lightweight cycles which are designed to be performed more frequently than full cycles.
Full Cycle
A complete execution pass where every output is recalculated; no calcuations from previous cycles are reused.