Risk Config Window

Enter the analysis set name, or select an existing analysis set from the adjacent field.

To run the risk reports in distributed mode, select a dispatcher config, and check the "Use Dispatcher" checkbox.

The number of trades per job in the dispatcher is based on the environment property DIST_SIZE (default is 500).

Refer to the Calypso System Guide for information on setting up distributed processing.

 Ⓘ   [NOTE: It is recommended to work without the use of the dispatcher for the Forward Ladder Analysis.]

When running a preview, you can set environment property PreviewWithoutDispatcher = true to run the preview locally without using the dispatcher.

Select the type of risk report.

All risk reports are listed in the Contents tab. Select a risk report to view details about its usage and configuration requirements.

You can click ... to add a new type of risk report. Refer to the Calypso Developer's Guide for information on implementing custom risk reports.

Select a trade filter. The risk report will analyze the trades / positions of the selected trade filter.

Click ... to edit or create trade filters.

A position snapshot is required to run risk reports on past dates (through the RISK_ANALYSIS scheduled task).

It is used as follows based on the type of trade filter associated with the risk report:

If you select "No Position Snapshot and Latest Trade Version" instead, the system will NOT perform trade undo but the execution will proceed with the current version of the trades.

You cannot select "No Position Snapshot and Latest Trade Version" for position-based trade filters. It will generate an exception upon execution.

 Ⓘ   [NOTE: When you use a position snapshot, the analysis is run as of that position snapshot time]

Position Snapshot Times

Position snapshot times are defined in the position engine parameter VALUATION_TIMES. The associated time zones are set in the position engine parameter VALUATION_TIMEZONES.

There should be the same number of snapshot times and time zones, if you specify more than one snapshot time.

Creating Position Snapshots

Position snapshots are created using the scheduled task CREATE_POSITION_SNAPSHOT.

They should be created everyday at EOD.

See Position Management for details on creating position snapshots.

Alternative Option

 Ⓘ   [NOTE: This option is not recommended because the results are not certified - It can be used for testing purposes]

You can select "EOD Trades UNDO 235900 <User Default time zone>" for any type of trade filter.

The risk report loads the trade versions as of the valuation date (trade undo), and the positions are re-computed as of the valuation date.

Select a parameters set or click ... to create a new parameters set.

A parameters set allows specifying a number of parameters for the selected type of risk report. Each type of risk report is associated with a specific parameters set.

All risk reports are listed in the Contents tab. Select a risk report to view details about its usage and configuration requirements.

Select a Pricing Env.

Click ... to edit or create pricing environments.

Check the "Generate MkData" checkbox to regenerate volatility surfaces for multiple currencies and tenors using their latest interest rate curves.

Enter a free description as applicable.

Check the “Save Output” checkbox to save the analysis results to the database.

Saved results can be viewed from the Calypso Workstation.

Check the “Save To Format” checkbox to save the results to a given format. You can select the format from the adjacent field: CSV, EXCEL, HTML, TXT or XLSX.

Only applies if "Save To Format" is checked.

Click ... to save the results to a file. You will be prompted to select a file name.

Only applies if "Save To Format" is checked.

Select the timestamp format as needed:

Only applies if "Save To Format" is checked.

You can specify e-mail recipients here using a comma-separated list of email addresses such as techpub@calypso.com.

The “email from” information is specified in the User Defaults for the user who runs the risk report.

To use the email function, you need to specify your Mail server in a file named calypso_mail_config.properties. This file should be found in your CLASSPATH.

The Content of the file should be:

HOST= <HostName or IP address of MailServer>

PORT= <Port Usually 25>

FROM= <from address - Not needed if specified in User Defaults>

Only applies if "Save To Format" is checked. It also forces "Save Output" to be checked.

Click ... to select a report plan. Report plans are created in the Calypso Workstation.

When you select a report plan, you have to select a calculation server and a presentation server. They will be used by the RISK_ANALYSIS scheduled task to produce the reports.

When saving a report to a file, the report plan is only used for the following information:

The report plan is NOT used for column settings (color, format, number of decimals), and coloring rules.

Only applies if a template (report plan) has been selected. See Template for details.

The valuation date defaults to the current date. Clear the adjacent checkbox to enter a different valuation date.

In this example, the valuation date is current, if you clear the checkbox, you can modify the valuation date.

To run an analysis in the past, you need to use a position snapshot, see "Use Position Snapshot" above for details.

Check the “Show Progress” checkbox to monitor the progress of the risk report preview. The progress will be displayed in the progress dialog as shown below, including any exceptions as they occur.