Reply To: Can EPM’s be used to override the deals PnL Detail ?

Israr Ahmed


“Create a UDSR that calls PnL Detail and change the PnL Detail in memory within the UDSR script ( which does nothing apart this ) . Have seen this at some Clients . It allows you to change the PnL Detail ( as long as you have the numbers you need to calculate the value in Endur ) without needing any OpenComponents licences. Does anyone see anything fundementally wrong with this approach ?”

A UDSR takes as input whatever other sim results you have defined as dependencies, plus the set of transaction objects for all deals in the simulation.
Since the dependent results passed in are not read-only, or copies, it is technically possible to amend these from within the UDSR code.
The only thing wrong with this approach is that it may be considered bad practice: you might think that one sim result should generate it’s own output and not modify another result, or you might not – clearly some clients don’t.

A result calculator is more or less doing exactly the same thing as this, only in a more transparent or explicit way: You select one result to run, and the output to that result is as you have implemented for the Result Calculator for a specified deal type.
I think the inputs to a Result Calculator are pretty much the same as for a UDSR (but I will try to check this): You get the set of dependent results, the set of tran objects, and optionally the base/original result table for the deal set you are overriding.

The result calculator allows you to write any values you want into the output table (including PnL Detail realised/unrealised value). It also allows you to create (or delete) more rows in the output table than the base result would have (e.g. splitting futures into rows by month/day) – although this could have an impact downstream. The only thing you can’t do is add new columns, for obvious reasons.

Does the Results Calculator need an EPM as input


The EPM can also be used to send back Volumes and Greeks … is this only if the Results Calculator is used?

Yes (or you could use the UDSR ‘fudge’ method to do the same, or have a ‘correct’ UDSR which outputs the EPM Greeks as a separate sim result.)

If you have an EPM for e.g. storage deals, which as well as calculating the PV of a deal, can also calculate Delta,Gamma,Theta – and if you want these EPM Greeks to be used in the Standard Endur Greeks results, then you need a Result Calculator for each of the standard Endur results that calls the corresponding method of the EPM.

Since the the Greeks output from the EPM will not generally match the format of the Endur sim result, the RC will have to do some additional work to match them up.

You have to check that the Result Calculator extension is available for each particular core result you wish to override in your version of Endur.

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