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Here are some mods I made to the new XLS-SPAN. I added columns AI:AM to the HistData tab. The 3 in cell AI1 is my excess factor. 3 for IMx3. (note the report blanks anything you put in cells AI2+ so you need to leave them blank.)
I then added columns, B, D, F & G, to the HistPivot tab.
Delta gives you the net delta for a position. Formula is =F2*Q2*-1 for cell AJ2 and then copy and paste for all rows that have data.
Premium$ gives you the correct number. Position Net Val had a wrong number for the first date. Formula is =U2*F2*-1
Draw down and Acct Bal for IM were new columns I use when analyzing a position.
Draw Down formula is =IF(ISBLANK(AG2),0,AG2/(AB2*AI$1))
Acct Bal for IM formula is =IF(ISBLANK(AG2),0,(AC2+(AG2*-1))/(AB2*AI$1))
Found the issue. The sub for copying the entry data on the first day had two lines that shouldn't be in there.
If you go to the sub AddToPortfolio in the Risk module, towards the bottom you will see the lines: Range("X" & x) = Range("V" & x) * -(Range("E" & x))
Range("AB" & x) = Range("Z" & x) * -(Range("E" & x))
Remove both and you should lines and you should no longer see that issue with the first day's Pos Net Val.
Hi,
first: thanks Dudetooth for new spreadsheet and Ron for update.
One question:
On 2015.09.02. there are such numbers:
IM for calendar spread ESX5 P1990 (-1)/ESV5 P1890 (+1) = 1203 $
IM for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1) = 990 $
Is thats correct?
But HistPivot sheet shows 1978.9$ IM for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1) on 2015.09.02. (when I use "Trach Historic" function from 2015.08.10 to 2015.09.02)
I'm not sure what happened for you ... I just ran those positions for those days and am not sure where $1978.9 would have come from. Do all of the positions for that spread have the same number in the F column?
I have found that if I don't clear the tracker sheet before rerunning something on Tracker I sometimes get numbers that are incorrect. I don't know the pattern yet of when it is OK and when it is not.
Or maybe it was when I didn't clear the HistData sheet.
I do remember it was after rerunning spreads with slight changes.
Sorry I should have kept track of what happened when I saw problems.
O, sorry, there was something wrong with my computer (after restart all is OK).
But anyway I`m suprised about IM decrease for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1). For calendar ratio spread I always use the same IM as for calendar spread (in this case ESX5 P1990 (-1)/ESV5 P1890 (+1)).
