Glossary of Terms

aboutBox
A dialog box providing basic information about the programme. It is accessible via the "About" selection on the mainMenu|Help menu.
AIMR
The Association for Investment Management and Research, a world-wide, though North American dominated, organization of financial analysts, which became "The CFA Institute" in 2004.
accessCode
A constant of passwordAccessType used within the user authentication and administration processes (e.g. editUserBox) to determine the user's authorization to use various features of HIMIPref™.
account Name
A field contained in a portfolioDataRecord which specifies the legal name of the account's owner. This is used in the preparation of reports, confirmations, etc. Any characters are allowable for input, up to a limit of ACCOUNT_NAME_LENGTH characters.

This value is reported in the portfolioReportBox and the portfolioListReport.

Right-clicking on this field in the portfolioListReport will produce the portfolioListReportContextMenu|accountName context menu.

When individual securities are assigned an account (e.g. in the preparation of a performanceReport), the "accountName" is the longName of the instrument.

ACCOUNT_NAME_LENGTH
A system constraint that specifies the maximum length, in characters, of the accountName. This value is currently set to 50.
account Number
A field in the portfolioDataRecord which uniquely identifies a separate account - which may be an actual client account or a notional account used for research purposes. An "accountNumber" will have ACCOUNT_NUMBER_LENGTH characters.

Also a field in a holdingsDataRecord, serving to identify the portfolio owning the position signified by the record.

Additionally, a field in a futurePaymentRecord, a reorgTransactionRecord and a transactionDataRecord denoting the portfolio for which the accounting is made.

This value is also used in a custodianAccountsRecord/dealerAccountRecord to specify the internal account number corresponding to the given custodianID/dealerID and custodianAccount / dealerAccount.

This value is displayed in the transactionReport, multipleTradeReportBox, the futurePaymentsReportBox, the portfolioReportBox and the portfolioListReport.

Right-clicking on this field in the portfolioListReport will produce the portfolioListReportContextMenu|accountName context menu.

When individual securities are assigned an internal "accountNumber" (e.g. in the preparation of a performanceReport), these account numbers are "XX" followed by the securityCodes of the instruments.

ACCOUNT_NUMBER_BLANK
A defined constant of accountNumberType used to identify the blankPortfolio, with a value of "B0000001".
ACCOUNT_NUMBER_LENGTH
A defined integral constant defining the length (in characters) of accountNumberType.
accountNumberType
A structure intended to store accountNumber information, constrained to length ACCOUNT_NUMBER_LENGTH.
account opening date
A field in the portfolioDataRecord which specifies the date on which the subject account was opened.
accountSelectionBox Image
An input box which allows selection from any of the accounts listed in the portfolio table.

To select an account, simply highlight the desired element of the displayed list and click the "OK" button. To select no account, click the "Cancel" button.

The list of accounts can be formatted according to either accountName or accountNumber in accordance with the radio-button selected under the heading "Selection Data".

When this box is displayed due to the selection of "Account" on the performanceMenu|View when issues are being reported on the performanceReport, accountNumbers will be reported as "XX" followed by the securityCode and accountNames will the longName of the instruments.

accrualDate
A field in a futurePaymentRecord which specifies on which date the benefit or obligation indicated by such record became recordable by the activePortfolio in a simulation.

This value is reported by the futurePaymentsReportBox.

accrued dividends
Dividends on preferred shares (and interest on preferred securities) do not accrue on a daily basis - the income is simply paid if, as and when declared. Never-the-less, there is sufficient regularity and certainty of these payments that the market price of these securities may be expected to follow a sawtooth pattern - the price rising until the ex-date and falling immediately to reflect the amount of income which has just become payable to the holders.

Hence, a calculation of "accrued dividends" can have some relevence, with the objective of stripping this effect from the quoted price to arrive at, for instance, the Current Bid (FlatValue)

The calculation proceeds with the following steps:

  • The dividend record with the ex-date immediately prior to the calculation date is obtained
  • The dividend record with the ex-date immediately following the calculation date is obtained (by estimation, if necessary)
  • The pay-date corresponding to the prior ex-date is then obtained
  • The dividend Interval of the instrument is obtained.
  • The "accrued dividend" is then the amount of the next dividend, times the fraction of the period elapsed from the prior payDate.

Note that this value for "accrued dividends" may be negative, if the calculation date is prior to the payDate of the dividend record corresponding to the immediately prior ex-date.

The calculation this value is summarized in the flatValueDerivationBox.

Accrued Dividend (Flat Value) Report Summary
A calculated value used in the calculation of flatBidPrice / flatAskPrice.

It is defined as:

"Accrued Dividend (Flat Value)" = Dividend Amount (Flat Value) * "time accrued" / dividend interval
Where:"time accrued" is the time, expressed in years, between Prev. Pay-Date (Flat Value) and the calculation date
Note 1: The dividendInterval will be known precisely if both nextDividendRecorded and prevDividendRecorded are true.
.
Note 2:This value may be negative if the payDate corresponding to Prev. ex-Date (FlatValue) comes after the calculation date.

See also: accruedDividends, Accrued Dividend (Zero-Based).

Right-clicking this field in the reportSummary displays the flatValueContextMenu.

This value is reported in the flatValueDerivationBox.

Accrued Dividend Proportion (Zero-Based) Report Summary
A calculated value, defined as:

"Accrued Dividend Proportion (Zero-Based)" = Accrued Dividend (Zero-Based) / Current Bid (FlatValue)
.

Right-clicking this field in the reportSummary displays the flatValueContextMenu.

This value is reported in the flatValueDerivationBox.

Accrued Dividend (Zero-Based) Report Summary
A calculated value used in the determination of the REWARD_COMPONENT_SPOT_DIVIDENDCAPTURE rewardComponent of rewardComponentsBid / rewardComponentsAsk.

It is defined as:

"Accrued Dividend (Zero-Based)" = Dividend Amount (Flat Value) * "time accrued" / dividend interval
Where:"time accrued" is the time, expressed in years, between Prev. ex-Date (FlatValue) and the calculation date
Note 1: The dividendInterval will be known precisely if both nextDividendRecorded and prevDividendRecorded are true.

Note 2: This value will be non-negative since Prev. ex-Date (FlatValue) is defined as being prior to the calculation date.

See also: accruedDividends, Accrued Dividend (Flat Value).

Right-clicking this field in the reportSummary displays the flatValueContextMenu.

This value is reported in the flatValueDerivationBox.

accruedInterestConventionType
HIMIPref™ 2006 An enumerated type defining the accrued interest convention. Possible values are:
activePortfolio
The portfolio currently being examined by HIMIPref™. This may be changed via the "Set Portfolio as Active" selection on the portfolioListReportContextMenu|accountName context menu.
address1
(i) A field in a dealerRecordType that specifies the first line of the address of the dealer signified by the record.

(ii) A field in a custodiansDataRecord that specifies the first line of the address of the custodian signified by the record.

address2
A field in a dealerRecordType that specifies the second line of the address of the dealer signified by the record.

(ii) A field in a custodiansDataRecord that specifies the second line of the address of the custodian signified by the record.

address3
A field in a dealerRecordType that specifies the third line of the address of the dealer signified by the record.

(ii) A field in a custodiansDataRecord that specifies the third line of the address of the custodian signified by the record.

adjustableRate
This term is applied to those issues which have a dividend rate that is adjustable by the issuer in a manner that does not lend itself to analysis by HIMIPref™. For example, the issue of Epcor Preferred Equity Inc. Cumulative Redeemable First Preferred Shares, Series 1 has terms defined in the prospectus whereby after October 1, 2007, the floatingRate option is dependent upon the five-year Government of Canada Yield. This is the only issue examined which has such terms - similar instruments are amenable to analysis as the floatingRate option is dependent upon the Canada Prime Rate and there exists a sufficient number of these instruments to form a homogeneous group upon which historical behaviour may be tested. Thus, "adjustableRate" preferred shares are marked with the PRICING_EXCLUDED_ADJUSTABLERATE flag in the pricingCode field of their instrumentDataRecord - at least until such time as sufficient data is available to allow some confidence in the results of historical analysis.
adjusted cost base
The adjusted cost base of a security position is the net amount of money paid to hold it and is usually reported on a per-share basis. When securities are held long only, then purchase amounts are added to the adjusted cost base and may change the per-share value, while when shares are sold they are each assumed to have cost an amount equal to the then-current adjusted cost base and a capital gain or loss reported on the difference between this figure and the actual receipt.

This value is reported by the tradingFrictionAnalysisBox and the transactionReport.

adjustedSpotRate
A calculated value used in the subsequent calculation of historicalVolatility and historicalTrend for the attributes for which an instrumentAveragesRecord is prepared.

For most attributes, it is set equal to:

  • the actual spotValue of the attribute, if this number is calculable, or
  • the prior day's spotValue if that number was calculable, or
  • the prior day's historicalAverage, whether or not this value was calculable

The exception to this rule is in the calculation of volume-average, which is described under that heading.

adjustForIssuerConcentration
This procedure is called by adjustForSectoralMaxWeights as part of the calculation of trade size.

If the issue bought has a risk attribute for which the issuer concentration is controlled, the trade is examined to determine whether the purchase will result in the total weight of that issuer in the portfolio exceeding the value of the control. If so, the size of the trade is reduced accordingly.

In the issue method, if the parameter is set to a valid non-zero value, then the parameter will be raised, if necessary, to the inverse of the numberSwapSecuritiesDesired : that is, if the parameter is set to 1%, but only two securities are desired to be held, then the calculation will be performed with a maximum weight for that issuer of 50%.

This procedure can generate tradeSizeCalculationNotes.

adjustForMaxWeightSector
This procedure is called by adjustForSectoralMaxWeights in the determination of trade size. It is called with a particular yield curve risk attribute - e.g., whether it is a retractible and/or floating rate issue. If this risk attribute is different for the issues bought and sold and the maximum/minimum weight of that component in the portfolio is defined, the weight of that component in the portfolio is determined. If the maximum/minimum weight of that attribute in the portfolio will be exceeded/undershot through execution of the trade, the trade size is reduced accordingly.

In the issue method, if the parameter is set to a valid non-zero value, then the parameter will be raised, if necessary, to the inverse of the numberSwapSecuritiesDesired : that is, if the "constraint parameter" is set to 1%, but only two securities are desired to be held, then the calculation will be performed with a maximum weight for that sector of 50%.

Components which are constrained and their constraint parameters are:

This procedure can generate tradeSizeCalculationNotes.

adjustForSectoralMaxWeights
A procedure called during the calculation of trade size.

The procedure proceeds for three major steps:

adjustForSmallFinalBuyPosition
A procedure called during the calculation of trade size.

This procedure examines the weight of the purchased issue after execution of the putative trade. If this weight is less than effectiveMinWeight, the size of both the purchase and sale are reset to 0.

This procedure can generate tradeSizeCalculationNotes

adjustForSmallSize
A procedure called during the calculation of trade size by calculateTradeSize.

This is a fairly technical adjustment, called to ensure that rounding errors are not propogated to the solution. If the number of shares purchased is zero, the number sold is non-zero and there is a positive cash balance in the account, then the number of shares sold is re-set to zero.

This procedure can generate tradeSizeCalculationNotes.

adjustForTradingVolume
A procedure called by calculateTradeSize during the calculation of tradeSize to ensure that indicated trades are reasonable in light of historical trading volumes.

If the product of maxDaysToTrade and volume - average is less than the size of the indicated trade (for either the purchase or sale), then the trade size is reduced accordingly.

This procedure can generate tradeSizeCalculationNotes.

adjustSellForSmallRemainder
A procedure called during the calculation of trade size.

If the sale indicated by the trade would leave the sold position with a weight in the portfolio of less than PARAMETER_PORTFOLIO_MINWEIGHT, then the sell size is adjusted upwards to sell the entire position.

See adjustForSectoralMaxWeights

This procedure can generate tradeSizeCalculationNotes.

advisorInformation
Information regarding the advisor, which may be input via the advisorInputBox and reported through the userSettingsReportBox. This information is used on report headings and, most notably, the tradeConfirmationDocument.

These data are stored in the initialization.txt file stored in the userDirectory.

advisorInputBox Image
A dialog box accessible via the "Edit Letterhead" selection of the tradeConfirmationMenu|Input menu, which allows the input of 7 lines which will appear as the letterhead of a tradeConfirmationDocument. These 7 lines are referred to collectively as advisorInformation.
after-tax
The amount left to the investor after payment of taxes: if a dividend payment is $1.00 and the investor's marginalTaxRate for dividends is 32.9%, the after-tax value of the dividend is $0.671.
analyticalDate
The date on which the data used for the analysis (e.g. marketValues) was effective.
ANALYTICAL_DOUBLE_NO_SOLUTION
A constant used throughout HIMIPref™ to indicate that no solution was possible to the equation defining the variable which is assigned this value.
analyticalParametersReportBox Image
This dialog box is accessible via the "Parameters" selection on the mainMenu|Reports popup menu, the "Details" button on the systemConstantsSelectionBox or the "System Constants" selection on the portfolioListReportContextMenu|systemConstantsID context menu. It displays data from the systemConstantsRecord associated with the activePortfolio (or the clicked systemConstantsID field on the portfolioListReportMenu):
annualDividend
A field in an instrumentDataRecord that specifies the annual dividend that is to be paid on the instrument in accordance with the prospectus. In the case of floatingRateInstruments, this value is set to zero and equivalent calculations performed as necessary in accordance with information recorded in the instrument's instrumentFloatingRateDataRecord. In the case of fixedFloaters, the value is that of the fixed rate payable.

Also referred to as Dividend Rate.

AnnualPercentageScalingFactor
A scaling factor used in the calculation of rewardComponentsBid / rewardComponentsAsk to ensure that individual raw analytical values are treated as annual percentages, a convention utilized to
  • Ensure that there is some degree of physical meaning to the valuation, rather than these values being reported on an arbitrary scale, and
  • to ensure that there is only one set of optimized optimizable parameters, rather than an infinite set of values maintaining the same proportions.

For a listing of the "annualPercentageScalingFactors" used, see rewardComponentsBid / rewardComponentsAsk. See also instrument reversion parameter.

ask Report Summary
(i) The "ask" represents the price at which at least 100 shares (a board lot) may be bought. Simulation methodology assumes that the value of shares which may be purchased at the day's closing "ask" is equal to the tradeable value of the issue.

The "ask" reported by the system and used in simulations is derived from exchange data according to the following methodology:

  • if the exchange reported an actual non-zero closing ask, then this value is used.
  • if the exchange did not report a ask, but reported a closing bid greater than $1, then the value used is $1 more than the bid.
  • if the exchange reported neither a bid nor an ask for the security at the close of business, then the value used is $0.50 more than the most recent close of the security.

The "ask" is also referred to as the offer.

This value is also reported on the pseudoPortfolioReportBox, the bestTradesReportBox and the flatValueDerivationBox.

(ii) A field in a priceDataRecord specifying the closing "ask" according the exchange for the specified securityCode and date.

See also Holdings - ask price.

Ask Valuation Report Summary
The sum of the REWARD_COMPONENT_COUNT rewardComponents of rewardComponentsAsk.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask Valuation Class - CurveReversion Report Summary
The sum of the rewardComponents of rewardComponentsAsk that are members of the rewardComponentClass REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask Valuation Class - Disparity Report Summary
The sum of the rewardComponents of rewardComponentsAsk that are members of the rewardComponentClass REWARD_CLASS_PRICEMOVEMENT_DISPARITY.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask Valuation Class - Price Misc. Report Summary
The sum of the rewardComponents of rewardComponentsAsk that are members of the rewardComponentClass REWARD_CLASS_PRICEMOVEMENT_MISCELLANEOUS.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask Valuation Class - Yield Report Summary
The sum of the rewardComponents of rewardComponentsAsk that are members of the rewardComponentClass REWARD_CLASS_YIELD.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask Valuation Class - YieldReversion Report Summary
The sum of the rewardComponents of rewardComponentsAsk that are members of the rewardComponentClass REWARD_CLASS_PRICEMOVEMENT_YIELDREVERSION.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - cost yield reversion Report Summary
The REWARD_COMPONENT_REVERSION_COSTYIELD component of rewardComponentsAsk.

This value is eqaul to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - cost yield spot Report Summary
The REWARD_COMPONENT_SPOT_COSTYIELD component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - current yield reversion Report Summary
The REWARD_COMPONENT_REVERSION_CURRENTYIELD component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - current yield spot Report Summary
The REWARD_COMPONENT_SPOT_CURRENTYIELD component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - curve baserate reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_BASERATE component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - Curve Credit Class 2 Premium Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_2 rewardComponent of rewardComponentsAsk.

It is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - Curve Credit Class 3 Premium Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_3 rewardComponent of rewardComponentsAsk.

It is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - Curve Credit Class High Premium Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_HIGH rewardComponent of rewardComponentsAsk.

It is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - Curve Credit Class Low Premium Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_LOW rewardComponent of rewardComponentsAsk.

It is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - curve Cum. Div. Prem. reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CUMULATIVEDIVIDENDS component of rewardComponentsAsk.

It is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - Curve Floating Rate Premium Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_FLOATINGRATE rewardComponent of rewardComponentsAsk.

It is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - curve Interest Prem. reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_INTERESTINCOME component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - curve longrate reversion Report Summary
This is the REWARD_COMPONENT_CURVEREVERSION_LONGRATE component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - curve retractible prem. reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_RETRACTIBLE component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - curve shortrate reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_SHORTRATE component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - curve split share prem reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_SPLITSHARECORP component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - curve yield spot Report Summary
The REWARD_COMPONENT_SPOT_CURVEYIELD rewardComponent of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask Valuation - Curve Yield Reversion Report Summary
The REWARD_COMPONENT_REVERSION_CURVEYIELD rewardComponent of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - dividend Capture spot Report Summary
The REWARD_COMPONENT_SPOT_DIVIDENDCAPTURE rewardComponent of rewardComponentsAsk. This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - flat price reversion Report Summary
The REWARD_COMPONENT_REVERSION_FLATPRICE component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - Liquidity Premium Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_LIQUIDITY rewardComponent of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Ask valuation - port yield reversion Report Summary
The REWARD_COMPONENT_REVERSION_PORTYIELD component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - port yield spot Report Summary
The REWARD_COMPONENT_SPOT_PORTYIELD of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - price disparity reversion Report Summary
The REWARD_COMPONENT_REVERSION_PRICEDISPARITY component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - price disparity spot Report Summary
The REWARD_COMPONENT_SPOT_PRICEDISPARITY component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask Valuation - sum of Price Components Report Summary
The sum of those elements of rewardComponentsAsk which are of the REWARD_SUPERCLASS_PRICEMOVEMENT rewardComponentSuperClass.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask Valuation - Sum of Yield Components Report Summary
The sum of those rewardComponents of rewardComponentsAsk which are of the REWARD_CLASS_YIELD rewardComponentClass.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - yield disparity reversion Report Summary
The REWARD_COMPONENT_REVERSION_YIELDDISPARITY component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - yield disparity spot Report Summary
The REWARD_COMPONENT_SPOT_YIELDDISPARITY component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - yield to worst reversion Report Summary
The REWARD_COMPONENT_REVERSION_YIELDTOWORST component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask valuation - yield to worst spot Report Summary
The REWARD_COMPONENT_SPOT_YIELDTOWORST component of rewardComponentsAsk.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Ask Yield (Cost) - average Report Summary
The title used on the reportSummary when reporting costAskYield-average.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Ask Yield (Cost) - spot Report Summary
The title used on the reportSummary when reporting costAskYield-spot.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Ask Yield (Cost) - trend Report Summary
The title used on the reportSummary when reporting costAskYield-trend.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Ask Yield (Cost) - volatility Report Summary
The title used on the reportSummary when reporting costAskYield-volatility.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Ask Yield (Port) - average Report Summary
The title used on the reportSummary when reporting portAskYield-average.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Ask Yield (Port) - spot Report Summary
The title used on the reportSummary when reporting portAskYield-spot.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Ask Yield (Port) - trend Report Summary
The title used on the reportSummary when reporting portAskYield-trend.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Ask Yield (Port) - volatility Report Summary
The title used on the reportSummary when reporting portAskYield-volatility.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

askYieldToWorst Report Summary
The yieldToMaturity of the element of the optionCalculationList that is the lowest (scenarios which involve the exercise of retraction privileges excepted), when the calculations have been performed using the ask price.

See also yield-to-worst.

askYieldToWorst-average Report Summary
This is the historical average of askYieldToWorst-spot. See askYieldToWorst-trend, askYieldToWorst-volatility, instrumentAveragesRecord and instrumentAskYieldToWorstInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

askYieldToWorst-spot Report Summary
This is the value, computed daily, of askYieldToWorst. It is the basis of one of the instrumentAveragesRecord attributes - see askYieldToWorst-average, askYieldToWorst-trend, askYieldToWorst-volatility and instrumentAskYieldToWorstInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

askYieldToWorst-trend Report Summary
This is the historical trend of askYieldToWorst-spot. See askYieldToWorst-average, askYieldToWorst-volatility, instrumentAveragesRecord and instrumentAskYieldToWorstInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

askYieldToWorst-volatility Report Summary
This is the historical volatility of askYieldToWorst-spot. See askYieldToWorst-average, askYieldToWorst-trend, instrumentAveragesRecord and instrumentAskYieldToWorstInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

averageBaseRate
This is the exponential moving average of the base rate of the yield curve, calculated with the exponent baseRateInfoDecay.

See historical average.

This value is reported in the historicalYieldReportBox.

averageDecayLong
This is the exponential moving average of the yieldCurveDecayLong of the yield curve, calculated with the exponent longDecayInfoDecay.

See historical average, trendDecayShort and volatilityDecayLong.

This value is reported in the historicalYieldReportBox.

averageDecayShort
This is the exponential moving average of the yieldCurveDecayShort of the yield curve, calculated with the exponent shortDecayInfoDecay.

See historical average, trendDecayShort and volatilityDecayShort.

This value is reported in the historicalYieldReportBox.

averageLongTermRate
A calculated value defined as the exponential moving average of the yieldCurveLongTerm component of the yield curve, with the Damping Factor defined as the optimizable parameter longTermRateInfoDecay.

This value is reported in the historicalYieldReportBox.

averageNormalRemainder
This is the mean average price under a normal distribution centered at the expectedBid, considering only that area of the curve for which the cumulative probability is greater than that indicated by the probable exercise of prior puts and less than that indicated by the probable exercise of prior calls.

In this calculation, the normal distribution is divided into 101 segments, each with a width of 0.05 standard deviations, where the standard deviation is set as being the period volatility. Each segment is then examined - if the segment is sufficiently high (in terms of cumulative probability) to assume that a prior put (or sufficiently low, for prior calls) has not been exercised, the midpoint of the segment is assumed to be the price of the entire segment and this price incorporated into the average weighted by the probability of the segment.

Note that this calculation implicitly makes the assumption that the deviation of market valuations from the expected value are monotonic - a Monte Carlo calculation has been deemed unnecessarily complex for analytical purposes.

averagePremiumCreditClass2
The historical average of yieldCurvePremiumCreditClass2 calculated using premiumCreditClass2InfoDecay as the damping factor.

This value is reported in the historicalYieldReportBox.

averagePremiumCreditClass3
The historical average of yieldCurvePremiumCreditClass3 calculated using premiumCreditClass3InfoDecay as the damping factor.

This value is reported in the historicalYieldReportBox.

averagePremiumCreditClassHigh
The historical average of yieldCurvePremiumCreditClassHigh calculated using premiumCreditClassHighInfoDecay as the damping factor.

This value is reported in the historicalYieldReportBox.

averagePremiumCreditClassLow
The historical average of yieldCurvePremiumCreditClassLow calculated using premiumCreditClassLowInfoDecay as the damping factor.

This value is reported in the historicalYieldReportBox.

averagePremiumCumulativeDividends
The historical average of yieldCurvePremiumCumulativeDividends calculated using premiumCumulativeDividendsInfoDecay as the damping factor.

This value is reported in the historicalYieldReportBox.

averagePremiumFloatingRate
The historical average of yieldCurvePremiumFloatingRate calculated using premiumFloatingRateInfoDecay as the damping factor.

This value is reported in the historicalYieldReportBox.

averagePremiumInterestIncome
The historical average of yieldCurvePremiumInterestIncome calculated using premiumInterestIncomeInfoDecay as the damping factor.

This value is reported in the historicalYieldReportBox.

averagePremiumLiquidity
The historical average of yieldCurvePremiumLiquidity calculated using premiumLiquidityInfoDecay as the damping factor.

This value is reported in the historicalYieldReportBox.

averagePremiumRetractible
The historical average of yieldCurvePremiumRetractible calculated using premiumRetractibleInfoDecay as the damping factor.

This value is reported in the historicalYieldReportBox.

averagePremiumSplitShareCorp
The historical average of yieldCurvePremiumSplitShareCorp calculated using premiumSplitShareCorpInfoDecay as the damping factor.

This value is reported in the historicalYieldReportBox.

average price if exercised
A calculated value used in the cost method of option pricing and provides an indication of what the price of an instrument could be expected to be if an embedded option that is considered to be exercised were not to have been exercised - for example, if an issue were to have two equally possible prices, $24.50 and $25.50 and a retraction option exists with an exercise price of $25.00, we might then consider that the retraction will be exercised if the lower price would otherwise be effective (and not otherwise) and the "average price if exercised" will be $24.50.

It is defined as:

"average price if exercised" is reported in the optionCashFlowEffectAnalysisBox.

average price if not exercised
A calculated value, used in the cost method of option pricing and the curve method of option pricing. This is the averageNormalRemainder using the expectedBid, periodVolatility and cumulative exercise probabilities for the prior embeddedOptions as inputs.

"average price if not exercised" is reported in the optionCashFlowEffectAnalysisBox.

averageShortTermRate
A calculated value defined as the exponential moving average of the yieldCurveShortTerm component of the yield curve, with the Damping Factor defined as the optimizable parameter shortTermRateInfoDecay.

This value is reported in the historicalYieldReportBox.

averageTradingValue Report Summary
This calculated value is equal to volume - average * flatBidPrice - Average.

Right-clicking this field in the reportSummary displays the liquidityContextMenu.

Bank of Canada
The Bank of Canada is Canada's central bank, with responsibilities focussing on the goals of low and stable inflation, a safe and secure currency, financial stability and the efficient management of government funds and public debt. Further information is available on its website.
bankruptcy
A "bankruptcy" occurs when a corporation is no longer able to meet its obligations and the creditors of the firm (including corporate financers, such as holders of preferred shares, in accordance with the terms of the prospectus) liquidate the firm's assets (or recapitalize the company) and make what recovery they can from the realized value. This is the most extreme example of a reorganization
baseRateInfoDecay
An optimizable parameter with the identifier PARAMETER_CURVE_BASERATE_INFODECAY which defines the degree of damping in the exponential moving average of the base rate of the yield curve. This average is referred to as averageBaseRate

This parameter is reported in the analyticalParametersReportBox.

baseRateProportion
A member of the curvePriceComponentsProportions representing the YIELD_CURVE_BASERATE component. Therefore, it is equal to the corresponding curvePriceComponent element, divided by the meanPresentValue.

For YIELD_CURVE_BASERATE, all Risk Attributes are set to false and the curve mean price calculated using solely the yieldCurveBaseRate, which is then defined as the YIELD_CURVE_BASERATE component price, or priceComponentRiskBaseRate.

Thus, the "baseRateProportion" is that fraction of the curveMeanPrice that is attributable to the yieldCurveBaserate.

This datum is reported in the ratchetRateCalculationBox.

base yield curve
The yield curve stripped of those increments which are dependant upon risk attributes. It is, therefore, the curve formed by consideration of only the variables yieldCurveBaseRate, yieldCurveShortTerm, yieldCurveDecayShort, yieldCurveLongTerm and yieldCurveDecayLong
benchmark
A field in a FRBenchmarkType record of the FRBenchmarks table of the permanentDatabase. It specifies the current rate of the FRBenchmark in the period limited by fromDate and toDate of the specified record.

This datum is reported in the ratchetRateCalculationBox.

bestTradesReportBox Image
A dialog box accessible via any of the selections on the tradeMenu|Reports|BestTrades popup menu. It displays the best trades for which tradeFeasible is true referenced on the tradeReport, sorted as indicated by the actual selection. The user may specify the number of trades to be ranked on this report by clicking the "Set List Length" button.

Data displayed on this report are:

Note that when sorting is performed by either tradeScore or tradeDesirability, HIMIPref™ must recover the full trade dataset from the server for each feasible trade as the values of tradeScoreUnrestricted and tradeDesirabilityUnrestricted, respectively, are used to break ties in the ranking after the first sort.

bid Report Summary
(i) The bid represents the price at which at least 100 shares (a board lot) may be sold. Simulation methodology assumes that the value of shares which may be sold at the day's closing bid is equal to the tradeable value of the issue.

The bid reported by the system and used in simulations is derived from exchange data according to the following methodology:

  • if the exchange reported an actual non-zero closing bid, then this value is used.
  • if the exchange did not report a bid, but reported a closing ask greater than $1, then the value used is $1 less than the ask.
  • if the exchange reported neither a bid nor an ask for the security at the close of business, then the value used is $0.50 less than the most recent closing trade price of the security.

(ii) A field in a priceDataRecord recording the closing "bid" as reported by the exchange for the specified securityCode and date.

This value may be found on the Report Summary, the pseudoPortfolioReportBox, the pseudoModifiedDurationCalculationBox, the flatValueDerivationBox, the bestTradesReportBox, the tradingFrictionAnalysisBox and the optionCashFlowEffectAnalysisBox.

See also Holdings - bid price and quotation.

Bid-Ask Spread
See spread-spot.
bidToOfferPickup
A calculated value, used in the calculation of tradeDesirability and tradeScore, calculated by comparing the valuations of the two instruments involved in the trade, valuing the instrument to be sold at the bid and the instrument to be purchased at the offer

The best three trades ranked by "bidToOfferPickup" may be displayed in the bestTradesReportBox via the "by bidToOfferPickup" selection on the tradeMenu|Reports|BestTrades popup menu.

This value is reported in the bestTradesReportBox and the tradeEvaluationReportBox. The calculation of this value is shown in the pickupCalculationBox.

Bid Valuation Report Summary
The sum of the REWARD_COMPONENT_COUNT rewardComponents of rewardComponentsBid.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid Valuation Class - CurveReversion Report Summary
The sum of the rewardComponents of rewardComponentsBid that are members of the rewardComponentClass REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid Valuation Class - Disparity Report Summary
The sum of the rewardComponents of rewardComponentsBid that are members of the rewardComponentClass REWARD_CLASS_PRICEMOVEMENT_DISPARITY.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid Valuation Class - Price Misc. Report Summary
The sum of the rewardComponents of rewardComponentsBid that are members of the rewardComponentClass REWARD_CLASS_PRICEMOVEMENT_MISCELLANEOUS.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid Valuation Class - Yield Report Summary
The sum of the rewardComponents of rewardComponentsBid that are members of the rewardComponentClass REWARD_CLASS_YIELD.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid Valuation Class - YieldReversion Report Summary
The sum of the rewardComponents of rewardComponentsBid that are members of the rewardComponentClass REWARD_CLASS_PRICEMOVEMENT_YIELDREVERSION.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - cost yield Reversion Report Summary
The REWARD_COMPONENT_REVERSION_COSTYIELD component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - cost yield spot Report Summary
The REWARD_COMPONENT_SPOT_COSTYIELD component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid Valuation - current yield Reversion Report Summary
The REWARD_COMPONENT_REVERSION_CURRENTYIELD component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - current yield Spot Report Summary
The REWARD_COMPONENT_SPOT_CURRENTYIELD component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - Curve base rate Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_BASERATE component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - Curve Credit Class 2 Premium Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_2 rewardComponent of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - Curve Credit Class 3 Premium Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_3 rewardComponent of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - Curve Credit Class HIGH Premium Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_HIGH rewardComponent of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - Curve Credit Class LOW Premium Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_LOW rewardComponent of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid Valuation - curve Cum Div. Premium Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CUMULATIVEDIVIDENDS component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - Curve Floating Rate Premium Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_FLOATINGRATE rewardComponent of rewardComponentsBid.

It is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - Curve interest Premium Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_INTERESTINCOME component of rewardComponentsBid.

The value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - Curve long rate Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_LONGRATE component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - curve Retractible Prem. Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_RETRACTIBLE component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - Curve short rate Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_SHORTRATE component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - curve Split Share Prem. Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_SPLITSHARECORP component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - curve yield spot Report Summary
The REWARD_COMPONENT_SPOT_CURVEYIELD rewardComponent of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid Valuation - Curve yield reversion Report Summary
The REWARD_COMPONENT_REVERSION_CURVEYIELD rewardComponent of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - dividend Capture spot Report Summary
The REWARD_COMPONENT_SPOT_DIVIDENDCAPTURE rewardComponent of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - Flat price Reversion Report Summary
The REWARD_COMPONENT_REVERSION_FLATPRICE component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - Liquidity Premium Reversion Report Summary
The REWARD_COMPONENT_CURVEREVERSION_PREMIUM_LIQUIDITY rewardComponent of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - port yield Reversion Report Summary
The REWARD_COMPONENT_REVERSION_PORTYIELD component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - port yield spot Report Summary
The REWARD_COMPONENT_SPOT_PORTYIELD component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - price disparity Reversion Report Summary
The REWARD_COMPONENT_REVERSION_PRICEDISPARITY component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - price disparity spot Report Summary
The REWARD_COMPONENT_SPOT_PRICEDISPARITY component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid Valuation - sum of Price Components Report Summary
The sum of those rewardComponents of rewardComponentsBid which are of the REWARD_SUPERCLASS_PRICEMOVEMENT rewardComponentSuperclass.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid Valuation - sum of Yield Components Report Summary
The sum of those rewardComponents of rewardComponentsBid which are of the REWARD_SUPERCLASS_YIELD rewardComponentSuperclass.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - yield disparity Reversion Report Summary
The REWARD_COMPONENT_REVERSION_YIELDDISPARITY component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - yield disparity spot Report Summary
The REWARD_COMPONENT_SPOT_YIELDDISPARITY component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - yield to worst Reversion Report Summary
The REWARD_COMPONENT_REVERSION_YIELDTOWORST component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid valuation - yield to worst spot Report Summary
The REWARD_COMPONENT_SPOT_YIELDTOWORST component of rewardComponentsBid.

This value is equal to:

Calculation details for this value are shown in the riskRewardAnalysisBox and the riskRewardAnalyticalValuesBox.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

Bid Yield (Cost) - average Report Summary
The title used on the reportSummary when reporting costBidYield-average.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Bid Yield (Cost) - spot Report Summary
The title used on the reportSummary when reporting costBidYield-spot.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Bid Yield (Cost) - trend Report Summary
The title used on the reportSummary when reporting costBidYield-trend.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Bid Yield (Cost) - volatility Report Summary
The title used on the reportSummary when reporting costBidYield-volatility.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Bid Yield (Port) - average Report Summary
The title used when reporting portBidYield-average.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Bid Yield (Port) - spot Report Summary
The title used when reporting portBidYield-spot.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Bid Yield (Port) - trend Report Summary
The title used when reporting portBidYield-trend.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Bid Yield (Port) - volatility Report Summary
The title used when reporting portBidYield-volatility.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

bidYieldToWorst
The yieldToMaturity of the element of the optionCalculationList that is the lowest (scenarios which involve the exercise of retraction privileges excepted), when the calculations have been performed using the bid price.

See also yield-to-worst and bidYieldToWorst-spot.

bidYieldToWorst-average Report Summary
This is the historical average of bidYieldToWorst-spot. See bidYieldToWorst-trend, bidYieldToWorst-volatility, instrumentAveragesRecord and instrumentBidYieldToWorstInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

bidYieldToWorst-spot Report Summary
This is the value, computed daily, of bidYieldToWorst. It is the basis of one of the instrument averages attributes - see bidYieldToWorst-average, bidYieldToWorst-trend, bidYieldToWorst-volatility and instrumentBidYieldToWorstInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

bidYieldToWorst-trend Report Summary
This is the historical trend of bidYieldToWorst-spot. See bidYieldToWorst-average, bidYieldToWorst-volatility, instrumentAveragesRecord and instrumentBidYieldToWorstInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

bidYieldToWorst-volatility Report Summary
This is the historical volatility of bidYieldToWorst-spot. See bidYieldToWorst-average, bidYieldToWorst-trend, instrumentAveragesRecord and instrumentBidYieldToWorstInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

blankPortfolio
A portfolio defined by the system when, for one reason or another (usually the unavailability of pricing information for an issue presumed to be held by the previously activePortfolio) computations are not otherwise feasible.

The "blankPortfolio" is initialized with the following values in its portfolioDataRecord:
Field Value
account Name "Blank"
account Number ACCOUNT_NUMBER_BLANK
tax Schedule ID taxRateQueryProcess
commission schedule ID Equal to that of the previously defined activePortfolio
systemConstantsID Equal to that of the previously defined activePortfolio
account opening date Equal to that of the previously defined activePortfolio
desired swap issues Equal to that of the previously defined activePortfolio

board lot
A standardized number of shares, set by the relevent Exchange as part of their rules. On the Toronto Stock Exchange, it is defined as
A trading unit of shares. The board lot size of a security is determined by the previous day's close price. Close less than 10 cents: 1000 shares board lot. Close between 10 cents and $1.00: 500 shares board lot. Close $1.00 or higher: 100 shares board lot
booleanInputBox Image (Sale/Purchase)
An input box that allows the user to answer the indicated question by clicking on either the "Yes" or "No" button.

Note that the captions of the buttons may vary by context; e.g., they will be labelled "Sale" and "Purchase" when the indicated question is "Is this trade a SALE?".

"Bought" Return Report Summary
A field used when analyzing results of an issueMethod simulation. Administrative use only.
"Bought" Shortname Report Summary
A field used when analyzing results of an issueMethod simulation. Administrative use only.
"Bought" Ticker Report Summary
A field used when analyzing results of an issueMethod simulation. Administrative use only.
buySize
The number of shares to be bought in a particular trade, as determined by the algorithm specified in trade size.

This value is reported in the bestTradesReportBox, the tradingFrictionAnalysisBox and the tradeEvaluationReportBox.

buyValuationAsk
A calculated value used in the subsequent calculations of bidToOfferPickup. It is defined as

buyValuationAsk = totalRewardAsk [of the instrument bought]


This value seeks to give a single number reflecting the attractiveness of the instrument being bought at its ask price before accounting either for the portfolio's holdings of the security in question or for penaltyComponents .

See also Trading Valuation (Ask), which does include the penaltyComponents.

buyValuationBid
A calculated value used in the subsequent calculations of offerToBidPickup. It is defined as



This value seeks to give a single number reflecting the attractiveness of the instrument being bought at its bid price.

buyValue
A calculated value used in the calculation of weightedTradeDesirability. It is defined as:

buyValue = buySize * ask price (of issue bought)

This value is used in the subsequent calculation of cashChange.

buyWeight
A calculated value used in the determination of tradeWeight. It is calculated as:

If portfolioCashValue is defined:
buyWeight = buyValue / portfolioCashValue
and if portfolioCashValue is undefined:
buyValue = undefined
CBRS
(i) The "Canadian Bond Rating Service" a creditRatingAgency.

(ii) A field contained within a creditRatingDataRecord specifying the "CBRS" rating for that security and period. This datum is available through the creditRatingHistoryBox.

CBRS Rating Report Summary
The credit rating assigned by CBRS to a particular issue.

These data are contained in the creditRatings table of the permanent database. Credit ratings are important in the determination of the yield curve. See also credit and credit class.

Right-clicking this field in the reportSummary displays the creditContextMenu.

CFA Charter
CFA Charters are issued by AIMR. CFA stands for "Chartered Financial Analyst". The charter is awarded after the successful completion of three annual examinations (which are prepared for through home study) and relevent experience in the financial industry. The CFA Charter is usually regarded as being roughly equivalent to an MBA with a specialization in finance.
calculatedBuyPrice
A field in a reorgTransactionRecord that records the adjustedCostBase of newShares received by the activePortfolio in exchange for the oldShares held prior to the reorganization, if this is a shareExchange.

In the case of 1:1 conversion, this will be equal to the calculatedSellPrice; when the conversion ratio is not 1:1, the "calculatedBuyPrice" will be adjusted so that the total book value of the position is unchanged.

calculatedCommission
A calculated value based on the number of shares and the values stored on the appropriate commissionDataRecord. This number provides the total commission payable on a trade of the supplied number of shares and is calculated as:

commission = number of shares * perShare + base

The total thus calculated may be subject to a minimum commission.

This value is reported in the multipleTradeReportBox and the tradingFrictionAnalysisBox.

calculatedSellPrice
A field in a reorgTransactionRecord reflecting the adjustedCostBase of the oldShares held by the activePortfolio prior to the reorganization that gave rise to the reorgTransactionRecord.
calculateMaxWeightBuy
A procedure called by calculateTradeSize to calculate the maximum size of a purchase, according to portfolio constraints.

In the portfolioMethod, the result is the PARAMETER_PORTFOLIO_MAXWEIGHT less the weight of the issue currently held.

In the issue method, when the parameter numberSwapSecuritiesDesired is 0 (i.e., the calculation is being performed for theoretical purposes), the result is 1.0 + the weight of the issue currently held.

In the issue method, when the parameter numberSwapSecuritiesDesired is non-zero, the result is (1.0 + ISSUE_METHOD_WEIGHT_TOLERANCE) / numberSwapSecuritiesDesired.

calculateTradeSize
This function controls the calculation of tradeSize via the following steps:

The term "trade size" is shorthand for its two components: sellSize and buySize.

Note that some of the constraints limiting the proportion of investment in a particular sector may be over-ridden by the inverse of desiredSwapIssues if this value is defined.

Note also that the constraint minWeight may be overridden by one-half of the inverse of desiredSwapIssues if this value is defined.

This procedure can generate tradeSizeCalculationNotes.

call
A type of option which gives the holder the right, but not the obligation, to buy securities at a specified price at a specified time in the future. In the preferred share universe, most issues will have "calls" as embedded options, with the issuer having the right of exercise. An issue for which a "call" exists is referred to as "callable".
call probability
Used in each of the portfolio method, cost method and curve method of calculation, the call probability is the probability that an embedded option to redeem will be exercised on or before the date attached to the option entry in the optionCalculationList. See exercise probability for details on the calculation.
Canada Prime Rate
The Canada Prime Rate, a floatingRateIndex, has been defined as
the average ... of the annual rates of interest announced from time to time by the [Canadian Schedule A] Banks as the reference rates then in effect for such day for determining interest rates on Canadian dollar commercial loans made to prime commercial borrowers in Canada
(the language has been taken from the prospectus for the Northern Telecom Limited Non-cumulative Redeemable Class A Preferred Shares Series 7, which currently (December, 2003) trade on the Toronto Stock Exchange as NTL.PR.G.

This rate is also defined and compiled by the Bank of Canada and reported on its website.

Canadian Securities Administrators (CSA)
According to the Ontario Securities Commission's CSA FAQ's
Securities regulation in Canada falls within the jurisdiction of the provinces or territories, rather than being a federal matter. As such, each province or territory has its own securities regulator. The Canadian Securities Administrators (CSA) is an "umbrella" organization, which is comprised of all provincial and territorial securities regulators and provides in essence, a "virtual" national securities regulator. One of the activities of the CSA is to provide investor education materials for distribution by member regulators.

One of the activities of the CSA is the maintenance of SEDAR.

capital gains
A capital gain results when the net proceeds from a security sale (after directly related expenses) exceeds its adjusted cost base. Due to differing marginal tax rates, capital gains are generally the most desireable type of income to have.

(ii) A field in a reorgTransactionRecord reflecting the total "capitalGain" recorded by the activePortfolio when it has been affected by a reorganization in the course of a simulation.

See also effectiveCapitalGainTaxRate.

The "capital gain" realized on a particular transaction may be viewed via the transactionReport.

capitalGainAsk
A calculated value used in the subsequent calculation of PVtaxOnSaleAsk, a component of capitalGainFrictionAsk.

It is equal to the ask price less the adjustedCostBase of the holding of the issue.

capitalGainBid
A calculated value used in the subsequent calculation of PVtaxOnSaleBid, a component of capitalGainFrictionBid.

It is equal to the bid price less the adjustedCostBase of the holding of the issue.

capitalGainFrictionAsk
A calculated value used in the subsequent determination of totalFrictionAsk. It is defined as:

capitalGainFrictionAsk = - PVtaxOnSaleBid * dollarToValuationConversionRatio.

Note that "capitalGainFrictionAsk" will always be greater than capitalGainFrictionBid.

This value is reported by the tradingFrictionAnalysisBox.

capitalGainFrictionBid
A calculated value used in the subsequent determination of totalFrictionBid. It is defined as:

capitalGainFrictionBid = - PVtaxOnSaleBid * dollarToValuationConversionRatio.

Note that "capitalGainFrictionBid" will always be less than capitalGainFrictionAsk.

This value is reported by the tradingFrictionAnalysisBox.

capital gains tax
Tax payable on capital gains. See also TRANSACTION_TYPE_CAPITALGAINSACCRUAL.
capitalGainsTaxDue
This is a temporary variable calculated and stored during simulations to record the amount of capital gains tax payable but not due until the next tax payment date.

This value is reported by the portfolioReportBox.

See also TRANSACTION_TYPE_CAPITALGAINSACCRUAL.

capital loss
A "capital loss" results when the net proceeds from a security sale (after directly related expenses) is less its adjusted cost base.

Capital losses may be used to offset capital gains for tax purposes, giving rise to the concept of tax loss selling.

See also TRANSACTION_TYPE_CAPITALGAINSACCRUAL.

cash and equivalents
Cash held in a demand account at a financial institution, or currency, or a financial instrument issued by a financially strong institution with a very short term and great liquidity in the market-place, so that it may readily be turned into an amount of cash known with great precision. An example would be Government of Canada Treasury bills with a term-to-maturity of three months or less.

This value, when used specifically to refer to the cash position of a portfolio, is displayed by the portfolioReportBox.

The total "cash and equivalents" holding of a portfolio tracked in detail by HIMIPref™ may be viewed on the transactionReport and is reported on the portfolioListReport.

Clicking on this field in the portfolioListReport will cause the portfolioListReportContextMenu|Cash context menu to be displayed.

cashChange\
A calculated value determined in the calculation of tradeSize.

It is defined as:

"cashChange" = sellValue - buyValue

Note, therefore, that this calculation excludes totalBuyCommission and totalSellCommission.

This value is reported in the bestTradesReportBox, the tradeEvaluationReportBox and the multipleTradeReportBox.

CASH_FLOW_TYPE_MEMBERS
A constraint that specifies the number of flowTypes recognized by HIMIPref™.
cashFlowAmount
A field of a cash flow Entry which provides the future value of the expected cash flow.

This value may be reported in a cashFlowDiscountingAnalysisBox and the durationCalculationBox.

cashFlowDate
A field of a cash flow entry which specifies the date on which a cash flow is expected to be received.

This value may be reported in a cashFlowDiscountingAnalysisBox and the durationCalculationBox.

cashFlowDiscountingAnalysisBox Image
A dialog box accessable from the pseudoPortfolioReportBox, the cashFlowDiscountingContextMenu, the "Cash Flow Discounting" selection on the graphContextMenu|attributes context menu and (for a very restricted purpose) the optionCashFlowEffectAnalysisBox. When accessed through the optionCashFlowEffectAnalysisBox, the instrument reported will be the "stub" used to calculate the replacementCostCurve for the curveMethod.

Each "cashFlowDiscountingAnalysisBox" provides a listing of the cash flow entries contained within a cash flow discounting table. The following fields are reported:

together with the following information that identifies or is unique to the table:

There are also links present to the optionCashFlowEffectAnalysisBox and the maturityDetailsBox.

cashFlowDiscountingContextMenu

This menu is accessable in the reportSummary by right-clicking on the following fields:

This menu allows the following choices:

cash flow discounting table
A table containing cash flow entries used for the precise calculation of yieldToMaturity, Macaulay Duration and modified duration. Some specific instances of such a table are:

"cash flow discounting tables" are reported in a cashFlowDiscountingAnalysisBox and the durationCalculationBox.

cash flow entry
A record in a cash flow discounting table with the following fields:.

Most fields of a "cashFlowEntry" are reported in a cashFlowDiscountingAnalysisBox. All are shown in a durationCalculationBox.

CASHFLOW_ADJUSTMENT_FIRSTDIVIDEND
A flowType which indicates that the parent cashFlowEntry has been created to represent an adjustment to the first dividend payment, which will have been processed as CASHFLOW_DIVIDEND at the standard rate, but which may actually have a non-standard cashFlowAmount in accordance with the terms of the prospectus.
CASHFLOW_DIVIDEND
A flowType which indicates that the parent cashFlowEntry has been created to represent a dividend payment.
CASHFLOW_FINALDIVIDEND
A flowType which indicates that the parent cashFlowEntry has been created to represent the last dividend payment of the series, which may therefore have a different cashFlowAmount than other elements of the series and a cashFlowDate not evenly spaced with the other elements.
CASHFLOW_INCOMETAX
A flowType which indicates that the parent cashFlowEntry has been created to represent a tax payment on either dividends or interestIncome.
CASHFLOW_INTEREST
A flowType which indicates that the parent cashFlowEntry has been created to represent an interestIncome payment.
CASHFLOW_MATURITYVALUE
A flowType which indicates that the parent cashFlowEntry has been created to represent the repayment of par value upon maturity, which may possibly include a deemedDividend if the maturity is due to option exercise.
CASHFLOW_OPTIONEFFECT
A flowType which indicates that the parent cashFlowEntry has been created to represent the effect of a potential option exercise, according to either the cost method or curve method.

The cashFlowAmount of this type will be the netCashFlowEffect referred to in costMethodOptionPricing and data showing its calculation will be reported in the optionCashFlowEffectAnalysisBox.

CASHFLOW_OPTIONTAX
A flowType which indicates that the parent cashFlowEntry has been created to represent a tax payment due to capital gains that will become due should one of the potential option exercises become effective; this applies only to analysis using the cost method or curve method.
CASHFLOW_TAXONMATURITY
A flowType which indicates that the parent cashFlowEntry has been created to represent a tax payment due to capital gains that will become due on maturity.
CASHFLOW_UNDEFINED
A flowType which indicates that the parent cashFlowEntry has an undefined reason for its existence.
cashTransactionInputBox Image
A dialog box accessible via the "Process Cash Entry" command of the mainMenu|Admin popup menu, which allows for the creation of a transactionDataRecord reflecting the following user inputs:
cashValue
A term used to refer to the value of a particular holding in a portfolio. It is equal to the product of the two applicable fields on the holdingsDataRecord: if holdings is positive, it is holdings * bid; otherwise, it is holdings * ask.
CLASS_PARAMETER_CURVEAVERAGING
Membership in this parameterClassType indicates that the parameter is used in the calculation of effects related to universeAverages. Currently, all members of this class are also members of CLASS_PARAMETER_REVERSION. They are reported in the analyticalParametersReportBox under the heading "CURVE REVERSION PARAMETERS".
CLASS_PARAMETER_CURVEFITTING
Membership in this parameterClassType indicates that the parameter is involved in the calculation of universeAverages as a volatilityDampingFactor and therefore that changes in such parameter will require recalculation of the yieldCurve. This class of parameters is reported under the heading of "CURVE FITTING PARAMETERS" in the analyticalParametersReportBox.
CLASS_PARAMETER_DOUBLE
Membership in this parameterClassType indicates that the parameter is representable by a real number (as opposed to an integral or character-based flag).
CLASS_PARAMETER_INSTRUMENT_AVERAGES
A currently unused value of parameterClassType.
CLASS_PARAMETER_INSTRUMENTAVERAGING
A class of optimizableParameters indicating that its members are involved in the valuation of instruments in a manner related to the instrumentAveragesRecord, either as a volatilityDampingFactor (in which case it is not a member of the class CLASS_PARAMETER_REVERSION and is reported in the analyticalParametersReportBox under the heading "INSTRUMENT AVERAGING PARAMETERS [Calculation]") or as a reversionParameter (in which case it is also a member of CLASS_PARAMETER_INSTRUMENT_VALUATION and is reported under the heading "INSTRUMENT AVERAGING PARAMETERS [Reversion]").
CLASS_PARAMETER_INSTRUMENT_RISK
This class of optimizableParameters comprises those parameters which have a clear relationship to the calculation of riskDistance. These parameters are reported in the analyticalParametersReportBox under the heading "RISK PARAMETERS".
CLASS_PARAMETER_INSTRUMENT_VALUATION
This class of optimizableParameters comprises those parameters which have a clear relationship to rewardComponentsBid / rewardComponentsAsk. They are reported under two headings in the analyticalParametersReportBox:
CLASS_PARAMETER_INSTRUMENT_VALUATION_SCALING
This class of optimizable parameters corresponds to the reward class REWARD_CLASS_YIELD. Parameters are included if they operate on calculated variables which purport to estimate yield.

This scaling factor is calculated as the inverse of the sum of all parameters in this class - therefore, when the parameters in this class are multiplied by the scaling factor and then summed, the total is 1.0. This is a useful property when considering classRewardYieldBid / classRewardYieldAsk as this value will be the percentage expected return on the instrument as determined by a blended estimate of the yield of the instrument.

CLASS_PARAMETER_OPTIMIZABLE_FAST
This class of parameters indicates that its members are optimizableParameters, and that a simulation involving a change to one or more of them will run relatively quickly as neither universeAverages nor instrumentAveragesRecord must be recalculated.

All optimizableParameters will be designated as members of either this class or CLASS_PARAMETER_OPTIMIZABLE_SLOW.

CLASS_PARAMETER_OPTIMIZABLE_SLOW
This class of parameters indicates that its members are optimizableParameters, but that a simulation involving a change to one or more of them will run relatively slowly as either universeAverages or instrumentAveragesRecord must be recalculated.

All optimizableParameters will be designated as members of either this class or CLASS_PARAMETER_OPTIMIZABLE_FAST.

CLASS_PARAMETER_PENALTY
This class of optimizableParameters is designated for cosmetic purposes only. It indicates that the parameters so described, listed under the heading "PORTFOLIO PARAMETERS" in the analyticalParametersReportBox, are used to describe those optimizableParameters used in the calculation of penaltyComponents.
CLASS_PARAMETER_PORTFOLIO
This class of optimizableParameters is designated for cosmetic purposes only. It indicates that the parameters so described, listed under the heading "PORTFOLIO PARAMETERS" in the analyticalParametersReportBox, are used to describe attributes of the specific portfolio for which the valuation is made, rather than reflecting intrinsic characteristics of the preferred share universe.
CLASS_PARAMETER_REVERSION
A class of parameters designated for cosmetic purposes in the preparation of the analyticalParametersReportBox and in the course of running simulations to determine whether instrumentAveragesRecords need to be recalculated due to a change in the dampingFactor. The following rules are applied:
CLASS_PARAMETER_SYSTEM
This class of parameters is designated for cosmetic purposes only. It indicates that the parameters so described, listed under the heading "SYSTEM PARAMETERS" in the analyticalParametersReportBox are best described as being fundamental constants used in the course of calculations throughout HIMIPref™. However, provision has been made for varying these parameters on an occasional basis.
CLASS_PARAMETER_TRADE
This class of optimizableParameters is designated for cosmetic purposes only. It indicates that the parameters so described, listed under the heading "TRADING PARAMETERS" in the analyticalParametersReportBox have no effect on valuation, they are used in the process of trade determination only.
classRewardPriceMovementAsk
A calculated value used in the subsequent calculation of totalRewardAsk. It is obtained by summing those elements of the rewardComponentsAsk vector which have the reward class of REWARD_CLASS_PRICEMOVEMENT and hence take priceVolatilityScalingFactor as their instrumentValuationScalingFactor.

This may be considered to be a "short-term" source of valuation compared to classRewardYieldBid. See valueSizeAdjustmentBuy.

classRewardPriceMovementBid
A calculated value used in the subsequent calculation of totalRewardBid. It is obtained by summing those elements of the rewardComponentsBid vector which have the reward class of REWARD_CLASS_PRICEMOVEMENT and hence take priceVolatilityScalingFactor as their instrumentValuationScalingFactor.

This may be considered to be a "short-term" source of valuation compared to classRewardYieldBid. See valueSizeAdjustmentBuy.

classRewardYieldAsk
A calculated value used in the subsequent calculation of totalRewardAsk. It is obtained by summing those elements of the rewardComponentsAsk vector which have the reward class of REWARD_CLASS_YIELD and hence take instrumentValuationYieldScalingFactor as their instrumentValuationScalingFactor.

This may be considered to be a "long-term" source of valuation compared to classRewardPriceMovementAsk. See valueSizeAdjustmentBuy.

classRewardYieldBid
A calculated value used in the subsequent calculation of totalRewardBid. It is obtained by summing those elements of the rewardComponentBid vector which have the reward class of REWARD_CLASS_YIELD and hence take instrumentValuationYieldScalingFactor as their instrumentValuationScalingFactor.

This may be considered to be a "long-term" source of valuation compared to classRewardPriceMovementBid. See valueSizeAdjustmentSell.

close
(i) The price of the last trade executed on the exchange on the day in question.

(ii) A field in a priceDataRecord recording the "close" according to the exchange for the specified securityCode and date. This datum is not routinely gathered - it is recorded only when the security has no bid and no ask reported.

"Closer" Longname Report Summary
A field used when analyzing results of an issueMethod simulation. Administrative use only.
"Closer" Shortname Report Summary
A field used when analyzing results of an issueMethod simulation. Administrative use only.
"Closer" Ticker Report Summary
A field used when analyzing results of an issueMethod simulation. Administrative use only.
closing quotations
The bid and offer on a security, reported by the Exchange as of its close of business for the day.
columnHeadingsContextMenu

This menu is available on the reportSummary by right-clicking on any column heading.

It allows the following choices:

  • Sort Ascending : sorts the report summary rows in ascending order according to the selected column
  • Sort Descending : sorts the report summary rows in descending order according to the selected column
  • Set Precision : Allows a choice of the number of decimal places to be displayed for data reported in the column
  • Remove Column : deletes the column from the report
  • Glossary : Retrieves this glossary, scrolled to the definition of the data in the column.
  • Help : Retrieves this glossary, scrolled to this definition.
commission
A field in a transactionDataRecord that records the calculatedCommission for the transaction that gave rise to the transactionDataRecord.

This datum may be viewed on the transactionReport.

commission base
A field in the commissionDataRecord.

The basic charge for executing a trade, irrespective of quantity. For example, while a broker may charge institutional clients five cents per share, regardless of size, the custodian may charge $20 for every settlement, regardless of size. This $20 fee would be the "commission base" when preparing the commission data record.

This value is reported by the commissionReportBox.

commission database
A permanentDatabase containing the commission data records.
commissionDataRecord
A record in the commission database which includes the following fields:

This database specifies the commission schedule to be used when calculating commission.

"commissionDataRecords" may be displayed on the commissionReportBox.

commissionFriction
A calculated value subsequently used in the calculation of totalFrictionBid / totalFrictionAsk. It seeks to quantify the effect of commissions on a projected trade, in units identical to those used by totalRewardBid / totalRewardAsk.

It is defined as:

This value is reported by the tradingFrictionAnalysisBox.

commissionInputBox Image
Allows input of a commissionDataRecord.
commission minimum
A field in the commission data record.

This field specifies the minimum commission payable in order to execute a trade. For example, discount brokers in Canada may charge three cents per share on trades, with a minimum of $29.00.

This value is reported by the commissionReportBox.

commission per Share
A field in the commission data record.

This field specifies the amount that must be paid per share as a fee for executing trades.

This value is reported by the commissionReportBox.

commissionReportBox Image
A dialog box accessible via the "Commission Schedule" selection on the mainMenu|reports|activePortfolio popup menu or the "Current Commission Schedule" selection on the portfolioListReportContextMenu|commissionScheduleID context menu on the portfolioListReport.

The following data from the commissionDataRecord is displayed:

commission schedule ID
A field in the commission data record.

This field specifies an identifier for the record which may be used by other data records to refer to the commission record. Other records which key on this value include:

This value is reported by the commissionReportBox and the portfolioListReport. Right-clicking this value on the portfolioListReport will display the portfolioListReportContextMenu|commissionScheduleID

commissionSelectionBox Image
A dialog box accessible via the portfolioInputBox, which allows the selection of the commissionScheduleID applicable to the portfolio being defined. A central list box allows the highlighting of a single commissionScheduleID; clicking
  • "OK" selects the indicated record
  • "Details" displays the commissionReportBox for that record
  • "Help" displays this glossary item
  • "Cancel" closes the box without making a selection
componentsOfYieldCurvePriceBox Image
A dialog box accessible through the curveCalculationContextMenu that reports curve price components and through the "Curve Price Components" selection of the graphContextMenu|attributes context menu.

It provides the following information:

Note that since priceComponentRiskInstrumentDisparity is not reported here, the reported components will sum to the curvePrice.

Note that curvePriceComponents for all issues may be displayed on the reportSummary via the "Curve Components (value)" choice on the reportSummary|QuickReports menu.

confirmPassword
A field in the editUserBox and passwordChangeBox that requires the user to retype the string input into the password field in order to confirm that there have been no typographical errors in the input.
constraint
A constraint is an arbitrary constant imposed upon the system. While investigations may take place from time to time to check the reasonableness of the values, they are not considered to be optimizable parameters. Constraints are:
Constraint
CASH_FLOW_TYPE_MEMBERS
DAILY_VOLATILITY_CONVERSION_EXPONENT
DAILY_VOLATILITY_INSTRUMENT_PERCENT
index
INSTRUMENT_VALUATION_REVERSION_TYPE_MEMBERS
issuance cost
ISSUE_METHOD_WEIGHT_TOLERANCE
MATURITY_CALCULATION_LIMIT_RECURSION
MATURITY_CALCULATION_LIMIT_YEARS
MATURITY_NOTICE_PERIOD
maxDaysToTrade
MAX_PRICE_MOVEMENT_SCALING_EXPONENT
MAX_TRADES_DAILY
maxWeight
maxWeightCreditClass2
maxWeightCreditClass3
maxWeightCumulativeDividends
maxWeightFloatingRate
maxWeightInterestPay
maxWeightIssuerClass2
maxWeightIssuerClass3
maxWeightRetractible
maxWeightSplitShareCorp
minWeight
numberSwapSecuritiesDesired
OPTIMIZATION_ISSUE_NOTIONAL_CASH
OPTION_CERTAINTY_MATURITY_TOLERANCE
OPTION_EXERCISE_CALCULATION_INCREMENT_PROBABILITY
PARAMETER_PORTFOLIO_MAXWEIGHT
PARAMETER_PORTFOLIO_MAXWEIGHT_CREDITCLASS2
PARAMETER_PORTFOLIO_MAXWEIGHT_CREDITCLASS3
PARAMETER_PORTFOLIO_MAXWEIGHT_CUMULATIVEDIVIDENDS
PARAMETER_PORTFOLIO_MAXWEIGHT_FLOATINGRATE
PARAMETER_PORTFOLIO_MAXWEIGHT_INTERESTPAY
PARAMETER_PORTFOLIO_MAXWEIGHT_ISSUERCLASS2
PARAMETER_PORTFOLIO_MAXWEIGHT_ISSUERCLASS3
PARAMETER_PORTFOLIO_MAXWEIGHT_RETRACTIBLE
PARAMETER_PORTFOLIO_MAXWEIGHT_SPLITSHARECORP
PARAMETER_PORTFOLIO_MINWEIGHT
PARAMETER_SYSTEM_ISSUANCECOST
PARAMETER_TRADING_MAXDAYS
PARAMETER_TYPE_MEMBERS_DOUBLE
PENALTY_COMPONENT_COUNT
PRICE_AMORTIZATION_EXPONENT
PRICE_SPREAD_DEFAULT_FRACTION
PSEUDO_PORTFOLIO_INDEX_MEMBERS
RISK_DISTANCE_EXPONENT
RISK_MEASUREMENT_AXIS_TYPE_MEMBERS
SIMULATION_PARAMETER_SELECTION_FASTSLOWBONUS
SIMULATION_SCORE_WEIGHT_ANNUALINFODECAY
SIMULATION_SCORE_WEIGHT_DOWNMONTH
TAX_DUE_DAY
TAX_DUE_MONTH
TRADE_OPTIMIZATION_RELATIVE_ANNUALIZED_MAX
TRADE_RISK_ASYMETTRY
tradingMaxDays
VALUATION_SPREAD_MAXIMUM
VALUATION_SPREAD_MINIMUM
VOLATILITY_AMORTIZATION_EXPONENT
volumeAveragingCap
VOLUME_PREISSUE_DEFAULT
YIELD_CURVE_CALCULATION_PRECISION
YIELD_CURVE_COMPONENT_CALCULATION_LIQUIDITY_MAXIMUM
YIELD_CURVE_COMPONENT_CALCULATION_MINIMUM_POINTS
YIELD_CURVE_COMPONENT_INITIALINCREMENT
YIELD_CURVE_DECAY_ALLOWABLEDRIFT
YIELD_CURVE_EXPONENTIALDECAY_LONG_MINIMUM
YIELD_CURVE_EXPONENTIALDECAY_MAXIMUM
YIELD_CURVE_EXPONENTIALDECAY_MINIMUMINCREMENT
YIELD_CURVE_PREMIUM_MAXIMUMCHANGE
YIELD_CURVE_PSEUDOMODIFIEDDURATION_MINIMUM
YIELD_CURVE_VARIANCE_EXPONENT
CONSTRAINT_PORTFOLIO_MINWEIGHT
CONSTRAINT_DESCRIPTION
An enumerated value of constraintType indicating that field of the constraintSpecificationRecord referred to is description.
CONSTRAINT_INDEXID
An enumerated value of constraintType indicating that field of the constraintSpecificationRecord referred to is indexID
CONSTRAINT_OPTIMIZATIONTYPE
An enumerated value of constraintType indicating that field of the constraintSpecificationRecord referred to is optimizationType.
constraints
A table contained within the userDatabase and comprised of constraintSpecificationRecords.
constraintsID
A field of a portfolioDataRecord that specifies the identifier of the particular constraintSpecificationRecord that is applicable to the portfolio.
constraintsInputBox Image
A dialog box accessible via the "Add New" button of the constraintsSelectionBox that allows the creation of a new constraintSpecificationRecord. The following fields require definition:
constraintsReportBox Image
A dialog box available through the "Constraints" selection on the mainMenu|reports|activePortfolio menu, or through the "Details" button on the constraintsSelectionBox.

The following information from the constraintSpecificationRecord specified by its description and identifier is displayed:

constraintsSelectionBox Image
A dialog box accessible via the portfolioInputBox that allows various operations related to constraintSpecificationRecords.

The description field of all constraintSpecificationRecords is displayed in a normal list box. The following operations may be performed through clicking the appropriate buttons:

  • Delete : attempts to delete the highlighted record. If this record is required as it is specified in an extant portfolioDataRecord, no action will be taken.
  • Add New : displays the constraintsInputBox for the creation of a new record.
  • Details : displays the constraintsReportBox for the highlighted record
  • Help : displays this glossary item
  • OK : selects the highlighted constraintSpecificationRecord and closes the "constraintsSelectionBox"
  • Cancel : closes the "constraintsSelectionBox" without selecting a record
constraintSpecificationRecord
A record contained within the constraints table of the userDatabase and comprised of the following fields:
Field Name constraintType Valid values
maxWeight CONSTRAINT_PORTFOLIO_MAXWEIGHT 0.0 < maxWeight ≤ 1.0; maxWeight > minWeight
minWeight PARAMETER_PORTFOLIO_MINWEIGHT 0 < x ≤ 1.0; minWeight < maxWeight
maxWeightRetractible CONSTRAINT_PORTFOLIO_MAXWEIGHT_RETRACTIBLE 0.0 ≤ maxWeightRetractible < 2.0
maxWeightIssuerClass2 CONSTRAINT_PORTFOLIO_MAXWEIGHT_ISSUERCLASS2 0.0 ≤ maxWeightIssuerClass2 < 2.0 ; maxWeightIssuerClass2maxWeightCreditClass2
maxWeightSplitShareCorp CONSTRAINT_PORTFOLIO_MAXWEIGHT_SPLITSHARECORP 0.0 ≤ maxWeightSplitShareCorp < 2.0
maxWeightInterestPay CONSTRAINT_PORTFOLIO_MAXWEIGHT_INTERESTPAY 0.0 ≤ maxWeightInterestPay < 2.0
maxWeightCumulativeDividends CONSTRAINT_PORTFOLIO_MAXWEIGHT_CUMULATIVEDIVIDENDS 0.0 ≤ maxWeightCumulativeDividends < 2.0
maxWeightCreditClass2 CONSTRAINT_PORTFOLIO_MAXWEIGHT_CREDITCLASS2 0.0 ≤ maxWeightCreditClass2 < 2.0 ; maxWeightCreditClass2 + maxWeightCreditClass3 ≤ 3.0
tradingMaxDays CONSTRAINT_TRADING_MAXDAYS tradingMaxDays > 0.0
identifier Assigned by system
optimizationType CONSTRAINT_OPTIMIZATIONTYPE Either OPTIMIZE_PARAMETERS_PORTFOLIO or OPTIMIZE_PARAMETERS_ISSUE
indexID CONSTRAINT_INDEXID Must correspond to the indexID of an indexNamesType
maxWeightIssuerClass3 CONSTRAINT_PORTFOLIO_MAXWEIGHT_ISSUERCLASS3 0.0 ≤ maxWeightIssuerClass3 < 2.0 ; maxWeightIssuerClass3maxWeightCreditClass3
maxWeightFloatingRate CONSTRAINT_PORTFOLIO_MAXWEIGHT_FLOATINGRATE 0.0 ≤ maxWeightFloatingRate < 2.0
maxWeightCreditClass3 CONSTRAINT_PORTFOLIO_MAXWEIGHT_CREDITCLASS3 0.0 ≤ maxWeightCreditClass3 < 2.0 ; maxWeightCreditClass2 + maxWeightCreditClass3 ≤ 3.0
description CONSTRAINT_DESCRIPTION More than zero characters; less than 50

These values are reported in the constraintReportBox

CONSTRAINT_PORTFOLIO_MAXWEIGHT
An enumerated value of constraintType indicating that field of the constraintSpecificationRecord referred to is maxWeight.
CONSTRAINT_PORTFOLIO_MAXWEIGHT_CREDITCLASS2
An enumerated value of constraintType indicating that field of the constraintSpecificationRecord referred to is maxWeightCreditClass2.
CONSTRAINT_PORTFOLIO_MAXWEIGHT_CREDITCLASS3
An enumerated value of constraintType indicating that field of the constraintSpecificationRecord referred to is maxWeightCreditClass3.
CONSTRAINT_PORTFOLIO_MAXWEIGHT_CUMULATIVEDIVIDENDS
An enumerated value of constraintType indicating that field of the constraintSpecificationRecord referred to is maxWeightCumulativeDividends
CONSTRAINT_PORTFOLIO_MAXWEIGHT_FLOATINGRATE
An enumerated value of constraintType indicating that field of the constraintSpecificationRecord referred to is maxWeightFloatingRate.
CONSTRAINT_PORTFOLIO_MAXWEIGHT_INTERESTPAY
An enumerated value of constraintType indicating that field of the constraintSpecificationRecord referred to is maxWeightInterestPay.
CONSTRAINT_PORTFOLIO_MAXWEIGHT_ISSUERCLASS2
An enumerated value of constraintType indicating that field of the constraintSpecificationRecord referred to is maxWeightIssuerClass2.
CONSTRAINT_PORTFOLIO_MAXWEIGHT_ISSUERCLASS3
An enumerated value of constraintType indicating that field of the constraintSpecificationRecord referred to is maxWeightIssuerClass3.
CONSTRAINT_PORTFOLIO_MAXWEIGHT_RETRACTIBLE
An enumerated value of constraintType indicating that field of the constraintSpecificationRecord referred to is maxWeightRetractible.
CONSTRAINT_PORTFOLIO_MAXWEIGHT_SPLITSHARECORP
An enumerated value of constraintType indicating that field of the constraintSpecificationRecord referred to is maxWeightSplitShareCorp.
CONSTRAINT_PORTFOLIO_MINWEIGHT
An enumerated value of constraintType indicating that field of the constraintSpecificationRecord referred to is minWeight.
CONSTRAINT_TRADING_MAXDAYS
An enumerated value of constraintType indicating that field of the constraintSpecificationRecord referred to is tradingMaxDays.
constraintType
An enumerated type listing the constraints that comprise a constraintSpecificationRecord. Members of this type are:
CONSTRAINT_UNDEFINED
An enumerated value of constraintType indicating that the field of the constraintSpecificationRecord referred to has not yet been sent.
contact
(i) A field contained within a dealerRecordType specifying the name of the contact person at the dealer signified by the record.

(ii) A field in a custodiansDataRecord that specifies the name of the contact person at the custodian signified by the record.

contactEMail
(i) A field contained within a dealerRecordType specifying the eMail address of the contact person at the dealer signified by the record.

(ii) A field in a custodiansDataRecord that specifies the eMail address of the contact person at the custodian signified by the record.

convertable
A security which may be converted into another security.
COPrS
This is an acronym for "Canadian Originated Preferred Securities", a term trademarked by Merrill Lynch to denote Preferred Securities. Such instruments pay interest income.
costAskDiscountingTable
The "costAskDiscountingTable" is used for the determination of cost yield at the ask price and as the base for the curveAskTable. The cash flow entries in this table are computed in the following order:

See cashFlowDiscountingTable.

costAskYield
The cost yield calculated at the ask price through the costAskDiscountingTable.

This calculated value is one of the yield measures used in computing totalRewardAsk.

This is listed on the report Summary as YTM (Cost Method) at Ask.

costAskYield-average
This is the historical average of costAskYield-spot. See costAskYield-trend, costAskYield-volatility, instrumentAveragesRecord and instrumentCostAskYieldInfoDecay.

Reported on the reportSummary as Ask Yield (Cost) - average.

costAskYield-spot
This is the value, computed daily, of the costAskYield. It is the basis of one of the instrument averages attributes - see costAskYield-average, costAskYield-trend, costAskYield-volatility and instrumentCostAskYieldInfoDecay.

Reported on the reportSummary as Ask Yield (Cost) - spot.

costAskYield-trend
This is the historical trend of costAskYield-spot. See costAskYield-average, costAskYield-volatility, instrumentAveragesRecord and instrumentCostAskYieldInfoDecay.

Reported on the reportSummary as Ask Yield (Cost) - trend.

costAskYield-volatility
This is the historical volatility of costAskYield-spot. See costAskYield-average, costAskYield-trend, instrumentAveragesRecord and instrumentCostAskYieldInfoDecay.

Reported on the reportSummary as Ask Yield (Cost) - volatility.

costBidDiscountingTable
The "costBidDiscountingTable" is used for the determination of cost yield at the bid price and as the base for the curveBidTable. The cash flow entries in this table are computed in the following order:
costBidYield
The cost yield calculated at the bid price through the costBidDiscountingTable.

This calculated value is one of the yield measures used in computing totalRewardBid and is also used to compute pseudoModifiedDurationCost.

This is listed on the report Summary as YTM (Cost Method) at Bid.

costBidYield-average
This is the historical average of costBidYield-spot. See costBidYield-trend, costBidYield-volatility, instrumentAveragesRecord and instrumentCostBidYieldInfoDecay.Reported on the reportSummary as Bid Yield (Cost) - average.
costBidYield-spot
This is the value, computed daily, of the costBidYield. It is the basis of one of the instrument averages attributes - see costBidYield-average, costBidYield-trend, costBidYield-volatility and instrumentCostBidYieldInfoDecay.

Reported on the reportSummary as Bid Yield (Cost) - spot.

costBidYield-trend
This is the historical trend of costBidYield-spot. See costBidYield-average, costBidYield-volatility, instrumentAveragesRecord and instrumentCostBidYieldInfoDecay.

Reported on the reportSummary as Bid Yield (Cost) - trend.

costBidYield-volatility
This is the historical volatility of costBidYield-spot. See costBidYield-average, costBidYield-trend, instrumentAveragesRecord and instrumentCostBidYieldInfoDecay.

Reported on the reportSummary as Bid Yield (Cost) - volatility

costBidYieldDifference
A calculated vector of (PSEUDO_PORTFOLIO_INDEX_MEMBERS-2) entries, used in subsequent calculations of pseudoModifiedDurationCost. It represents the differences in costBidYield between all but the highest and lowest priced elements of the pseudoList relative to their flanking members, so that the "costBidYieldDifference" corresponding to pseudoList[i] is

(costBidYield[i + 1] - costBidYield[i - 1]) / costBidYield[i]

where pseudoList is ranked in ascending order of its corresponding price.
cost method
A methodology for determining the expected yield of an instrument given details of its market quotation, dividend and embedded options according to its prospectus.

The embedded options are assigned values according to the cost method of option pricing; these values are incorporated into the costBidDiscountingTable / costAskDiscountingTable and the cash-flows of these tables analyzed to derive the major results

See also portfolioMethod (ii) and curveMethod.

cost method of option pricing
A technique of valuing embedded options which is the foundation for the cost method of instrument valuation.

Once the basic option calculation list has been calculated, each component of that list is assigned a value in accordance with the "cost method of option pricing" and this value incorporated into the projected cash flows of the instrument's costBidDiscountingTable and costAskDiscountingTable.

Steps involved in this calculation are:

cost yield
The complete set of options available to the issuer and the investor is considered and a value assigned to each option. These option values are incorporated into an over-all yield evaluation. Very similar to curve yield but uses the cost method of option pricing. See costBidDiscountingTable for details of the calculation.
credit
A field in a systemConstantsRecord which specified which set of creditRatings are to be used in conjunction with that record.

This value is reported in the analyticalParametersReportBox.

See creditRating.

credit class
Credit classes are used to quantify the creditworthiness of the various issuers who are considered in the investment universe. It should be noted that the determination of a credit rating on an issue is entirely independent of its price: the sole focus is on whether the issuer will be able to meet the terms listed in the prospectus. There are several companies who are engaged exclusively in the field of credit analysis, an example being DBRS. The credit classes considered in HIMIPref™ are credit Class 1, credit class 2 and credit class 3, as modified by the adjustments credit class high and credit class low. Issuers insufficiently credit-worthy of even the lowest rung, Credit Class 3 Low, are considered to be unrated for analytical purposes and are not eligible for investment consideration in HIMIPref™. See the procedure eligibleForPurchase.

Information regarding "creditClass" ratings for each instrument is contained in the creditRatings table of the permanentDatabase.

credit Class 1
The highest of the three major credit classes, Credit Class 1 is reserved for those issuers for which will almost certainly be able to meet the obligations they shouldered under the terms of the prospectus for the issues under consideration. Most issuers in this class are banks or other financial institutions. HIMIPref™ relies primarily upon the credit ratings assigned by DBRS to assign issues to the credit classes. Credit Class 1 may be considered a risk attribute by construction, since if the issue is considered to be investible and is neither of credit classes 2 or 3, it is Credit Class 1 by default.

Information regarding "creditClass" ratings for each instrument is contained in the creditRatings table of the permanentDatabase.

Credit Class 2 Report Summary
A credit class considered more risky than credit class 1 but less risky than credit class 3. HIMIPref™ relies primarily upon the credit ratings assigned by DBRS to assign issues to the credit classes. The question of whether an issue is Credit Class 2 or not is considered to be a risk attribute.

Information regarding "creditClass" ratings for each instrument is contained in the creditRatings table of the permanentDatabase.

When this datum is reported as a number, {0 is false; 1 is true}.

A weighted average for a portfolio for this attribute is reported by the portfolioRiskReportBox.

credit Class 3 Report Summary
The lowest of the three major credit classes that are eligible for consideration for investment in HIMIPref™, Credit Class 3 is for those issuers which should be able to meet the obligations they shouldered under the terms of the prospectus for the issues under consideration, but which may experience difficulties in bad economic times. HIMIPref™ relies primarily upon the credit ratings assigned by DBRS to assign issues to the credit classes. Credit Class 3 is considered a risk attribute.

Information regarding "creditClass" ratings for each instrument is contained in the creditRatings table of the permanentDatabase.

When this datum is reported as a number, {0 is false; 1 is true}.

A weighted average for a portfolio for this attribute is reported by the portfolioRiskReportBox.

Credit Class High Report Summary
A modifier of the major credit classes indicating a high relative ranking within the major group. This is a risk attribute.

Information regarding creditClass ratings for each instrument is contained in the creditRatings table of the permanentDatabase.

When this datum is reported as a number, {0 is false; 1 is true}.

A weighted average for a portfolio for this attribute is reported by the portfolioRiskReportBox.

Credit Class Low Report Summary
A modifier of the major credit classes indicating a low relative ranking with the major group. This is a risk attribute.

Information regarding creditClass ratings for each instrument is contained in the creditRatings table of the permanentDatabase.

When this datum is reported as a number, {0 is false; 1 is true}.

A weighted average for a portfolio for this attribute is reported by the portfolioRiskReportBox.

Credit Class UNRATED
Something of a misnomer, since most issues characterized as belonging to this creditClass are, in fact, rated, but are not sufficiently highly rated to belong to creditClass1, creditClass2 or creditClass3.
creditContextMenu
This menu is available on the reportSummary by right-clicking on the following fields:

This menu allows the following choices:

.
creditRatingAgency
A company established to examine the financial status of debt issuers and form a judgement as to the likelihood of these issuers being able to meet their obligations in a timely manner. The issuers are charged a fee for these judgements and the "creditRatingAgency" makes its views known to potential investors.

Current "creditRatingAgencies" in Canada include CBRS and DBRS.

creditRatingDataRecord
A record contained in the creditRatings table of the permanentDatabase. This table allows the determination of the effective creditRatings of each preferred share in the universe as of any date analyzed by HIMIPref™.

Fields contained within each record are:

Most of these fields are reported in the creditRatingHistoryBox.

creditRatingHistoryBox Image
This dialog box is available through the creditContextMenu or the "Credit Rating History" selection of the graphContextMenu|attributes context menu.

For each instrument it displays the

credit rating
(i) Credit ratings are assigned by companies such as DBRS to issues. They seek to measure the likelihood of the issuer being able to live up to the terms of the prospectus and do not seek to take a view as to whether the investment is attractive at any particular price. Note that different issues of stock from the same issuer may have different credit ratings based on the degree of protection set forth in the prospectus.

See also credit class.

(ii) A table contained within the permanentDatabase comprised of creditRatingDataRecords.

cum-Dividend
"With the dividend". The entitlement to the dividend in question has not been separated from the ownership of the shares. This separation occurs on the ex-Date.
cumulative dividends Report Summary Report Summary
Dividends are cumulative if they remain owing to investors in preferred shares when not declared in accordance with the schedule specified in the prospectus. There will generally be some constraints placed on the issuer's use of cash (e.g., for common stock dividends) until these arrears are paid. The question of whether an issues dividends are cumulative or not is considered a risk attribute.

This data is recorded in the "cumulativeDividends" field of an instrumentDataRecord.

When this datum is reported as a number, {0 is false, 1 is true}.

Right-clicking this field (when boolean) in the reportSummary will display the instrumentNameContextMenu.

This datum is also available through the instrumentDetailsBox.

A weighted average for a portfolio for this attribute is reported by the portfolioRiskReportBox.

curveBaseRateReversionSpeed
A curveReversionParameter. Its identifier is PARAMETER_CURVE_BASERATE_REVERSIONSPEED.

This parameter seeks to quantify the REWARD_COMPONENT_CURVEREVERSION_BASERATE component of rewardComponentsBid / rewardComponentsAsk that will reflect the effect on instrument price of expected changes in the YIELD_CURVE_BASERATE component of the yieldCurve.

This is an optimizableParameter. There is no constraint on its size or sign.

This parameter is reported in the analyticalParametersReportBox.

curveCalculationContextMenu

This menu is accessible on the reportSummary by right-clicking on the following fields:

This menu allows the following choices:

curveCreditClass2ReversionSpeed
A curveReversionParameter. Its identifier is PARAMETER_CURVE_CREDITCLASS2_REVERSIONSPEED.

This parameter seeks to quantify the REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_2 component of rewardComponentsBid / rewardComponentsAsk that will reflect the effect on instrument price of expected changes in the YIELD_CURVE_PREMIUM_CREDIT_CLASS_2 component of the yieldCurve.

This is an optimizableParameter. There is no constraint on its size or sign.

This parameter is reported in the analyticalParametersReportBox.

curveCreditClass3ReversionSpeed
A curveReversionParameter. Its identifier is PARAMETER_CURVE_CREDITCLASS3_REVERSIONSPEED.

This parameter seeks to quantify the REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_3 component of rewardComponentsBid / rewardComponentsAsk that will reflect the effect on instrument price of expected changes in the YIELD_CURVE_PREMIUM_CREDIT_CLASS_3 component of the yieldCurve.

This is an optimizableParameter. There is no constraint on its size or sign.

This parameter is reported in the analyticalParametersReportBox.

curveCreditClassHighReversionSpeed
A curveReversionParameter. Its identifier is PARAMETER_CURVE_CREDITCLASSHIGH_REVERSIONSPEED.

This parameter seeks to quantify the REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_HIGH component of rewardComponentsBid / rewardComponentsAsk that will reflect the effect on instrument price of expected changes in the YIELD_CURVE_PREMIUM_CREDIT_CLASS_HIGH component of the yieldCurve.

This is an optimizableParameter. There is no constraint on its size or sign.

This parameter is reported in the analyticalParametersReportBox.

curveCreditClassLowReversionSpeed
A curveReversionParameter. Its identifier is PARAMETER_CURVE_CREDITCLASSLOW_REVERSIONSPEED.

This parameter seeks to quantify the REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_LOW component of rewardComponentsBid / rewardComponentsAsk that will reflect the effect on instrument price of expected changes in the YIELD_CURVE_PREMIUM_CREDIT_CLASS_LOW component of the yieldCurve.

This is an optimizableParameter. There is no constraint on its size or sign.

This parameter is reported in the analyticalParametersReportBox.

curveCumulativeDividendsReversionSpeed
A curveReversionParameter. Its identifier is PARAMETER_CURVE_CUMULATIVEDIVIDENDS_REVERSIONSPEED.

This parameter seeks to quantify the REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CUMULATIVEDIVIDENDS component of rewardComponentsBid / rewardComponentsAsk that will reflect the effect on instrument price of expected changes in the YIELD_CURVE_PREMIUM_CUMULATIVEDIVIDENDS component of the yieldCurve.

This is an optimizableParameter. There is no constraint on its size or sign.

This parameter is reported in the analyticalParametersReportBox.

curveFloatingRateReversionSpeed
A curveReversionParameter. Its identifier is PARAMETER_CURVE_FLOATINGRATE_REVERSIONSPEED.

This parameter seeks to quantify the REWARD_COMPONENT_CURVEREVERSION_PREMIUM_FLOATINGRATE component of rewardComponentsBid / rewardComponentsAsk that will reflect the effect on instrument price of expected changes in the YIELD_CURVE_PREMIUM_FLOATINGRATE component of the yieldCurve.

This is an optimizableParameter. There is no constraint on its size or sign.

This parameter is reported in the analyticalParametersReportBox.

curveInterestIncomeReversionSpeed
A curveReversionParameter. Its identifier is PARAMETER_CURVE_INTERESTINCOME_REVERSIONSPEED.

This parameter seeks to quantify the REWARD_COMPONENT_CURVEREVERSION_PREMIUM_INTERESTINCOME component of rewardComponentsBid / rewardComponentsAsk that will reflect the effect on instrument price of expected changes in the YIELD_CURVE_PREMIUM_INTERESTINCOME component of the yieldCurve.

This is an optimizableParameter. There is no constraint on its size or sign.

This parameter is reported in the analyticalParametersReportBox.

curveLiquidityReversionSpeed
A curveReversionParameter. Its identifier is PARAMETER_CURVE_LIQUIDITY_REVERSIONSPEED.

This parameter seeks to quantify the REWARD_COMPONENT_CURVEREVERSION_PREMIUM_LIQUIDITY component of rewardComponentsBid / rewardComponentsAsk that will reflect the effect on instrument price of expected changes in the YIELD_CURVE_PREMIUM_LIQUIDITY component of the yieldCurve.

This is an optimizableParameter. There is no constraint on its size or sign.

This parameter is reported in the analyticalParametersReportBox.

curveLongTermReversionSpeed
A curveReversionParameter. Its identifier is PARAMETER_CURVE_LONGTERM_REVERSIONSPEED.

This parameter seeks to quantify the REWARD_COMPONENT_CURVEREVERSION_LONGRATE component of rewardComponentsBid / rewardComponentsAsk that will reflect the effect on instrument price of expected changes in the YIELD_CURVE_LONGTERM component of the yieldCurve.

This is an optimizableParameter. There is no constraint on its size or sign.

This parameter is reported in the analyticalParametersReportBox.

curvePrice Report Summary
See meanPresentValue.

Right-clicking on this field in the reportSummary will display the curveCalculationContextMenu.

curve price components
This is a calculated vector of YIELD_CURVE_COMPONENT_COUNT entries which seeks to isolate the effect of each of the yield curve components on curveMeanPrice.

See Yield Curve Component for references to the names of each of the "curvePriceComponents".

"curvePriceComponents" are reported in the componentsOfYieldCurvePriceBox.

"curvePriceComponents" for all issues may be displayed on the reportSummary via the "Curve Components (value)" choice on the reportSummary|QuickReports menu.

curvePriceComponentsProportions
This is a calculated vector of YIELD_CURVE_COMPONENT_COUNT entries which specifies the ratio of each curvePriceComponent to the meanPresentValue of each instrument. The relationships between the various related calculated values are specified in the definition of Yield Curve Component.

"curvePriceComponentsProportions" for all issues may be displayed on the reportSummary via the "Curve Components (Fraction)" choice on the reportSummary|QuickReports menu.

curveRetractibleReversionSpeed
A curveReversionParameter. Its identifier is PARAMETER_CURVE_RETRACTIBLE_REVERSIONSPEED.

This parameter seeks to quantify the REWARD_COMPONENT_CURVEREVERSION_PREMIUM_RETRACTIBLE component of rewardComponentsBid / rewardComponentsAsk that will reflect the effect on instrument price of expected changes in the YIELD_CURVE_PREMIUM_RETRACTIBLE component of the yieldCurve.

This is an optimizableParameter. There is no constraint on its size or sign.

This parameter is reported in the analyticalParametersReportBox.

curveReversion
A value calculated from a yieldCurveAveragesRecord, defined as:

"curveReversion" = historicalAverage - spotValue
curve reversion parameter
A type of reversion parameter that is applied to data derived from the yieldCurve and curvePriceComponentsProportions in order to derive a measure of rewardComponentsBid / rewardComponentsAsk. The formula applied is:

"reward component" = annualPercentageScalingFactor * curveReversion * "curve reversion parameter" * priceVolatilityScalingFactor
.

Thus, this set of parameters attempts to quantify the effect on instrument price that will be experienced as the yield curve changes in its predicted manner.

The specific values used are related as follows:
Reward Component "Curve Reversion Parameter" Identifier of curveReversion and curvePriceComponentsProportions
REWARD_COMPONENT_CURVEREVERSION_BASERATE curveBaseRateReversionSpeed (PARAMETER_CURVE_BASERATE_REVERSIONSPEED) YIELD_CURVE_BASERATE
REWARD_COMPONENT_CURVEREVERSION_SHORTRATE curveShortTermReversionSpeed (PARAMETER_CURVE_SHORTTERM_REVERSIONSPEED) YIELD_CURVE_SHORTTERM
REWARD_COMPONENT_CURVEREVERSION_LONGRATE curveLongTermReversionSpeed (PARAMETER_CURVE_LONGTERM_REVERSIONSPEED) YIELD_CURVE_LONGTERM
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_INTERESTINCOME curveInterestIncomeReversionSpeed (PARAMETER_CURVE_INTERESTINCOME_REVERSIONSPEED) YIELD_CURVE_PREMIUM_INTERESTINCOME
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CUMULATIVEDIVIDENDS curveCumulativeDividendsReversionSpeed (PARAMETER_CURVE_CUMULATIVEDIVIDENDS_REVERSIONSPEED) YIELD_CURVE_PREMIUM_CUMULATIVEDIVIDENDS
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_SPLITSHARECORP curveSplitShareReversionSpeed (PARAMETER_CURVE_SPLITSHARE_REVERSIONSPEED) YIELD_CURVE_PREMIUM_SPLITSHARECORP
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_RETRACTIBLE curveRetractibleReversionSpeed (PARAMETER_CURVE_RETRACTIBLE_REVERSIONSPEED) YIELD_CURVE_PREMIUM_RETRACTIBLE
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_LIQUIDITY curveLiquidityReversionSpeed (PARAMETER_CURVE_LIQUIDITY_REVERSIONSPEED) YIELD_CURVE_PREMIUM_LIQUIDITY
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_2 curveCreditClass2ReversionSpeed (PARAMETER_CURVE_CREDITCLASS2_REVERSIONSPEED) YIELD_CURVE_PREMIUM_CREDIT_CLASS_2
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_3 curveCreditClass3ReversionSpeed (PARAMETER_CURVE_CREDITCLASS3_REVERSIONSPEED) YIELD_CURVE_PREMIUM_CREDIT_CLASS_3
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_FLOATINGRATE curveFloatingRateReversionSpeed (PARAMETER_CURVE_FLOATINGRATE_REVERSIONSPEED) YIELD_CURVE_PREMIUM_FLOATINGRATE
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_HIGH curveCreditClassHighReversionSpeed (PARAMETER_CURVE_CREDITCLASSHIGH_REVERSIONSPEED)
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_LOW curveCreditClassLowReversionSpeed (PARAMETER_CURVE_CREDITCLASSLOW_REVERSIONSPEED)

"Curve reversion parameters" may be either positive or negative; a negative value implies reversion-to-mean is operative, while a positive value indicates that momentum is more important.

curveShortTermReversionSpeed
A curveReversionParameter. Its identifier is PARAMETER_CURVE_SHORTTERM_REVERSIONSPEED.

This parameter seeks to quantify the REWARD_COMPONENT_CURVEREVERSION_SHORTRATE component of rewardComponentsBid / rewardComponentsAsk that will reflect the effect on instrument price of expected changes in the YIELD_CURVE_SHORTTERM component of the yieldCurve.

This is an optimizableParameter. There is no constraint on its size or sign.

This parameter is reported in the analyticalParametersReportBox.

curveSplitShareReversionSpeed
A curveReversionParameter. Its identifier is PARAMETER_CURVE_SPLITSHARE_REVERSIONSPEED.

This parameter seeks to quantify the REWARD_COMPONENT_CURVEREVERSION_PREMIUM_SPLITSHARECORP component of rewardComponentsBid / rewardComponentsAsk that will reflect the effect on instrument price of expected changes in the yieldCurvePremiumSplitShareCorp component of the yieldCurve.

This is an optimizableParameter. There is no constraint on its size or sign. A negative value implies reversion-to-mean is operative, while a positive value indicates that momentum is more important.

This parameter is reported in the analyticalParametersReportBox.

CUSIP
The American Bankers Association's "Committee on Uniform Security Identification Procedures" which, among other things, is responsible for assigning a unique identifier ("CUSIP Number", often shortened to "CUSIP") to any publicly traded security upon request. For further information, see their website at www.cusip.com.
custodian
An institution hired by the beneficiary of an account to hold securities and settle trades on behalf of that account.
custodianAccount
A field of a custodianAccountsRecord recording the account number specified by the custodian defined by the custodianID corresponding to a particular internal accountNumber.
custodianAccountInputBox
A dialog box used when creating or editing a custodianAccountsRecord, accessible via the tradeConfirmationMenu|Input menu. Three fields on the form must be defined:
custodianAccounts
A table contained in the userDatabase comprised of custodianAccountsRecords. This table may be edited through the custodianAccountInputBox.
custodianAccountsRecord
A record contained within the custodianAccounts table of the permanentDatabase used to record the custodianAccount for each custodian and internal accountNumber.

Fields in this record are:

"custodianAccountsRecords" may be created through the custodianAccountInputBox.

custodianID
(i) A field contained within a custodiansDataRecord providing a unique identifier for the custodian signified by that record.

(ii)A field contained within a transactionDataRecord specifying the custodian at which the transaction signified by the record will settle and corresponding to the "custodianID" of a particular custodiansDataRecord.

(iii) A field contained within a custodianAccountsRecord to specify the custodian that has assigned its custodianAccount number to a portfolio corresponding to the internal accountNumber.

custodianInputBox
A dialog box accessible via the "Add Custodian" selection on the tradeConfirmationMenu|input menu, which allows the user to create a new custodiansDataRecord. The following data may be input:

The custodianID is determined by the system.

custodianName
A field within a custodiansDataRecord storing the name of the custodian referred to by that record. This is the field displayed in the custodianSelectionBox.
custodians
A table contained within the userDatabase consisting of custodiansDataRecords.
custodiansDataRecord
A record contained within the custodians table of the permanentDatabase, which records information regarding the custodian of portfolio assets.

It consists of the the following fields:

"custodiansDataRecords" may be created via the custodianInputBox.

custodianSelectionBox Image
A dialog box used during the tradeInputProcess, the custodianAccountInputBox and elsewhere to select the custodian where the trade will settle. To select a custodian, highlight the custodianName desired and click "OK".
credit rating
A measure of the issuer's ability to meet the terms of the investment by paying interest or dividends in the agreed manner, as well a repaying the principal of the investment at maturity. These ratings are issued by credit rating agencies (for a fee paid by the issuer) and are explicitly not investment recommendations in the buy/sell/hold sense. Most institutional fixed-income investors will not hold issues without a credit rating.
currency
A field enumerated as currencyEnumerationType contained within a transactionDataRecord specifying the currency in which the transaction is denominated.
currencyEnumerationType
An enumerated type defining the currency of monetary units in HIMIPref™.

Defined types are:

CURRENCY_CAD
An enumerated constant of currencyEnumerationType indicating that the currency described is Canadian dollars.
CURRENCY_UNDEFINED
An enumerated constant of currencyEnumerationType indicating that the currency described is as yet undefined.
CURRENCY_USD
An enumerated constant of currencyEnumerationType indicating that the currency described is American dollars.
Current Ask (FlatValue) Report Summary
Identical to the ask price, stored separately in the course of the computation of flatAskPrice.

Right-clicking this field in the reportSummary displays the flatValueContextMenu.

Current Bid (FlatValue) Report Summary
Identical to the bid price, stored separately in the course of the computation of flatBidPrice.

Right-clicking this field in the reportSummary displays the flatValueContextMenu.

current yield
This is the yield reported in newspaper listings. It is simply the annual dividends payable divided by the current price of the security. See also currentYieldBid-spot. Sometimes referred to as runningYield.
current yield bid Report Summary
The current yield calculated using the bid price as the denominator. See also currentYieldBid-spot.
currentYieldBid-average Report Summary
This is the historical average of currentYieldBid-spot. See currentYieldBid-trend, currentYieldBid-volatility, instrumentAveragesRecord and instrumentCurrentYieldBidInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

currentYieldBid-spot Report Summary
This is the value, computed daily, of the currentYieldBid. It is the basis of one of the instrument averages attributes - see currentYieldBid-average, currentYieldBid-trend, currentYieldBid-volatility and instrumentCurrentYieldBidInfoDecay.

It is identical to currentYieldBid.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

currentYieldBid-trend Report Summary
This is the historical trend of currentYieldBid-spot. See currentYieldBid-average, currentYieldBid-volatility, instrumentAveragesRecord and instrumentCurrentYieldBidInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

currentYieldBid-volatility Report Summary
This is the historical volatility of currentYieldBid-spot. See currentYieldBid-average, currentYieldBid-trend, instrumentAveragesRecord and instrumentCurrentYieldBidInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

curveAskPrice
The "curveAskPrice" is the price derived by computing the net present value of the cash flows in the curveAskTable according to a supplied yield curve.

See also curveBidPrice and curveMeanPrice.

curveAskTable
The "curveAskTable" is a cash flow discounting table initially created by copying cash flow entries from the costAskDiscountingTable. Presumed (allowances for) option values are then adjusted to reflect the curve method of option pricing using a particular yield curve.

One will note that the derivation of these option values is somewhat circular - the initial approximation is made with the prior day's yield curve, if available, or with a flat yield curve with a level equal to the mean average of the costBidYield of all instruments in the analytical universe if necessary.

curveAskYield Report Summary
The yieldToMaturity calculated using the curveAskTable. This will differ from costAskYield only due to differences in the calculation of embeddedOptions price allowances between the curveMethodOptionPricing and the costMethodOptionPricing.

Right-clicking this field on the reportSummary will display the cashFlowDiscountingContextMenu

curveAskYield-average Report Summary
This is the historical average of curveAskYield-spot. See curveAskYield-trend, curveAskYield-volatility, instrumentAveragesRecord and instrumentCurveAskYieldInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

curveAskYield-spot Report Summary
This is the value, computed daily, of the curveAskYield. It is the basis of one of the instrument averages attributes - see curveAskYield-average, curveAskYield-trend, curveAskYield-volatility and instrumentCurveAskYieldInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

curveAskYield-trend Report Summary
This is the historical trend of curveAskYield-spot. See curveAskYield-average, curveAskYield-volatility, instrumentAveragesRecord and instrumentCurveAskYieldInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

curveAskYield-volatility Report Summary
This is the historical volatility of curveAskYield-spot. See curveAskYield-average, curveAskYield-trend, instrumentAveragesRecord and instrumentCurveAskYieldInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

curveBidPrice
The "curveBidPrice" is the price derived by computing the net present value of the cash flows in the curveBidTable according to a supplied yield curve.

See also curveAskPrice and curveMeanPrice.

curveBidTable
The "curveBidTable" is a cash flow discounting table initially created by copying cash flow entries from the costBidDiscountingTable. Presumed (allowances for) option values are then adjusted to reflect the curve method of option pricing using a particular yield curve.

One will note that the derivation of these option values is somewhat circular - the initial approximation is made with the prior day's yield curve, if available, or with a flat yield curve with a level equal to the mean average of the costBidYield of all instruments in the analytical universe if necessary.

curveBidYield Report Summary
The yieldToMaturity calculated using the curveBidTable. This will differ from costBidYield only due to differences in the calculation of embeddedOption price allowances between the curveMethodOptionPricing and the costMethodOptionPricing.

Right-clicking this field on the reportSummary will display the cashFlowDiscountingContextMenu

curveBidYield-average Report Summary
This is the historical average of curveBidYield-spot. See curveBidYield-trend, curveBidYield-volatility, instrumentAveragesRecord and instrumentCurveBidYieldInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

curveBidYield-spot Report Summary
This is the value, computed daily, of the curveBidYield. It is the basis of one of the instrument averages attributes - see curveBidYield-average, curveBidYield-trend, curveBidYield-volatility and instrumentCurveBidYieldInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

curveBidYield-trend Report Summary
This is the historical trend of curveBidYield-spot. See curveBidYield-average, curveBidYield-volatility, instrumentAveragesRecord and instrumentCurveBidYieldInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

curveBidYield-volatility Report Summary
This is the historical volatility of curveBidYield-spot. See curveBidYield-average, curveBidYield-trend, instrumentAveragesRecord and instrumentCurveBidYieldInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

curveMeanPrice
The "curveMeanPrice" is the mean average of the curveBidPrice and the curveAskPrice. It may be computed with the discounting applied according to any particular curve.

It is used extensively in the calculation of curveVariance.

This datum is reported in the ratchetRateCalculationBox.

curve method
The "curve method" is an elaboration of the cost method of instrument valuation, differing in the pricing of embedded options.

The embedded options are assigned values according to the curve method of option pricing; these values are incorporated into the curveBidTable / curveAskTable and the cash-flows of these tables analyzed to derive the curve yield. See also portfolioMethod (ii).

curve method of option pricing
A technique of valuing embedded options which is the foundation for the curve method of instrument valuation.

Once the yield curve for the calculation date has been derived, the replacementCostCurve value is calculated. A cashFlowEntry is then added to the curveBidTable / curveAskTable with:

cashFlowAmount = exerciseProbability) * (exercisePrice - usedPrice)

where

Calls: usedPrice = Greater of {replacementCostCurve, averagePriceIfExercised)
Puts: usedPrice = Lesser of {replacementCostCurve, averagePriceIfExercised)
curve variance
The "curve variance" is a measure used of the ability of the yield curve to account for the cash flows of all the instruments under consideration. It is this value which HIMIPref™ seeks to minimize during the calculation of the yield curve.

The "curve variance" for each instrument included in the calculation is summed to arrive at the total. First, the curveMeanPrice for the instrument under the curve is calculated.

This value is reported in the yieldCurveReportBox.

curve yield
Very similar to cost yield but with a different method of calculation of the value of each embedded option: the curveMethod is used rather than the costMethod.

See also curveBidYield / curveAskYield.

DAILY_VOLATILITY_CONVERSION_EXPONENT
A constraint that is applied in the calculation of normalizedVolatilityForPeriod to normalize the period until the exercise date of an embedded option.
DAILY_VOLATILITY_INSTRUMENT_PERCENT
A constraint which estimates the normal daily volatility of a preferred share bid price.
damping factor
A damping factor is applied during the calculation of an exponential moving average. It is a measure of the degree to which new data dominates the calculation. A damping factor of 1 means that only the first (earliest) measurement of any series is included in a calculation - a damping factor of 0 means that only the last (latest) measurement will be included.
dataSourceTransactions
Portfolios may be evaluated according to data from the transactions table (if "dataSourceTransactions" is true) or the holdings table (if false) according to choice.
date
A field in of of several data records that specifies the date to which the other information in the record applies. Such records are:
dateInputBox Image
An input box allowing selection of a date. Either the desired date on the Calendar Control may be highlighted by clicking it, or the full date (in YYYY-MM-DD format) may be entered in the appropriate edit box. Note that there will usually be a restriction on the valid dates that may be entered - an error message will appear if an invalid date is chosen and the user may retry.

Also, note that the date is not actually chosen until the "OK" button is clicked; dates entered as text will be displayed on the calendar allowing for selection of a particular day of the week or month-end.

daysToTrade
A calculated value used in the subsequent calculation of lowVolumePenalty in the calculation of totalBuyCommission.

If volume-average of the instrument bought is less than one, then

"daysToTrade" = PARAMETER_TRADING_MAXDAYS

otherwise

"daysToTrade" = lesser of{ PARAMETER_TRADING_MAXDAYS , (number of shares to be purchased) / volume-average}

This value is reported by the tradingFrictionAnalysisBox.

DBRS
(i) The Dominion Bond Rating Service (DBRS) is a credit rating agency: it receives a fee from issuers to assign credit ratings to their borrowings, which often comprise commercial paper, preferred shares and bonds. Although there is clearly a potential for a harmful conflict of interest, the demand by investors (including Hymas Investment Management) for such credit ratings makes obtaining them virtually obligatory for the issuers. Further information regarding DBRS and updated rating information on issuers, may be obtained from their website.

(ii) A field contained within a creditRatingDataRecord, specifying the "DBRS" rating for the defined security and period. This datum is available through the creditRatingHistoryBox.

DBRS Rating Report Summary
The credit rating assigned by DBRS to a particular issue.

These data are contained in the creditRatings table of the permanent database. Credit ratings are important in the determination of the yield curve. See also credit and credit class.

Right-clicking this field in the reportSummary displays the creditContextMenu.

dealer
A stockbroker or other institution that executes trades.
dealerAccount
A field of a dealerAccountRecord recording the account number specified by the dealer defined by the dealerID corresponding to a particular internal accountNumber.
dealerAccountInputBox
A dialog box accessible from the tradeConfirmationMenu|Input menu which allows for the creation and edition of dealerAccountRecords.

Three fields are required:

dealerAccountRecord
A record contained within the dealerAccounts table of the permanentDatabase and comprised of the following fields:
dealerAccounts
A table contained within the userDatabase comprised of dealerAccountRecords.
dealerID
(i) A field in a dealerRecordType providing a unique identifier for the dealer denoted by the record.

(ii)A field in a transactionDataRecord identifying the counterparty to the indicated transaction and corresponding to a particular dealerRecordType.

(iii) A field in a dealerAccountRecord defining the dealer which has assigned the dealerAccount to the internal accountNumber.

dealerName
A field contained within a dealerRecordType that records the name of the dealer specified by the record.

The "dealerName" is the field displayed in the dealerSelectionBox

dealerRecordInputBox
A dialog box accessible via the tradeConfirmationMenu|Input menu which allows for the input or edition of a dealerRecordType. The following fields are input by typing in the appropriate boxes:
dealerRecordType
A record contained within the dealers table of the permanentDatabase and consisting of the following fields:

This record is used to specify counterparties to transactions (dealers).

"dealerRecordTypes" may be input or edited through the dealerRecordInputBox.

dealers
A table contained within the userDatabase consisting of dealerRecordType records.
dealerSelectionBox Image
A dialog box utilized during the tradeInputProcess to allow selection of the counterparty to the trade. To select a dealer, highlight the dealerName of the dealer and click "OK"
deemedDividend
When an issue is redeemed or retracted at a price above its par value, the difference between the two numbers is considered to be a "deemed dividend" and is taxed as a dividend.

If an issue is held with an adjusted cost base of $24.50 and a par value of $25.00 and is then redeemed at $26.00, tax is calculated for a $0.50 capital gain and a $1.00 dividend - not a $1.50 capital gain.

(ii) A field in a reorgTransactionRecord recording the total "deemedDividend" received by the activePortfolio.

deferred preferred
Rarely issued, a "deferredPreferred" will not pay regular cash dividends for all or most of its life; the investor will receive his 'time value of money' in the form of a maturity price greatly in excess of the issuePrice.
Delisting Date Report Summary
The first date on which a listed issue has no closing quotation available on the Exchange. Issues which have been delisted are no longer traded on the Exchange - this usually happens due to reorganizations, such as redemptions. The database requires that all delistings be associated with an event recorded in the reorganization database, which provides information on what has happened to the issue. By convention, the value date of the reorganization database is equal to the delisting date.

The data is recorded as a field in the instrumentDataRecord.

Right-clicking this field in the reportSummary will display the instrumentNameContextMenu.

This value may also be accessed via the instrumentDetailsBox.

description
(i) A field in a systemConstantsRecord that provides a short (not more than 50 characters) description of the record, indicating the type of portfolio for which the optimizableParameters have been optimized.

(ii) A field in a constraintSpecificationRecord specifying the nature of the constraints.

desired swap issues
A field in the portfolioDataRecord which specifies the number of issues desired to be held when trades are optimized by the issueMethod. When specifing a portfolioDataRecord to trade according to the portfolioMethod, this value should be set to zero.

This number specifies the numberSwapSecuritiesDesired constraint and is used throughout the calculation of trade size (mainly through the calculation of effectiveMinWeight).

differenceFromPar
A calculated value used in the subsequent calculation of ratchetYield. The calculation proceeds as follows:

  • the curveBidPrice and curveAskPrice are computed
  • If the parValue of the instrument is less than the curveBidPrice, "differenceFromPar" is the difference between the two values; otherwise
  • If the parValue of the instrument is greater than the curveAskPrice, "differenceFromPar" is the difference between the two values, otherwise
  • "differenceFromPar" defaults to zero.
.
In other words, "differenceFromPar" may be thought of as the change required in the parValue in order to get it within the bounds of curveAskPrice and curveBidPrice.

This datum is reported in the ratchetRateCalculationBox.

discount
The amount by which the price under consideration (market price, redemption price, etc.) is under the issue price. An instrument issued at $25 and trading at $24 has a discount of $1. The opposite of "discount" is premium.
discountingFactor
A calculated value stored as a field in a cash flow entry. It is defined as:

"discountingFactor" = exp(- blendedRate * time)

where
blendedRate is the interest rate applicable according to the yield curve and the time to maturity
and time is the time from the calculation date until the cashFlowDate

Note that if "blendedRate" is a constant, it may be referred to as the discountingRate.

This value may be reported in a cashFlowDiscountingAnalysisBox and the durationCalculationBox.

discountingRate
The constant yield rate used when calculating a yieldToMaturity. This value may be reported in a durationCalculationBox.
dividend
A payment made to holders of shares in a corporation, paid from the profits of the corporation. Dividends on preferred shares are normally set in advance or calculated in accordance with a set formula, as stated in the prospectus. Unlike interest income, dividends are eligible for the dividend tax credit.

See also participatingPreferred.

The full amount of a dividend paid to a particular portfolio tracked in detail by HIMIPref™ may be viewed on the transactionReport.

dividend amount
The amount of cash actually paid as a dividend. This is one of the components of a dividend record.

This datum may be reported in the dividendsBox.

Dividend Amount (Flat Value) Report Summary
The dividendAmount used in the calculation of flatAskPrice. If nextDividendRecorded is true, this amount will be dividendAmount specified by the dividendRecord with an ex-Date immediately following the calculation date. If there is no such record, the amount is calculated through the function getSingleDividendRate.

Right-clicking this field in the reportSummary displays the flatValueContextMenu.

This value is reported in the flatValueDerivationBox.

dividendCapture
An optimizableParameter with the identifier PARAMETER_INSTRUMENT_DIVIDENDCAPTURE that increases the REWARD_COMPONENT_SPOT_DIVIDENDCAPTURE component of rewardComponentsBid / rewardComponentsAsk according to the formula:

Where "price" is the bid or ask, as appropriate.

This parameter seeks to quantify the extra return that may be gained by capturing a dividend. If quotations of instruments were constant irrespective of dividend ex-dates, one would expect "dividendCapture" to be high - if flatBidPrice & flatAskPrice were constant, one would expect "dividendCapture" to be low.

This parameter is reported in the analyticalParametersReportBox.

dividendFrequency Report Summary
A field in an instrumentDataRecord which specifies the number of dividend payments which are expected annually (virtually always either four or twelve).

Right-clicking this field in the reportSummary will display the instrumentNameContextMenu.

This value may also be accessed via the instrumentDetailsBox.

dividend interval
The time between two successive dividends, assuming that dividends are paid in accordance with the terms of the prospectus. The interval can be measured between ex-dates, record dates or pay-dates according to need and context. The precise value of a "dividend interval" can vary from period to period, due to complexities of the calendar and, to a certain extent, the whim of the directors who declare the dividend.
dividend rate Report Summary
See Annual Dividend.

Right-clicking this field in the reportSummary will display the dividendRateContextMenu.

This value may also be accessed via the instrumentDetailsBox.

dividendRateContextMenu
A context menu available on the reportSummary with the following choices:

This menu is accessable by right-clicking on the following fields in the reportSummary:

dividend record
A "dividend record" specifies the information necessary to fully describe a particular dividend payment:.

These records are reported in the dividendsBox.

dividendsBox Image
A dialog box accessible through:

This box reports the following information from a dividendRecord for the particular instrument examined:

.

This box also provides links to the instrumentDetailsBox and the embeddedOptionsBox.

dividendsDue
A temporary variable calculated and stored during simulations to record dividends during the period between the ex-date and the record date. While such funds cannot be spent, not having been received, they are included as part of the portfolioCashValue. This value is reported by the portfolioReportBox.
dividend tax credit
A method of treating dividend income under Canadian Tax Law, whereby a greater-than-actual amount of taxable income must be declared on individual tax returns, but a relatively large credit is deducted from actual tax owing. The effect is to reduce the marginal tax rate payable on dividends, which in the 2003 tax year is less than that on ordinary income, but greater than that on capital gains.
dollarDuration
A calculated value that is part of a cashFlowEntry. It is defined as:

"dollarDuration" = presentValue * term

where
"term" is the time in years from the calculation date to the cashFlowDate
.

This value may be reported in the durationCalculationBox.

dollarToValuationConversionRatio
A calculated value used in the subsequent calculation of capitalGainFrictionBid / capitalGainFrictionAsk that seeks to quantify the sensititivity of the valuation to relatively small price changes. It is defined as:

dollarToValuationConversionRatio = (totalRewardAsk - totalRewardBid)/(ask - bid)

The "dollarToValuationConversionRatio" will always be negative and is constrained to be less than or equal to PARAMETER_TRADING_FRICTIONCONVERSIONCAP.

This value is reported by the tradingFrictionAnalysisBox.

doubleInputBox Image
An input box called by the programme whenever the user is required to input a (possibly) non-integral number.
durationCalculationBox Image
A dialog box accessible via the "cashflows" button of the pseudoPortfolioReportBox when this has been produced as the result of a query regarding duration (e.g., through checking Macaulay Duration (Port Method) at Bid), or via the macaulayDurationContextMenu, or through the graphContextMenu|attributes context menu.

The cashFlowEntries comprising the cash flow discounting table are listed and the following data shown for each one:

.

Additionally, the following information is reported for the for the collection:

editUserBox
A dialog box displayed when administrative staff have indicated (via the userDataReportBox that user information stored on-line is to be edited.

The following fields may be edited:

effectiveCapitalGainTaxRate
A calculated value used when determining the tax rate applicable to a transaction. It is equal to either taxRateCapGain (if the transaction resulted in a capital gain) or taxRateCapLoss (for a capital loss).
effectiveMinWeight
A computed value used in the calculation of tradeSize. See minWeight.

It is of particular importance in the procedures eliminateSmallTrades, adjustSellForSmallRemainder and adjustForSmallFinalBuyPosition.

This value is reported in the bestTradesReportBox and the tradeEvaluationReportBox.

eligibleForPurchase
A procedure called by calculateTradeSize which determines whether the instrument is eligible for purchase according to the systemConstantsRecord applicable to the trade.

This procedure can, in conjunction with its calling procedure, generate tradeSizeCalculationNotes.

Eligible For Purchase (Code) Report Summary
The numerical result of the eligibleForPurchase function. If the result is reported as "No Sol.", the instrument has passed all the tests set in that function. Otherwise, the value reported is the "Numeric Value" specified under the heading tradeSizeCalculationNotes if this value is noted as being so reportable.
eliminateCashPseudoTrades
A procedure called during the calculation of trade size.

If the size of either the sell side or the buy side of the trade has been reduced to zero (by the action of other trade size procedures called by calculateTradeSize) the entire trade is reduced to zero. This ensures that the valuation of an instrument is not used to determine the tradeScore or tradeDesirability of a trade which actually being performed against cash.

This procedure can generate tradeSizeCalculationNotes.

eliminateSmallTrades
A procedure called during the calculation of trade size by calculateTradeSize.

A hurdle rate is set equal to one-half the value of PARAMETER_PORTFOLIO_MINWEIGHT for each side of the trade that is defined (so a swap has the full value of this parameter, whereas an outright purchase or sale has only half the value). If the hurdle value is greater than trade weight, the size of the trade is set to zero.

This procedure can generate tradeSizeCalculationNotes.

embeddedOptionsBox Image
A dialog box accessable through the: on the reportSummary and the "Options" selection on the graphContextMenu|attributes context menu of the graphDocument which reports the embeddedOptions of the instrument as recorded in the applicable optionDataRecords of the putCallInfo table. The specific information reported is:

The "embeddedOptionsBox" also provides links to the instrumentDetailsBox and the dividendsBox.

embedded options
"Embedded Options" are options exercisable by the issuer or by the shareholder in accordance with the terms of the prospectus. These will most often be options to redeem or to retract the security.

They are referred to as "embedded" because they are intrinsic to the security and cannot be traded separately.

Error on Curve Price Analysis Report Summary
This is the value of the YIELD_CURVE_ERROR yieldCurveComponent.It is calculated separately for each instrument after the yield curve proper has been determined: it is the amount remaining after each of the other curve price components have been subtracted from the curveMeanPrice.
errorOutput.txt
A text file stored in the userDirectory that logs error messages and other information specified by the HIMIPref™ client programme. This file is erased and re-written every time the HIMIPref™ programme is run. The administrator may ask, in the event of an error, for a copy of the "errorOutput.txt" file to be emailed to him.
evaluationDate
The cut off date for determining whether a particular transaction is included in the accounting for the activePortfolio, which may be done on a tradeDate or valueDate basis.

This value is reported by the portfolioReportBox.

excessRewardDecreases
A calculated value used in the subsequent calculation of excessRewardDifferenceValuation. It is calculated as follows:
  • rewardComponentsBid for the instrument sold is compared with rewardComponentsAsk for the instrument bought on a component-by-component basis
  • If either component is invalid (due to incalculability) the comparision is aborted and "excessRewardDecreases" is returned as an undefined value
  • If either the instrument bought or the instrument sold is "Cash", the comparison is aborted and "excessRewardDecreases" is returned as zero
  • A "hurdle" is calculated, equal to excessValuationCap * classRewardYieldAsk (of the instrument bought)
  • If
    • the absolute value of the difference between the rewardComponentsBid (of the instrument sold) less the rewardComponentsAsk (of the instrument bought) is greater than the "hurdle", AND
    • this difference is negative
    , then
  • both the difference and the "hurdle" are subtracted from "excessRewardDecreases"

Note from the definition that this value is constrained to be positive.

excessRewardDifferenceValuation
A calculated value used in the subsequent calculation of bidToOfferPickup and offerToBidPickup. It is defined as:

"excessRewardDifferenceValuation" = (excessRewardIncreases - excessRewardDecreases) * excessValuationReduction

If either side of the trade is "Cash", then both excessRewardIncreases and excessRewardDecreases are defined as zero and therefore "excessRewardDifferenceValuation" will be zero.

The purpose of this component of bidToOfferPickup / offerToBidPickup is to account for situations in which unusual circumstances conspire to make a trade excessively attractive due to the influence of a single rewardComponentBid / rewardComponentAsk; the influence of this attribute, in essence, demands confirmation from several components and as such may be thought of as being related to rewardDecreasesValuation.

This value is reported in the pickupCalculationBox.

excessRewardIncreases
A calculated value used in the subsequent calculation of excessRewardDifferenceValuation. It is calculated as follows:
  • rewardComponentsBid for the instrument sold is compared with rewardComponentsAsk for the instrument bought on a component-by-component basis
  • If either component is invalid (due to incalculability) the comparision is aborted and "excessRewardIncreases" is returned as an undefined value
  • If either the instrument bought or the instrument sold is "Cash", the comparison is aborted and "excessRewardDecreases" is returned as zero
  • A "hurdle" is calculated, equal to excessValuationCap * classRewardYieldAsk (of the instrument bought)
  • If
    • the absolute value of the difference between the rewardComponentsBid (of the instrument sold) less the rewardComponentsAsk (of the instrument bought) is greater than the "hurdle", AND
    • this difference is positive
    , then
  • difference less the "hurdle" is added to "excessRewardIncreases"

Note from the definition that this value is constrained to be positive.

excessValuationCap
An optimizableParameter with the identifier PARAMETER_TRADING_REWARD_EXCESSVALUATIONCAP used in the calculation of excessRewardIncreases / excessRewardDecreases. It represents the fraction of classRewardYieldAsk above which the value of an individual rewardComponentBid / rewardComponentAsk is deemed to be excessive, distorting and subject to penalty.
excessValuationReduction
An optimizableParameter with the identifier PARAMETER_TRADING_REWARD_EXCESSVALUATIONREDUCTION used in the calculation of excessRewardDifferenceValuation. It indicates the degree to which excessRewardIncreases and excessRewardDecreases are reversed during the calculation of bidToOfferPickup and offerToBidPickup. Note that these excess amounts will be included in the calculation at least once (as they are part of rewardComponentsBid / rewardComponentsAsk) and possibly more depending on the value of valueSizeAdjustmentBuy / valueSizeAdjustmentSell.
ex-date
The first day of trading on which a buyer of shares is not entitled to receive the contemporary dividend (i.e. the shares are ex-Dividend commencing with the "ex-Date"). This date is therefore very important in the valuation of preferred shares and preferred securities.

The "ex-date" forms one of the fields of a dividend record.

This datum may be reported in the dividendsBox.

Exchange
A company set up to provide a marketplace for the purchase and sale of shares.

The word can also refer to share exchanges.

ex-Dividend
"Without the Dividend.", i.e., the entitlement to dividend being referred to has been separated from the ownership of the shares. The opposite of "ex-Dividend" is cum-Dividend. See ex-date.
exercise
To take advantage of an embeddedOption and force the transaction specified by the option to take place.
exercise date
The date the holder of an option exercises his rights to effect the transaction specified in the terms of the option. In the reorg database, this date is referred to as the valueDate.

Projected "exercise dates" estimated for analytical purposes are reported in the optionCashFlowEffectAnalysisBox

exercisePrice
The price at which an embedded option is effective.

See also strikePrice.

"exercise price" is reported in the optionCashFlowEffectAnalysisBox and the embeddedOptionsBox.

exercise probability
This is calculated from the optionCalculationList to determine the probability that an embedded option will have been exercised on or before a given exercise date.

In order to calculate the "exercise probability"

Note that the sum of the "exercise probabilities" of the elements of the list is constrained to be 100%, with any adjustment necessary performed against the latest, final maturity, element of the list.

This value is reported on the pseudoPortfolioReportBox, the maturityDetailsBox and the optionCashFlowEffectAnalysisBox.

exp
The exp(x) function returns the value of e (the base of natural logarithms, 2.71828...) raised to the power of x.
expected bid
A calculated value, used in the subsequent calculation of exercise probability and period volatility. It is calculated as:

"expected bid" = currentBid + amountAmortized * (termToCalculation/termToMaturity)^PRICE_AMORTIZATION_EXPONENT
where
"currentBid&quit; is the actual bid price of the instrument on the calculation date,
"amountAmortized" is the maturity price less the "current bid"
"termToCalculation" is the term, in years, from the calculation date to the exerciseDate
"termToMaturity" is the term, in years, from the calculation date to the ultimateMaturityDateUsed

"expected bid" is reported in the optionCashFlowEffectAnalysisBox.

expirationDate
A field in the editUserBox indicating the date on which the user's subscription to the HIMIPref™ service expires.
exponential moving average
An exponential moving average takes all information in the given period into account, assigning greater weight to more recent data: each day's data is applied successively to the moving average, so that:
EMA(new) = DF*EMA(old) + (1 - DF)*data

where
  • EMA(new) is the new exponential moving average
  • EMA(old) is the prior day's exponential moving average
  • DF is the damping factor of the calculation and
  • data is the new data.

In certain cases, the analytical methodology may adjust the damping factor and the data depending upon the relationship between the data and EMA(old). See volume - average.

fax
(i) A field contained within a dealerRecordType specifying the fax number of the dealer signified by the record.

(ii) A field in a custodiansDataRecord that specifies the fax number of the custodian signified by the record.

FCSI
Fellow of the Canadian Securities Institute.
fieldsMenu
This popup menu is accessible via the "Select" choice of the reportSummary|Fields menu on the reportSummary and the "Fields" selection on the portfolioEvaluationReportMenu|Select (or the "Analytical Fields" selection of the portfolioEvaluationReportContextMenu|Body) on the portfolioEvaluationReport.

It allows selection of an attribute from the complete available list:

Some options on this menu may be greyed-out if the data are not available to the report under preparation. See

File ID Report Summary
A field used when analyzing results of an issueMethod simulation. Administrative use only.
fill
The completion of an order. An investor who put in an order to buy 200 shares and actually bought 200 shares has been filled; if he actually bought only 100 shares, he has been partially filled; if no shares were purchased he has not been filled.
final dividend
This is the dividend that is paid upon the maturity of an instrument. It may be more or less than a regular dividend payment, depending upon the relationship between the maturityDate and the prior dividend payDate.
final maturity
Each completed calculation of an option calculation list will include exactly one element with its maturity flag set to indicate the fact that it is considered a "final maturity" with no calculations being performed after the exercise date of the element.

The maturity flag of a "final maturity" may take one of four values:

first dividend adjustment
The yieldToMaturity for a costBidDiscountingTable is performed using a formula to derive the present value of regular dividends and the maturityPrice, to which is added the present value of any adjustments. The first dividend paid on an instrument after its issue is usually not the regular amount - it may be more or less than the regular amount depending upon the relationship between the issue date and the first dividend payDate. This difference is entered on the adjustment table so that the first dividend, in sum, is properly accounted for.
fixed-floaters
An issue which commences its existence paying a fixed dividend, but which changes to floating rate on some particular date in accordance with the prospectus, e.g., The Maritime Life Assurance Company Non-Cumulative Redeemable Second Preferred Shares, Series 1:
The initial dividend, if declared, will be payable on December 31, 1999 in the amount of $0.17405 per share, based upon an anticipated issue date of November 19, 1999. After December 31, 2004, dividends will be at the Applicable Rate in effect from time to time. The "Applicable Rate" for any quarterly dividend period during each five year period commencing after December 31, 2004 will be determined by applying to $25.00 one quarter of the greater of (i) 90% of the Prime Rate and (ii) 5.85%.
fixed income
An asset class including bonds and most preferred shares, comprised of all instruments in which the expected cash flows are an obligation of the issuer that is known in advance (or, in the case of floatingRate issues, is calculated from a market rate independent of the fortunes of the issuer via a set formula). This asset class is distinguished from equity by this prior arrangement, which is described in the prospectus - most simply stated, a "fixed income" investor will receive fixed amount, while an equity investor will pay or receive the difference.
fixedRate
An issue for which the dividend payments for the entire life of the issue are fixed in the prospectus.
fixedReset
An issue which commences its existence paying a fixed dividend, but which changes this rate on some particular date or dates in the future in accordance with the prospectus. For example, the BCE Inc. prospectus dated December 10, 1997 for the issue of "Cumulative Redeemable First Preferred Shares, Series Y" included the following provisions in the section "Principal characteristics of Series Z Preferred Shares"
Dividends: Fixed cumulative preferred cash dividends payable quarterly on the first day of March, June, September and December in each year.

At least 45 days and not more than 60 days prior to the start of the initial dividend period beginning on December 1, 2002, and at least 45 days and not more than 60 days prior to the first day of each subsequent dividend period (the initial five year dividend period and all subsequent five year dividend periods being referred to as a "Fixed Dividend Rate Period"), BCE Inc. shall set, and provide written notice of, a Selected Percentage Rate for the ensuing Fixed Dividend Rate Period. Such Selected Percentage Rate shall not be less than 80% of the Government of Canada Yield determined on the 21st day preceding the first day of the applicable Fixed Dividend Rate Period.

Flat Ask Price (Flat Value) Report Summary
A calculated value of the price of each instrument, adjusted to eliminate the effect of so-called accrued dividends. The Current Ask (Flat Value) is then the actual ask price less the accrued dividend

This value is useful as an indicator of market price which is not subject to the "sawtooth" pattern expected of most intruments, which should be subject to a decrease in price on every ex-date approximately equal to the dividend payable. This value is also referred to as flatAskPrice-Spot.

Right-clicking this field in the reportSummary displays the flatValueContextMenu.

The calculation this value is summarized in the flatValueDerivationBox.

flatAskPrice-average Report Summary
This is the historical average of flatAskPrice-spot. See flatAskPrice-trend, flatAskPrice-volatility, instrumentAveragesRecord and instrumentFlatAskPriceInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

flatAskPrice-spot Report Summary
This is the value, computed daily, of flatAskPrice. It is the basis of one of the instrument averages attributes - see flatAskPrice-average, flatAskPrice-trend, flatAskPrice-volatility and instrumentFlatAskPriceInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

flatAskPrice-trend Report Summary
This is the historical trend of flatAskPrice-spot. See flatAskPrice-average, flatAskPrice-volatility, instrumentAverages and instrumentFlatAskPriceInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

flatAskPrice-volatility Report Summary
This is the historical volatility of flatAskPrice-spot. See flatAskPrice-average, flatAskPrice-trend, instrumentAveragesRecord and instrumentFlatAskPriceInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Flat Bid Price (Flat Value) Report Summary
A calculated value of the price of each instrument, adjusted to eliminate the effect of so-called accrued dividends. The "Current Bid (Flat Value)" is then the actual bid price less the accrued dividendFlatValue

This value is useful as an indicator of market price which is not subject to the "sawtooth" pattern expected of most intruments, which should be subject to a decrease in price on every ex-date approximately equal to the dividend payable. This value is also referred to as flatBidPrice-Spot.

Right-clicking this field in the reportSummary displays the flatValueContextMenu.

The calculation this value is summarized in the flatValueDerivationBox.

flatBidPrice-average Report Summary
This is the historical average of flatBidPrice-spot. See flatBidPrice-trend, flatBidPrice-volatility, instrumentAveragesRecord and instrumentFlatBidPriceInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

flatBidPrice-spot Report Summary
This is the value, computed daily, of flatBidPrice. It is the basis of one of the instrument averages attributes - see flatBidPrice-average, flatBidPrice-trend, flatBidPrice-volatility and instrumentFlatBidPriceInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

flatBidPrice-trend Report Summary
This is the historical trend of flatBidPrice-spot. See flatBidPrice-average, flatBidPrice-volatility, instrumentAveragesRecord and instrumentFlatBidPriceInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

flatBidPrice-volatility Report Summary
This is the historical volatility of flatBidPrice-spot. See flatBidPrice-average, flatBidPrice-trend, instrumentAveragesRecord and instrumentFlatBidPriceInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

flatValueContextMenu

This menu is available on the reportSummary by right-clicking on the following fields:

This menu allows the following choices:

flatValueDerivationBox Image
A dialog box available through the flatValueContextMenu and the "Flat Value Derivation" selection on the graphContextMenu|attributes context menu. This dialog box provides information regarding the calculation of flatBidPrice, flatAskPrice and accruedDividends.

The following data are reported:

All these data may be displayed for all issues on the reportSummary via the "Flat Price Calculation" choice on the reportSummary|QuickReports menu.

Floating Rate Report Summary
An issue is referred to as being floating rate if the amount of dividends or interest income payable to the holders is dependant upon a short-term rate in a manner defined in the prospectus. This short-term rate is usually, but not always, the Canada Prime Rate; the formula used to determine the rate payable on the issue can often be quite complicated. Whether or not an issue is floating rate is considered to be a risk attribute. Note that in HIMIPref™ an issue is considered to be floating-rate for risk determination purposes even if it is currently fixed-rate, but will become floating rate on a definite date in the future (a fixed-floater). Issues are not considered to be "floating rate" if the dependence upon the floatingRateIndex is currently constrained by a cap or collar on such rate. For example, the prospectus for NA.PR.J (National Bank Non-cumulative First Preferred Shares Series 13) dated July 3, 2000 states:
After August 15, 2005, the dividend on the Preferred Shares Series 13 for each quarter will be determined by multiplying $25.00 by one quarter of the greater of (i) 95% of the rate which is the average of the Prime Rate in effect each day during the three months ending on the fifteenth day of the month immediately preceding the month in which the dividend payment date occurs and (ii) 6.15%
This is reflected in HIMIPref™ as formula FLOATING_RATE_GO2126. When the canadaPrime floatingRateIndex falls below about 6.47%, the dividends will not fall proportionately, and therefore the issue is not be considered to be "floating rate" when this is the case.

Information required by HIMIPref™ in the calculation of "floating Rate" dividends is stored in the instrumentFloatingRateTable.

The formula that may result in an instrument not being considered floating rate (depending upon the level of the floatingRateIndex) are:

When this datum is reported as a number, it indicates whether the instrument is floating rate: {0 is false; 1 is true}.

This datum is reported in the ratchetRateCalculationBox.

A weighted average for a portfolio for this attribute is reported by the portfolioRiskReportBox.

FLOATING_RATE_0025P9
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is a 55% of the index plus a fixed increment of 0.25%.
FLOATING_RATE_0075P10
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is a 75% of the index plus a fixed increment of 0.75%.
FLOATING_RATE_055F
A floatingRateFormulaEnumerationType flag that indicates that the dividend rate on the issue is a fixed 5.50%.
FLOATING_RATE_0585F
A floatingRateFormulaEnumerationType flag that indicates that the dividend rate on the issue is a fixed 5.85%.
FLOATING_RATE_0625F
A floatingRateFormulaEnumerationType flag that indicates that the dividend rate on the issue is a fixed 6.25%.
FLOATING_RATE_06F
A floatingRateFormulaEnumerationType flag that indicates that the dividend rate on the issue is a fixed 6.00%.
FLOATING_RATE_0615F
A floatingRateFormulaEnumerationType flag that indicates that the dividend rate on the issue is a fixed 6.15%.
FLOATING_RATE_075F
A floatingRateFormulaEnumerationType flag that indicates that the dividend rate on the issue is a fixed 7.5%.
FLOATING_RATE_100PC
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is 100% of index.
FLOATING_RATE_50PC
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is 50% of index.
FLOATING_RATE_55PC
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is 55% of index.
FLOATING_RATE_65PC
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is 65% of index.
FLOATING_RATE_68PC
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is 68% of index.
FLOATING_RATE_69PC
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is 69% of index.
FLOATING_RATE_70PC
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is 70% of index.
FLOATING_RATE_71PC
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is 71% of index.
FLOATING_RATE_72PC
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is 72% of index.
FLOATING_RATE_75PC
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is 75% of index.
FLOATING_RATE_80PC
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is 80% of index.
FLOATING_RATE_90PC
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is 90% of index.
FLOATING_RATE_95PC
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is 95% of index.
FLOATING_RATE_GO1617
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is

The greater of
  • 90% of the index
  • A fixed rate of 5.85%

It is possible that issues with this formula may not be considered floatingRate issues, depending upon the value of the floatingRateIndex.

FLOATING_RATE_GO1619
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is

The greater of
  • 90% of the index
  • A fixed rate of 5.50%

It is possible that issues with this formula may not be considered floatingRate issues, depending upon the value of the floatingRateIndex.

FLOATING_RATE_GO2122
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is

The greater of
  • 95% of the index
  • A fixed rate of 6.00%

It is possible that issues with this formula may not be considered floatingRate issues, depending upon the value of the floatingRateIndex.

FLOATING_RATE_GO2124
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is

The greater of
  • 95% of the index
  • A fixed rate of 6.25%

It is possible that issues with this formula may not be considered floatingRate issues, depending upon the value of the floatingRateIndex.

FLOATING_RATE_GO2126
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is

The greater of
  • 95% of the index
  • A fixed rate of 6.15%

It is possible that issues with this formula may not be considered floatingRate issues, depending upon the value of the floatingRateIndex.

FLOATING_RATE_GO4LO15
A floatingRateFormulaEnumerationType flag that indicates that the formula for the dependance of the dividend rate on the floatingRateIndex is

The greater of
  • 72% of the index
  • The lesser of
    • 100% of the index
    • A fixed rate of 7.5%

It is possible that issues with this formula may not be considered floatingRate issues, depending upon the value of the floatingRateIndex.

floatingRateFormulaEnumerationType
A flag used in the formula, formulaMin and formulaMax fields of an instrumentFloatingRateDataRecord to specify for formulae to be used in the calculation of a floatingRate.

The following flags are defined (with the numerical value of the identifier in brackets):

floatingRateIndex
A field in an instrumentFloatingRateDataRecord specifying the market rate used as a benchmark for the floating rate. This field is an enumerated type, FRBenchmarkIDType.

This datum is available through the instrumentDetailsBox and the ratchetRateCalculationBox.

FLOATING_RATE_RATCHET
A floatingRateFormulaEnumerationType flag that indicates that there is no set formula for the dependance of the dividend rate on the floatingRateIndex, but that the instrument that is the subject of the instrumentFloatingRateDataRecord, but requires a ratchetYield calculation.
floatingRateStartDate
A field in the instrumentFloatingRateDataRecord that specifies the date on which the subject instrument commences paying floatingRate dividends.

This datum is available through the instrumentDetailsBox and the ratchetRateCalculationBox.

FLOATING_RATE_UNDEFINED
A floatingRateFormulaEnumerationType flag that indicates that the given formula in a instrumentFloatingRateDataRecord has not yet been defined.
flowType
A field of a cash flow entry which specifies the reason for a cash flow. It may take any one of the following values:

This value may be reported in a cashFlowDiscountingAnalysisBox and the durationCalculationBox.

formula
A field in the instrumentFloatingRateDataRecord of floatingRateFormulaEnumerationType.

This field specifies the formula to be used in computing the instrument's floatingRate from the supplied value of the floatingRateIndex, subject to adjustments indicated by the fields formulaMax and formulaMin.

This datum is available through the instrumentDetailsBox and the ratchetRateCalculationBox.

formulaMax
A field in the instrumentFloatingRateDataRecord of floatingRateFormulaEnumerationType.

This field specifies the formula to be used in computing the instrument's maximum floatingRate from the supplied value of the floatingRateIndex.

This datum is available through the instrumentDetailsBox and the ratchetRateCalculationBox.

formulaMin
A field in the instrumentFloatingRateDataRecord of floatingRateFormulaEnumerationType.

This field specifies the formula to be used in computing the instrument's minimum floatingRate from the supplied value of the floatingRateIndex.

This datum is available through the instrumentDetailsBox and the ratchetRateCalculationBox.

Fraction from Base Rate Report Summary
See proportionComponentRiskBaseRate.
Fraction from credit spread (Class 2) Report Summary
The title used on the reportSummary to report proportionComponentRiskCreditClass2.
Fraction from credit spread (Class 3) Report Summary
The title used on the reportSummary to report proportionComponentRiskCreditClass3.
Fraction from credit spread (Class HIGH) Report Summary
The title used on the reportSummary to report proportionComponentRiskCreditClassHigh.
Fraction from credit spread (Class LOW) Report Summary
The title used on the reportSummary to report proportionComponentRiskCreditClassLow.
Fraction from Cum Dividends Report Summary
See proportionComponentRiskCumulativeDividends.
Fraction from Curve Price Error Report Summary
See proportionComponentRiskError.
Fraction from Floating Rate Report Summary
See proportionComponentRiskFloatingRate.
Fraction from Interest Type Report Summary
See proportionComponentRiskInterestIncome.
Fraction from Liquidity Premium Report Summary
See proportionComponentRiskLiquidity
Fraction from Long Term> Report Summary
See proportionComponentRiskLongTerm.
Fraction from Price Disparity Report Summary
See proportionComponentRiskInstrumentDisparity.
Fraction from Retractibility Report Summary
See proportionComponentRiskRetractible.
Fraction from ShortTerm Report Summary
See proportionComponentRiskShortTerm
Fraction from SplitShare Status Report Summary
See proportionComponentRiskSplitShareCorp.
FRBenchmark
A field in a FRBenchmarkType record. It specifies the FRBenchmarkIDType of the index to which the record refers. This datum is reported in the ratchetRateCalculationBox.
FRBenchmarkIDType
An enumerated type used in the floatingRateIndex field of an instrumentFloatingRateDataRecord and in the FRBenchmark field of an FRBenchmarkType record. Possible values are:
FR_BENCHMARK_CANADA_PRIME
A flag of FRBenchmarkIDType which indicates that the floatingRateIndex of interest is the Canadian Prime Rate.
FR_BENCHMARK_UNDEFINED
A flag of FRBenchmarkIDType which indicates that the floatingRateIndex of interest has not yet been defined.
FRBenchmarks
A table in the permanentDatabase comprised of FRBenchmarkType records.
FRBenchmarkType
A record in the FRBenchmarks table of the permanentDatabase. It is comprised of the following fields:
FR Formula
A text representation of the calculations performed according to the formula when determining the projectedDividendAnnualPercentage.
friction
Friction is used to denote the costs of a performing a trade. These costs include dealers commissions, settlement fees and capital gains taxes. Of these, the first two will always work against a decision to trade, as they always work against the investor. Capital gains taxes may work in the investor's favour if the instrument to be sold is trading at a loss and the investor currently has a taxable capital gain - in this case, the fact that performing the trade will reduce the amount of tax already payable will work in favour of a decision to trade.

For example, consider the case of an investor who owns 1000 shares of TRP.PR.X, bought at $45 and currently trading at $44. These shares are virtually identical to TRP.PR.Y. The investor has (through other investments) a taxable capital gain of $1000, on which tax will be paid at a rate of 32.9%, or $329. If the investor sells TRP.PR.X to buy TRP.PR.Y at the same price, then his portfolio will, in terms of expected future returns, be almost unchanged by the trade, but the fact that a $1000 capital loss was realized will eliminate his current capital gain and reduce his tax by $329.

There is no free lunch: when the TRP.PR.Y are sold later on, the capital gain will be greater by the same $1000 and taxes will be correspondingly greater. Transaction costs also must be considered. However, the fact that these taxes will be payable further into the future than would otherwise be the case (in many ways equivalent to an interest-free loan from the tax-man) increases the attractiveness of the trade.

This particular example is an example of tax-loss selling.

frictionConversionCap
An optimizableParameter with the identifier PARAMETER_TRADING_FRICTIONCONVERSIONCAP that is used in the calculation of the dollarToValuationConversionRatio to provide an upper limit to the dollarToValuationConversionRatio (constrained to be negative) that would otherwise be used.

The value of this parameter is constrained to be non-positive.

This parameter is reported in the analyticalParametersReportBox.

fromDate
(i) A field contained in a taxRateScheduleRecord. Its purpose is to define the starting date (inclusive) of the period for which the record is effective in identifying a taxRateDataRecord to be used for analytical purposes. This datum may be displayed in the taxRateScheduleBox.

(ii) A field contained in a FRBenchmarkType record. It specifies the starting date (inclusive) of the period for which the record is effective in recording the benchmark interest rate. This datum is available in the ratchetRateCalculationBox.

(iii) A field contained in a creditRatingDataRecord, specifying the date on which the record becomes effective. This datum is available via the creditRatingHistoryBox.

fundamentalAttributes
A calculated or defined variable that quantifies some aspect of an instruments characteristics without making a judgment on the importance of that characteristic. Most "fundamentalAttributes" are operated on by optimizableParameters in order to determine the rewardComponentsBid / rewardComponentsAsk of that instrument; other "fundamentalAttributes" are used at various stages in the calculation of tradeScore and tradeDesirability to assess the degree of confidence that should be placed in the relative valuation of the securities considered.

Calculated "fundamentalAttributes" are stored in the system in the riskRewardDataType structure.

futurePaymentRecord
A temporary record used in the course of simulations to record accruals for future payments. It is comprised of the following fields:

These records may be reported by the futurePaymentsReportBox.

futurePaymentsReportBox
A dialog box accessible via the mainMenu|reports|activePortfolio|futurePayments popup menu. Data taken from futurePaymentRecords is displayed on this report, which may be restricted according to paymentReason:

Note that futurePaymentRecords are currently defined only in the course of a simulation.

getSingleDividendRate
A function called during the calculation of Dividend Amount (Flat Value), among other places. It calculates the amount of a single dividend payment for a single instrument by determining, in order:
graphContextMenu
A context menu available on the graphDocument that can be used to provide further information regarding the data plotted on a graph. Specific versions of this menu are:
graphContextMenu|attributes
A context menu available on the graphDocument when right-clicking on a point produced on a graph created through the "Instrument Price Variance" or "Attributes" selection on the graphMenu|Settings popup menu. Most selections from this menu allow the choice of dialog boxes which will provide further details of the calculations performed on the instrument/price represented by that point. Specific choices are:
graphContextMenu|historicalYieldCurve
A context menu displayed when a point on a graph of historical yield curve data ("Select Period (Yield Curve Data)" on the graphMenu|settings menu) is right-clicked.

Two selections are possible:

graphContextMenu|twoAxesSelect
This context menu is available via the "Data Selection | Select Specific Data" selection on the graphMenu after "Attributes" has been selected on the graphMenu|Settings menu.

It allows for the choice of data to be displayed:

  • "Select X-axis" : displays the fieldsMenu to select the X-Axis
  • "Select Y-axis" displays the fieldsMenu to select the Y-Axis
  • Help : Displays this glossary item.
graphContextMenu|yieldCurveTypeSelect
A pop-up menu accessible via the "Data Selection|Select Specific Data" selection on the graphMenu after "Select Period (Yield Curve Data)" has been selected on the graphMenu|Settings menu.

This pop-up menu allows the choice of what yieldCurve data as recorded on the yieldCurveAveragesRecords is to be graphed for the defined period:

graphDataReportBox Image
A dialog box accessible via the "Show Data" selection on "graphMenu|Reports" menu.

This dialog reports the data displayed on the graph; the upper panel displays the title and sub-title of the graph, followed by the captions of the "X" and "Y" axes. The middle panel displays the data, with each line representing one point on the graph, specifying the graphSetType, the "X" value and the "Y" value. Finally, the lower panel allows selection of how the data in the middle panel are to be sorted - options are

  • X - axis : sorts ascending on X-value
  • Y - axis : sorts ascending on Y-value
  • Graph Set : sorts ascending on graphSetType
.
graphDocument Image
A document allowing the preparation of graphs, accessible via the "Graphs" selection on the mainMenu|Research popup menu. The "graphDocument" is controlled by the graphMenu and additional reports and actions are available through the graphContextMenu.

To prepare a graph, the type of data to be plotted is first selected from the graphMenu|Settings popup menu, and then the specific data selected via the graphMenu|DataSelection|"Select Specific Data" selection.

graphMenu
This is the menu that controls the appearance of the graphDocument. Options available are:
  • File
    • Print : Prints the document
  • Settings : displays the graphMenu|Settings popup menu
  • Data Selection
  • View : Displays the graphMenu|View popup menu
  • Comparator : These menu items will only be available if "Select Historical Instrument" has been selected on the graphMenu|Settings menu.
    • Set Comparator : This will allow selection of another instrument from the instrumentSelectionBox and allow the plotting of data for this instrument to be displayed on the graph together with that of the "main" instrument
    • Delete Comparator : deletes comparator information from the graph.
  • Reports
  • Help
    • Help : Displays this glossary item
graphMenu|Settings
A popup accessible via the "Settings" selection on the graphMenu which allows selection of the type of data that is to be displayed on the graphDocument. Options available are:
graphMenu|View
A popup menu available via the graphMenu that allows for selection of various display options:
  • Grid Lines : when selected, horizontal and vertical grid lines will be drawn on the graph
  • Zero Based : when selected, the Y-axis of the graph will include the value zero
  • Data Display
    • Lines + Boxes : data will be displayed with a box surrounding each data point with lines connecting the data points
    • Lines Only : lines will be show connecting each data point
    • Boxes Only : boxes will surround each data point
  • Select Pen Width
    • Plot : changes the thickness of the "lines" and "boxes" described above
    • Grid : changes the thickness of the "grid lines" noted above
  • Main : toggles the GRAPH_SET_MAIN graphSetType indicator to display/hide elements of this type
  • Comparator : toggles the GRAPH_SET_COMPARATOR graphSetType indicator to display/hide elements of this type
  • Differences : toggles the GRAPH_SET_DIFFERENCES graphSetType indicator to display/hide elements of this type
  • Segregate By Credit : Enabled only when "Attributes" has been selected on the graphMenu|Settings menu. When selected, points representing instruments of different creditClasses will be represented by boxes of different colours.
  • Credit Class One : Enabled only when "Attributes" has been selected on the graphMenu|Settings menu. When selected, points representing creditClass1 will be displayed.
  • Credit Class Two : Enabled only when "Attributes" has been selected on the graphMenu|Settings menu. When selected, points representing creditClass2 will be displayed.
  • Credit Class 3 : Enabled only when "Attributes" has been selected on the graphMenu|Settings menu. When selected, points representing creditClass3 will be displayed.
  • Regression : Performs a multilinear regression of the data displayed on screen and displays the results in a regressionResultBox
  • Change Price Range : Enabled only when "Instrument Price Variance" has been selected on the graphMenu|Settings. This will display the doubleInputBox for selection of a price range over which the selected instrument should be varied as a proportion of its market price.
  • Help : Displays this glossary item.
GRAPH_SET_ALL
An internal control setting of graphSetType that indicates that the particular operation in question should be performed on all data points.
GRAPH_SET_COMPARATOR
A setting of graphSetType that indicates the data is supplied as a comparator for the main data referred to with the indicator GRAPH_SET_MAIN. It may be used when plotting the yieldCurve for a single day (graphMenu|Settings|Yield Curve) and for the first instrument selected when plotting historical attribute data (graphMenu|Settings|Historical Instrument). This set will be indicated on reports as "Comparator Set - 1".
GRAPH_SET_COMPARATOR_TWO
A setting of graphSetType that indicates the data is supplied as a comparator for the main data referred to with the indicator GRAPH_SET_MAIN and is distinct from that identified with GRAPH_SET_COMPARATOR. It may be used when plotting the yieldCurve for a single day (graphMenu|Settings|Yield Curve). This set will be indicated on reports as "Comparator Set - 2".
GRAPH_SET_CREDIT_ONE
A setting of graphSetType that indicates the data is derived from an issuer of creditClass1.
GRAPH_SET_CREDIT_TWO
A setting of graphSetType that indicates the data is derived from an issuer of creditClass2.
GRAPH_SET_CREDIT_THREE
A setting of graphSetType that indicates the data is derived from an issuer of creditClass3.
GRAPH_SET_DIFFERENCES
A setting of graphSetType that indicates the data has been created by determining the difference in the "y"-values between the GRAPH_SET_MAIN and GRAPH_SET_COMPARATOR points for a given value of "x".
GRAPH_SET_MAIN
A setting of graphSetType that indicates the data is the "anchor" for the graph. It is used when plotting the yieldCurve for a single day (graphMenu|Settings|Yield Curve) and for the first instrument selected when plotting historical attribute data (graphMenu|Settings|Historical Instrument). This set will be indicated on reports as "Main Set".
graphSetType
An enumerated type used in the determination of which points on the graph are related. Each point displayed on the graphDocument is associated with one of the following possible values:
GRAPH_SET_UNDEFINED
A setting of graphSetType that indicates the data should not be plotted on a graph. It may be used, for example, when plotting reportField data if the security examined is not of creditClass1, creditClass2 or creditClass3.

This set may be indicated on reports as "Undefined Set".

hard retraction
The ability of the investor to demand cash from the issuing company in exchange for his shares. The amount of cash, notice period and time at which this right may be excercised being specified in the prospectus at time of issue.
heterogenietyAnalysis
A methodology, displayed in the riskPerformanceBox, of analyzing the universe of preferred shares examined by HIMIPref™ whereby for each binary riskAttribute (as well as liquidityMeasured and Credit Class UNRATED) the universe is sorted into two subsets, such that each subset is homogeneous for the attribute examined. A determination is then made of the distribution of the other binary indicators in each subset. Note that in a perfectly homogeneous universe, the analyses of the two subsets would yield identical results.

Results are reported as a series of columns, each "major" column reflecting the attribute used to make the division between the two subsets, which are the "minor" columns labeled "True" and "False" below the major column heading. Rows are reported in the same order from top to bottom as the columns are presented from left to right.

Example: Consider the following extract from the table of a Raw Heterogeniety Analysis:
Retractible Split Share Corp
True False True False
71-0 0-70 32-0 39-70
32-39 0-70 32-0 0-109

From the top row of the first major column, we obtain the trivial (reflexive) result that of 71 Retractible issues examined, 71 were retractible and 0 were not. A similarly trivial result is obtained for "Split Share Corp" in the second row of the second major column.

More interesting results are obtained off the diagonal. From the second row of the first major column, we learn that of the 71 retractible issues, 32 were Split Share Corporations and 39 were not. Of the 70 non-retractible issues, none were Split Share Corporations.

In a Percentage Heterogeniety Analysis the data are presented as a percentage of the cell that is "True", so the 32-39 split in the above table is reported as 32 / (32+39) = 45.07%.

historicalAverage
A calculated value that provides an exponential moving average for its corresponding spotValue and dampingFactor (see instrumentAveragesRecord for a table of the correspondences). It is normally calculated as:

"historicalAverage[i]" = "historicalAverage[i-1]" * volatilityDampingFactor + (1 - volatilityDampingFactor) * adjustedSpotRate[i]

where

If there is no record for the prior day, the "historicalAverage" is set to the spotValue if this is is defined, otherwise it is also undefined.

The exception to this general rule is volume-average, which is explained under that heading.

See also instrumentAveragesRecord and yieldCurveAveragesRecord for tables of spotValues and their corresponding volatilityDampingFactors (ii).

HistoricalFiles
A collective name for the following tables in the volatileDatabase:

These are the tables that retain the essential results of the calculations performed by HIMIPref™.

historicalInstrumentGraph
This selection graphs a selected attribute of a particular instrument (Y-axis) vs. time (X-axis); it is accessible via the "Historical Instrument" selection on the graphMenu|Settings popup menu on the graphDocument.

The dateInputBox is displayed twice to select the period, then the taxRateQueryProcess is run and finally the fieldMenu is shown to determine the Y-Axis.

Some data normally accessible on the fieldsMenu may not be plotted with this option, as these data are not stored subsequent to their calculation and immediate display:

historicalTrend
A calculated value that provides an indication of the overall trend in the spotValue attribute being examined. It is calculated as:

"historicalTrend[i]" = "historicalTrend[i-1]" * volatilityDampingFactor + (1 - volatilityDampingFactor) * dailyVolatility

where

dailyVolatility = adjustedSpotRate[i] - spotValue[i-1]

If there is no record for the prior day, the "historicalTrend" is set to 0 if the spotValue is defined, otherwise it is also undefined.

See also instrumentAveragesRecord and yieldCurveAveragesRecord for tables of spotValues and their corresponding volatilityDampingFactors (ii).

historicalVolatility
A measure of the degree by which spotValue of an attribute may be expected to revert to its mean. It is normally defined recursively:

"historicalVolatility[i]" = volatilityDampingFactor (ii) * "historicalVolatility[i - 1]" + dailyVolatility * (1 - volatilityDampingFactor (ii))

where
"historicalVolatility[x]" is the historical volatility on day x
dailyVolatility is { 0, if the day's change is the same sign as the historicalTrend; or adjustedSpotRate[i] - spotValue[i-1], otherwise}

If there is no record for the prior day, the "historicalVolatility" is set to 0 if the spotValue is defined, otherwise it is also undefined.

See also instrumentAveragesRecord and yieldCurveAveragesRecord for tables of spotValues and their corresponding volatilityDampingFactors (ii).

historicalYieldReportBox Image
This dialog box is accessible through the "Historical Yield Curve" selection on the mainMenu|Reports pop-up menu or the "Full Report" selection on the graphContextMenu|historicalYieldCurve.

The following data are reported:

hit
To sell shares at the indicated bid price.
holdings
(i) A table contained in the userDatabase comprised of holdingsDataRecords. This table may be changed according to information processed on the tradeConfirmationDocument.
Holdings - Adjusted Cost Base Report Summary
The adjustedCostBase of the shares of that issue held in the activePortfolio.

This value is stored in a holdingsDataRecord.

Holdings - ask price Report Summary
The ask price of the shares as defined in the activePortfolio. This may not be equal to the ask shown elsewhere on the reportSummary since the holdings may have been valued as of a different date.
Holdings - bid price Report Summary
The bid price of the shares as defined in the activePortfolio. This may not be equal to the bid shown elsewhere on the reportSummary since the holdings may have been valued as of a different date.
holdingsDataRecord
A record in the holdings table of the permanentDatabase comprised of the following fields:
holdingsPickupAdjustment
A calculated value used in the subsequent calculation of bidToOfferPickup and offerToBidPickup.

This component seeks to quantify the degree by which valuations should be reduced solely due to a desire to avoid maximizing holdings in an issue before the best time - that is, to retain a capacity to purchase additional shares of an attractive issue should the price decline further. This penalty is applicable only to the valuation of the issue to be purchased. It is equal to:

If issue is held: "holdingsPickupAdjustment" = PARAMETER_PENALTY_ISSUECONCENTRATION * issueWeight / effectiveMinWeight

or, if issue is not held: "holdingsPickupAdjustment" = PARAMETER_PENALTY_ISSUECONCENTRATION * "excess Issue Weight" / effectiveMinWeight

where "excess Issue Weight" is the sum of the smallest weights in the portfolio of the number of issues held in excess of numberSwapSecuritiesDesired


Note that issueWeight is determined prior to execution of the proposed purchase.

This value is reported in the pickupCalculationBox.

holdingsRiskDifference
A calculated vector of RISK_MEASUREMENT_AXIS_TYPE_MEMBERS length, one for each risk attribute. For each member, if the corresponding values of portfolioWeightedRisk and indexWeightedRisk are both defined, the "holdingsRiskDifference" is obtained by subtracting the latter from the former; or else the value will be set equal to the corresponding value of the attribute for the instrument being sold; or if no instrument is being sold, the value will be set to "undefined"

The "holdingsRiskDifference" vector is used in the calculation of riskUp, riskDown and subsequently riskDistance.

These values are reported by the riskMeasurementCalculationBox.

Holdings - units Report Summary
The number of shares of the issue held by the activePortfolio.

This value is recorded by the system in a holdingsDataRecord This value is reported by the portfolioReportBox.

Holdings - weight Report Summary
The marketValue of the holdings of the issue in the activePortfolio divided by the portfolioCashValue.This value is reported by the portfolioReportBox.

This value is also referred to as issueWeight.

identifier
(i) A field contained in a taxRateDataRecord to provide a unique reference to each record and corresponds to the "identifier" field of a taxRateScheduleRecord. It corresponds to the taxIdentifier field of an instrumentAveragesRecord.

(ii) A field contained in a taxRateScheduleRecord which identifies the taxRateDataRecord applicable for the period and schedule defined by that record. This datum may be displayed in the taxRateScheduleBox.

(iii) A field contained in a systemConstantsRecord to provide a unique reference to each record. It corresponds to the field systemConstantsID in a portfolioDataRecord.

This value is reported in the analyticalParametersReportBox.

(iv) A field contained within the constraintSpecificationRecord to provide a unique reference to each record.

incomeTaxDue
A temporary variable calculated and stored during simulations to record the taxes which will become payable on the next tax payment date. Such amounts have not yet affected the cash in the portfolio, but are allowed for as part of the portfolio cash value.

This value is reported by the portfolioReportBox.

index
A collection of issues with assigned weights which purports to provide an overall view of the market or a specified subsection thereof. The most important index for Canadian preferred share management is the BMO Nesbitt Burns 50 Index.

The index is used when optimizing portfolios according to the portfolio method in order to determine the risk characteristics of the portfolio and the effect of any proposed trade.

The index used in portfolio management is a constraint

See also indexComposition and indexNamesType.

indexComposition
A table included in the permanentDatabase comprised of indexCompositionRecords. The purpose of this table is to record the construction of a specified index at any point in time.
indexCompositionRecord
A record contained within the indexComposition table which specifies one component of a particular index on a particular date.

This record is comprised of the following fields:

indexID
(i) A field in an indexCompositionRecord which specifies the index to which the information in the record applies. It corresponds to the "indexID" field in an indexNamesType record.

(ii) A constraint specified in a constraintSpecificationRecord that specifies the "indexID (i)" that is to be used when calculating indexWeightedRisk.

indexName
A field in a indexNamesType record, specifying the name by which a particular index is known.
indexNames
A table in the permanentDatabase comprised of indexNamesType records.
indexNamesType
A record in the indexNames table of the permanentDatabase that contains the fields:
indexSelectionBox Image
An input box allowing the selection of one or more indices from the defined list. The text in the selection box is the indexName field of indexNamesType.

To select an index, highlight the indexName and click the "Select" button; the number of indices selected and their names will then be listed in the upper panel of the "indexSelectionBox". When all desired indices have been selected, click the "OK" button to accept the list.

indexWeightedRisk
A calculated vector of RISK_MEASUREMENT_AXIS_TYPE_MEMBERS elements, corresponding to each of the riskAttribute. Each element is equal to the average value (weighted by issueWeight, as specified by the applicable indexCompositionRecords) over the index of that particular riskAttribute unless:
  • There are no securities held in the index, in which case all elements are set to ANALYTICAL_DOUBLE_NO_SOLUTION, or
  • The particular risk attribute for each security in the portfolio is incalculable.

If a particular risk attribute for a particular security is incalculable, the "indexWeightedRisk" is calculated as if that value was equal to the average of the other values.

See also portfolioWeightedRisk.

inefficient
A market is inefficient if information regarding the value of a particular investment is not communicated rapidly to its market price. If, for example, a listed company existed which had as its sole business the holding of particular common shares for investment purposes, we would expect changes in the prices of those shares to be instantaneously reflected in the price of the holding company's shares. The market is "inefficient" to the extent that this effect is delayed, or not reflected at all.

Another example would be two series of bonds issued by the same company, which had identical terms, issue sizes and distribution of holders. The market would be inefficient to the extent that the prices of these bonds on the market was not identical.

initialApproximationTradeSize
A procedure called as part of the determination of trade size, which performs a number of steps to determine a rough approximation of the size of trade being contemplated. In the portfolio method and in the issue method when numberSwapSecuritiesDesired is non-zero:
  • Desired cash proceeds from the sale are estimated as the cash requirements for the purchase, less cash already in the portfolio.
  • This is adjusted to reflect a sale in board lots which does not exceed current holdings of the issue sold.
  • If such a sale would leave less than PARAMETER_PORTFOLIO_MINWEIGHT weight of the issue sold in the portfolio, the entire holding of the issue is set to be sold.
  • The number of shares to be purchased is then calculated to reflect an integral number of board lots with a total value less than the available cash.


In the issue method when numberSwapSecuritiesDesired is zero:

initialization.txt
A text file stored in the userDirectory containing user information and preferences specified in three sections:
inputUserBox
A dialog box accessible to administrative users only, which allows input of:
instrumentAskYieldToWorstInfoDecay
An optimizableParameter that is used as the dampingFactor when computing the exponential moving average of askYieldToWorst-spot, which is stored as askYieldToWorst-average. See also askYieldToWorst-trend, askYieldToWorst-volatility and instrumentAveragesRecord. Its identifier is PARAMETER_INSTRUMENT_ASKYIELDTOWORST_INFODECAY

This parameter is reported in the analyticalParametersReportBox.

instrumentAverages
A table in the volatileDatabase comprised of instrumentAveragesRecords.
instrumentAveragesContextMenu

This menu is available on the graphDocument via the "InstrumentAverages" selection on the graphContextMenu|attributes context menu and on the reportSummary by right-clicking on the following fields:

This menu allows the following choices, each of which will display the instrumentAveragesReportBox with the indicated data:

instrumentAveragesRecord
A record in the instrumentAverages table of the volatileDatabase which stores calculated values of certain attributes.

The fields in this record are:

Thus, every security/date/taxIdentifier combination will have the following calculated values stored:
Stored Values Related Values
valuationIndex spotValue historicalTrend historicalVolatility historicalAverage volatilityDampingFactor rewardComponent
INSTRUMENT_VALUATION_REVERSION_VOLUME volume-spot volume-average volume-volatility volume-average PARAMETER_INSTRUMENT_VOLUME_INFODECAY N/A
INSTRUMENT_VALUATION_REVERSION_SPREAD spread-spot spread-trend spread-volatility spread-average PARAMETER_INSTRUMENT_SPREAD_INFODECAY N/A
INSTRUMENT_VALUATION_REVERSION_CURRENTYIELDBID currentYieldBid-spot currentYieldBid-trend currentYieldBid-volatility currentYieldBid-average PARAMETER_INSTRUMENT_CURRENTYIELDBID_INFODECAY REWARD_COMPONENT_REVERSION_CURRENTYIELD
INSTRUMENT_VALUATION_REVERSION_PORTBIDYIELD portBidYield-spot portBidYield-trend portBidYield-volatility portBidYield-average PARAMETER_INSTRUMENT_PORTBIDYIELD_INFODECAY REWARD_COMPONENT_REVERSION_PORTYIELD
INSTRUMENT_VALUATION_REVERSION_PORTASKYIELD portAskYield-spot portAskYield-trend portAskYield-volatility portAskYield-average PARAMETER_INSTRUMENT_PORTASKYIELD_INFODECAY REWARD_COMPONENT_REVERSION_PORTYIELD
INSTRUMENT_VALUATION_REVERSION_COSTBIDYIELD costBidYield-spot costBidYield-trend costBidYield-volatility costBidYield-average PARAMETER_INSTRUMENT_COSTBIDYIELD_INFODECAY REWARD_COMPONENT_REVERSION_COSTYIELD
INSTRUMENT_VALUATION_REVERSION_COSTASKYIELD costAskYield-spot costAskYield-trend costAskYield-volatility costAskYield-average PARAMETER_INSTRUMENT_COSTASKYIELD_INFODECAY REWARD_COMPONENT_REVERSION_COSTYIELD
INSTRUMENT_VALUATION_REVERSION_BIDYIELDTOWORST bidYieldToWorst-spot bidYieldToWorst-trend bidYieldToWorst-volatility bidYieldToWorst-average PARAMETER_INSTRUMENT_BIDYIELDTOWORST_INFODECAY REWARD_COMPONENT_REVERSION_YIELDTOWORST
INSTRUMENT_VALUATION_REVERSION_PRICEDISPARITY priceDisparity-spot priceDisparity-trend priceDisparity-volatility priceDisparity-average PARAMETER_INSTRUMENT_PRICEDISPARITY_INFODECAY REWARD_COMPONENT_REVERSION_PRICEDISPARITY
INSTRUMENT_VALUATION_REVERSION_YIELDDISPARITY yieldDisparity-spot yieldDisparity-trend yieldDisparity-volatility yieldDisparity-average PARAMETER_INSTRUMENT_YIELDDISPARITY_INFODECAY REWARD_COMPONENT_REVERSION_YIELDDISPARITY
INSTRUMENT_VALUATION_REVERSION_FLATBIDPRICE flatBidPrice-spot flatBidPrice-trend flatBidPrice-volatility flatBidPrice-average PARAMETER_INSTRUMENT_FLATBIDPRICE_INFODECAY REWARD_COMPONENT_REVERSION_FLATPRICE
INSTRUMENT_VALUATION_REVERSION_FLATASKPRICE flatAskPrice-spot flatAskPrice-trend flatAskPrice-volatility flatAskPrice-average PARAMETER_INSTRUMENT_FLATASKPRICE_INFODECAY REWARD_COMPONENT_REVERSION_FLATPRICE
INSTRUMENT_VALUATION_REVERSION_CURVEBIDYIELD curveBidYield-spot curveBidYield-trend curveBidYield-volatility curveBidYield-average PARAMETER_INSTRUMENT_CURVEBIDYIELD_INFODECAY REWARD_COMPONENT_REVERSION_CURVEYIELD
INSTRUMENT_VALUATION_REVERSION_CURVEASKYIELD curveAskYield-spot curveAskYield-trend curveAskYield-volatility curveAskYield-average PARAMETER_INSTRUMENT_CURVEASKYIELD_INFODECAY REWARD_COMPONENT_REVERSION_CURVEYIELD
INSTRUMENT_VALUATION_REVERSION_RATCHETYIELD ratchetYield-spot ratchetYield-trend ratchetYield-volatility ratchetYield-average PARAMETER_INSTRUMENT_RATCHETYIELD_INFODECAY N/A
INSTRUMENT_VALUATION_REVERSION_PARENTPRICE parentPrice-spot parentPrice-trend parentPrice-volatility parentPrice-average PARAMETER_INSTRUMENT_PARENTPRICE_INFODECAY N/A
INSTRUMENT_VALUATION_REVERSION_ASKYIELDTOWORST askYieldToWorst-spot askYieldToWorst-trend askYieldToWorst-volatility askYieldToWorst-average PARAMETER_INSTRUMENT_ASKYIELDTOWORST_INFODECAY REWARD_COMPONENT_REVERSION_YIELDTOWORST

See also instrument reversion parameter.

These data may be displayed in the instrumentAveragesReportBox for a single instrument, or for all instruments via the "Instrument Historical Data" choice on the reportSummary|QuickReports menu.

instrumentAveragesReportBox Image
A dialog box accessible through the instrumentAveragesContextMenu and the liquidityContextMenu which may display one or many of the following groups of data:

These data may also be displayed for all instruments via the "Instrument Historical Data" choice on the reportSummary|QuickReports menu.

instrumentBidYieldToWorstInfoDecay
An optimizableParameter that is used as the dampingFactor when computing the exponential moving average of bidYieldToWorst-spot, which is stored as bidYieldToWorst-average. See also bidYieldToWorst-trend, bidYieldToWorst-volatility and instrumentAveragesRecord. Its identifier is PARAMETER_INSTRUMENT_BIDYIELDTOWORST_INFODECAY

This parameter is reported in the analyticalParametersReportBox.

instrumentCostAskYieldInfoDecay
An optimizableParameter with the identifier PARAMETER_INSTRUMENT_COSTASKYIELD_INFODECAY that is used as the dampingFactor when computing the exponential moving average of costAskYield-spot, which is stored as costAskYield-average.

This parameter is reported in the analyticalParametersReportBox.

See also costAskYield-trend, costAskYield-volatility and instrumentAveragesRecord.

instrumentCostBidYieldInfoDecay
An optimizableParameter with the identifier PARAMETER_INSTRUMENT_COSTBIDYIELD_INFODECAY that is used as the dampingFactor when computing the exponential moving average of costBidYield-spot, which is stored as costBidYield-average.

This parameter is reported in the analyticalParametersReportBox.

See also costBidYield-trend, costBidYield-volatility and instrumentAveragesRecord.

instrumentCostYieldReversionSpeed
An optimizable parameter of the type instrument reversion parameter. Its identifier is PARAMETER_INSTRUMENT_COSTYIELD_REVERSIONSPEED.

This parameter quantifies the rewardComponentsBid / rewardComponentsAsk of the difference between costBidYield-spot / costAskYield-spot and costBidYield-average / costAskYield-average. A positive value implies that reversion-to-mean is expected; a negative value implies that momentum is considered more important.

This parameter is reported in the analyticalParametersReportBox.

See also systemConstantsRecord.

instrumentCostYieldValuation
An optimizable parameter of the type instrument valuation parameter. Its identifier is PARAMETER_INSTRUMENT_SPOT_COSTYIELD

This parameter quantifies the REWARD_COMPONENT_SPOT_COSTYIELD of rewardComponentsBid / rewardComponentsAsk through its interaction with costBidYield / costAskYield (which are equal to costBidYield-spot / costAskYield-spot).

The value of this parameter is constrained to be positive.

This parameter is reported in the analyticalParametersReportBox.

See also systemConstantsRecord.

instrumentCurrentYieldBidInfoDecay
An optimizableParameter with the identifier PARAMETER_INSTRUMENT_CURRENTYIELDBID_INFODECAY that is used as the dampingFactor when computing the exponential moving average of currentYieldBid-spot, which is stored as currentYieldBid-average. See also currentYieldBid-trend, currentYieldBid-volatility and instrumentAveragesRecord.

This parameter is reported in the analyticalParametersReportBox.

instrumentCurrentYieldReversionSpeed
An optimizable parameter of the type instrument reversion parameter. Its identifier is PARAMETER_INSTRUMENT_CURRENTYIELD_REVERSIONSPEED.

This parameter quantifies the rewardComponentsBid / rewardComponentsAsk of the difference between currentYieldBid-spot and currentYieldBid-average. A positive value implies that reversion-to-mean is expected; a negative value implies that momentum is considered more important.

This parameter is reported in the analyticalParametersReportBox.

See also systemConstantsRecord.

instrumentCurrentYieldValuation
An optimizable parameter of the type instrument valuation parameter. Its identifier is PARAMETER_INSTRUMENT_SPOT_CURRENTYIELD

This parameter quantifies the REWARD_COMPONENT_SPOT_CURRENTYIELD of rewardComponentsBid / rewardComponentsAsk through its interaction with current yield bid (which is equal to currentYieldBid-spot).

The value of this parameter is constrained to be positive.

This parameter is reported in the analyticalParametersReportBox.

See also systemConstantsRecord.

instrumentCurveAskYieldInfoDecay
An optimizable parameter with the identifier PARAMETER_INSTRUMENT_CURVEASKYIELD_INFODECAY which defines the degree of damping in the exponential moving average of the spotValue curveAskYield-spot of the instrument. This historicalAverage is referred to as curveAskYield-average.

The value of this parameter is constrained to be between 0 and 1.

This parameter is reported in the analyticalParametersReportBox.

See also curveAskYield-trend, curveAskYield-volatility and instrumentAveragesRecord.

instrumentCurveBidYieldInfoDecay
An optimizable parameter with the identifier PARAMETER_INSTRUMENT_CURVEBIDYIELD_INFODECAY which defines the degree of damping in the exponential moving average of the spotValue curveBidYield-spot of the instrument. This historicalAverage is referred to as curveBidYield-average.

The value of this parameter is constrained to be between 0 and 1.

This parameter is reported in the analyticalParametersReportBox.

See also curveBidYield-trend, curveBidYield-volatility and instrumentAveragesRecord.

instrumentCurveYieldReversionSpeed
An optimizable parameter of the type instrument reversion parameter. Its identifier is PARAMETER_INSTRUMENT_CURVEYIELD_REVERSIONSPEED.

This parameter quantifies the rewardComponentsBid / rewardComponentsAsk of the difference between curveBidYield-spot / curveAskYield-spot and curveBidYield-average / curveAskYield-average. A positive value implies that reversion-to-mean is expected; a negative value implies that momentum is considered more important.

This parameter is reported in the analyticalParametersReportBox.

There are no constraints on the value of this parameter.

See also systemConstantsRecord.

instrumentCurveYieldValuation
An optimizable parameter of the type instrument valuation parameter. Its identifier is PARAMETER_INSTRUMENT_SPOT_CURVEYIELD

This parameter quantifies the REWARD_COMPONENT_SPOT_CURVEYIELD of rewardComponentsBid / rewardComponentsAsk through its interaction with curveBidYield (which is equal to curveBidYield-spot).

The value of this parameter is constrained to be positive.

This parameter is reported in the analyticalParametersReportBox.

See also systemConstantsRecord.

instrumentDataRecord
A record contained within the instruments table of the permanentDatabase, that contains basic information about each issue.

Fields in this record are:

All these data are accessable through either the instrumentDetailsBox or the "Instrument Basic Data" choice on the reportSummary|QuickReports menu.

instrumentDetailsBox Image
A dialog box accessible through the:which reports the following information regarding the selected instrument:

This box also provides links to the embeddedOptionsBox and the dividendsbox.

These data are also accessible via the "Instrument Basic Data" choice on the reportSummary|QuickReports menu.

instrumentFlatAskPriceInfoDecay
An optimizableParameter that is used as the dampingFactor when computing the exponential moving average of flatAskPrice-spot, which is stored as flatAskPrice-average. See also flatAskPrice-trend, flatAskPrice-volatility and instrumentAveragesRecord. Its identifier is PARAMETER_INSTRUMENT_FLATASKPRICE_INFODECAY

This parameter is reported in the analyticalParametersReportBox.

instrumentFlatBidPriceInfoDecay
An optimizableParameter that is used as the dampingFactor when computing the exponential moving average of flatBidPrice-spot, which is stored as flatBidPrice-average. See also flatBidPrice-trend, flatBidPrice-volatility and instrumentAveragesRecord. Its identifier is PARAMETER_INSTRUMENT_FLATBIDPRICE_INFODECAY

This parameter is reported in the analyticalParametersReportBox.

instrumentFlatPriceReversionSpeed
An optimizable parameter of the type instrument reversion parameter. Its identifier is PARAMETER_INSTRUMENT_FLATPRICE_REVERSIONSPEED.

This parameter quantifies the rewardComponentsBid / rewardComponentsAsk of the difference between portYieldBid-spot / portYieldAsk-spot and portYieldBid-average / portYieldAsk-average. A positive value implies that reversion-to-mean is expected; a negative value implies that momentum is considered more important.

This parameter is reported in the analyticalParametersReportBox.

See also systemConstantsRecord.

instrumentFloatingRateDataRecord
A record in the instrumentFloatingRateTable table of the permanentDatabase. This record stores information required for the calculation of dividends for floatingRate instruments.

Fields defined in this record are:

instrumentFloatingRateTable
A table in the permanentDatabase that contains instrumentFloatingRateDataRecords used in the calculation of floatingRate dividends.
instrumentNameContextMenu
This menu allows the following choices:

This menu is accessable by right-clicking on the following fields in the reportSummary:

instrumentPortAskYieldInfoDecay
An optimizableParameter with the identifier PARAMETER_INSTRUMENT_PORTASKYIELD_INFODECAY that is used as the dampingFactor when computing the exponential moving average of portAskYield-spot, which is stored as portAskYield-average. See also portAskYield-trend, portAskYield-volatility and instrumentAveragesRecord.

This parameter is reported in the analyticalParametersReportBox.

instrumentPortBidYieldInfoDecay
An optimizableParameter with the identifier PARAMETER_INSTRUMENT_PORTBIDYIELD_INFODECAY that is used as the dampingFactor when computing the exponential moving average of portBidYield-spot, which is stored as portBidYield-average. See also portBidYield-trend, portBidYield-volatility and instrumentAveragesRecord.

This parameter is reported in the analyticalParametersReportBox.

instrumentPortYieldReversionSpeed
An optimizable parameter of the type instrument reversion parameter. Its identifier is PARAMETER_INSTRUMENT_PORTYIELD_REVERSIONSPEED.

This parameter quantifies the rewardComponentsBid / rewardComponentsAsk of the difference between portBidYield-spot / portAskYield-spot and portBidYield-average / portAskYield-average. A negative value implies that reversion-to-mean is expected; a positive value implies that momentum is considered more important.

This parameter is reported in the analyticalParametersReportBox.

See also systemConstantsRecord.

instrumentPortYieldValuation
An optimizable parameter of the type instrument valuation parameter. Its identifier is PARAMETER_INSTRUMENT_SPOT_PORTYIELD

This parameter quantifies the REWARD_COMPONENT_SPOT_PORTYIELD of rewardComponentsBid / rewardComponentsAsk through its interaction with portBidYield / portAskYield (which are equal to portBidYield-spot / portAskYield-spot).

The value of this parameter is constrained to be positive.

This parameter is reported in the analyticalParametersReportBox.

See also systemConstantsRecord.

instrumentPriceDisparityInfoDecay
An optimizableParameter that is used as the dampingFactor when computing the exponential moving average of priceDisparity-spot, which is stored as priceDisparity-average. See also priceDisparity-trend, priceDisparity-volatility and instrumentAveragesRecord. Its identifier is PARAMETER_INSTRUMENT_PRICEDISPARITY_INFODECAY

This parameter is reported in the analyticalParametersReportBox.

instrumentPriceDisparityReversionSpeed
An optimizable parameter of the type instrument reversion parameter. Its identifier is PARAMETER_INSTRUMENT_PRICEDISPARITY_REVERSIONSPEED.

This parameter quantifies the rewardComponentsBid / rewardComponentsAsk of the difference between priceDisparity-spot and priceDisparity-average. A positive negative implies that reversion-to-mean is expected; a positive value implies that momentum is considered more important.

This parameter is reported in the analyticalParametersReportBox.

See also systemConstantsRecord.

instrumentPriceDisparityValuation
An optimizable parameter of the type instrument valuation parameter. Its identifier is PARAMETER_INSTRUMENT_SPOT_PRICEDISPARITY

This parameter quantifies the REWARD_COMPONENT_SPOT_PRICEDISPARITY of rewardComponentsBid / rewardComponentsAsk through its interaction with priceDisparity (which is equal to priceDisparity-spot).

The value of this parameter is constrained to be positive.

This parameter is reported in the analyticalParametersReportBox.

See also systemConstantsRecord.

instrumentPriceSpreadInfoDecay
An optimizableParameter that is used as the dampingFactor when computing the exponential moving average of spread-spot, which is stored as spread-average. See also spread-trend, spread-volatility and instrumentAveragesRecord.

Its identifier is PARAMETER_INSTRUMENT_SPREAD_INFODECAY.

This parameter is reported in the analyticalParametersReportBox.

instrument reversion parameter
A type of reversion parameter that is applied to data contained in an instrumentAveragesRecord in order to derive a measure of rewardComponentsBid / rewardComponentsAsk. The formula applied is:

"reward component" = annualPercentageScalingFactor * "instrument reversion" * "reversion parameter" * instrumentValuationYieldScalingFactor

Where: "instrument reversion" = historicalAverage - spotValue
. The specific values used are related as follows:
Reward Component "Instrument Reversion Parameter" historicalAverage spotValue
REWARD_COMPONENT_REVERSION_CURRENTYIELD PARAMETER_INSTRUMENT_CURRENTYIELD_REVERSIONSPEED currentYieldBid-average currentYieldBid-spot
REWARD_COMPONENT_REVERSION_PORTYIELD PARAMETER_INSTRUMENT_PORTYIELD_REVERSIONSPEED portBidYield-average / portAskYield-average portBidYield-spot / portAskYield-spot
REWARD_COMPONENT_REVERSION_COSTYIELD PARAMETER_INSTRUMENT_COSTYIELD_REVERSIONSPEED costBidYield-average / costAskYield-average costBidYield-spot / costAskYield-spot
REWARD_COMPONENT_REVERSION_YIELDTOWORST PARAMETER_INSTRUMENT_YIELDTOWORST_REVERSIONSPEED bidYieldToWorst-average / askYieldToWorst-average bidYieldToWorst-spot / askYieldToWorst-spot
REWARD_COMPONENT_REVERSION_PRICEDISPARITY PARAMETER_INSTRUMENT_PRICEDISPARITY_REVERSIONSPEED priceDisparity-average priceDisparity-spot
REWARD_COMPONENT_REVERSION_YIELDDISPARITY PARAMETER_INSTRUMENT_YIELDDISPARITY_REVERSIONSPEED yieldDisparity-average yieldDisparity-spot
REWARD_COMPONENT_REVERSION_FLATPRICE PARAMETER_INSTRUMENT_FLATPRICE_REVERSIONSPEED flatBidPrice-average / flatAskPrice-average flatBidPrice-spot / flatAskPrice-spot

Note that "instrument reversion parameters" may be either positive or negative: a negative value implies that reversion-to-mean is the operative principle, while a positive value implies that momentum is more important.

All of the "instrument reversion parameters" are optimizableParameters and are stored in a systemConstantsRecord.

An "instrument reversion parameter" compares a calculated value with its historical average, as opposed to an instrument valuation parameter, which compares a calculated value with zero.

instrument valuation parameter
A type of optimizable parameter that is applied to calculated data in order to derive a measure of rewardComponentsBid / rewardComponentsAsk. The formula applied is:

"reward component" = annualPercentageScalingFactor * "calculated value" * "valuation parameter" * instrumentValuationYieldScalingFactor
. The specific values used are related as follows:
rewardComponentsBid / rewardComponentsAsk "calculated value" "instrument valuation parameter" parameter identifier
REWARD_COMPONENT_SPOT_CURRENTYIELD current yield bid (equal to currentYieldBid-spot) instrumentCurrentYieldValuation PARAMETER_INSTRUMENT_SPOT_CURRENTYIELD
REWARD_COMPONENT_SPOT_PORTYIELD portBidYield / portAskYield (equivalent to portBidYield-spot / portAskYield-spot instrumentPortYieldValuation PARAMETER_INSTRUMENT_SPOT_PORTYIELD
REWARD_COMPONENT_SPOT_COSTYIELD costBidYield / costAskYield (equivalent to costBidYield-spot / costAskYield-spot) instrumentCostYieldValuation PARAMETER_INSTRUMENT_SPOT_COSTYIELD
REWARD_COMPONENT_SPOT_YIELDTOWORST bidYieldToWorst / askYieldToWorst (equivalent to bidYieldToWorst-spot / askYieldToWorst-spot) instrumentYieldToWorstValuation PARAMETER_INSTRUMENT_SPOT_YIELDTOWORST
REWARD_COMPONENT_SPOT_PRICEDISPARITY price disparity (equal to priceDisparity-spot) instrumentPriceDisparityValuation PARAMETER_INSTRUMENT_SPOT_PRICEDISPARITY
REWARD_COMPONENT_SPOT_YIELDDISPARITY yieldDisparity (equal to yieldDisparity-spot) instrumentYieldDisparityValuation PARAMETER_INSTRUMENT_SPOT_YIELDDISPARITY

Note that "instrument valuation parameters" is constrained to be positive: all the relevent calculated values are considered to be "good" for the instrument - e.g. higher yield, higher priceDisparity, etc.

All of the "instrument reversion parameters" are optimizableParameters and are stored in a systemConstantsRecord.

An "instrument valuation parameter" compares a calculated value with zero, as opposed to an instrument reversion parameter, which compares a calculated value with its historical average.

instruments
A table contained within the permanentDatabase that contains instrumentDataRecords. It contains basic information regarding all instruments that have ever been examined by HIMIPref™.
instrumentSelectionBox Image
A dialog box in which a single instrument may be selected from a list of those available. As defined by the radio buttons on the box, the list may be presented as one of:. To select an instrument, highlight the list item that specifies it and click "OK".
instrumentSpotValues
A table contained within the volatileDatabase comprised of instrumentSpotValuesRecords. This is an historicalFiles
instrumentSpotValuesRecords
A record contained within the instrumentSpotValues table of the volatileDatabase and comprised of the following fields:
INSTRUMENT_VALUATION_REVERSION_ASKYIELDTOWORST
A valuationIndex with an integral value of 16 used in an instrumentAveragesRecord to indicate that the record refers to askYieldToWorst. See askYieldToWorst-spot.
INSTRUMENT_VALUATION_REVERSION_BIDYIELDTOWORST
A valuationIndex with an integral value of 7 used in an instrumentAveragesRecord to indicate that the record refers to bidYieldToWorst. See bidYieldToWorst-spot.
INSTRUMENT_VALUATION_REVERSION_COSTASKYIELD
A valuationIndex with an integral value of 6 used in an instrumentAveragesRecord to indicate that the record refers to costAskYield. See costAskYield-spot.
INSTRUMENT_VALUATION_REVERSION_COSTBIDYIELD
A valuationIndex with an integral value of 5 used in an instrumentAveragesRecord to indicate that the record refers to costBidYield. See costBidYield-spot.
INSTRUMENT_VALUATION_REVERSION_CURVEASKYIELD
A valuationIndex with an integral value of 13 used in an instrumentAveragesRecord to indicate that the record refers to curveAskYield. See curveAskYield-spot.
INSTRUMENT_VALUATION_REVERSION_CURVEBIDYIELD
A valuationIndex with an integral value of 12 used in an instrumentAveragesRecord to indicate that the record refers to curveBidYield. See curveBidYield-spot.
INSTRUMENT_VALUATION_REVERSION_CURRENTYIELDBID
A valuationIndex with an integral value of 2 used in an instrumentAveragesRecord to indicate that the record refers to currentYieldBid. See currentYieldBid-spot.
INSTRUMENT_VALUATION_REVERSION_FLATASKPRICE
A valuationIndex with an integral value of 11 used in an instrumentAveragesRecord to indicate that the record refers to flatAskPrice. See flatAskPrice-spot.
INSTRUMENT_VALUATION_REVERSION_FLATBIDPRICE
A valuationIndex with an integral value of 10 used in an instrumentAveragesRecord to indicate that the record refers to flatBidPrice. See flatBidPrice-spot.
INSTRUMENT_VALUATION_REVERSION_PARENTPRICE
A valuationIndex with an integral value of 14 used in an instrumentAveragesRecord to indicate that the record refers to parentPrice. See parentPrice-spot.
INSTRUMENT_VALUATION_REVERSION_PORTASKYIELD
A valuationIndex with an integral value of 4 used in an instrumentAveragesRecord to indicate that the record refers to portAskYield. See portAskYield-spot.
INSTRUMENT_VALUATION_REVERSION_PORTBIDYIELD
A valuationIndex with an integral value of 3 used in an instrumentAveragesRecord to indicate that the record refers to portBidYield. See portBidYield-spot.
INSTRUMENT_VALUATION_REVERSION_PRICEDISPARITY
A valuationIndex with an integral value of 8 used in an instrumentAveragesRecord to indicate that the record refers to priceDisparity. See priceDisparity-spot.
INSTRUMENT_VALUATION_REVERSION_RATCHETYIELD
A valuationIndex with an integral value of 14 used in an instrumentAveragesRecord to indicate that the record refers to ratchetYield. See ratchetYield-spot.
INSTRUMENT_VALUATION_REVERSION_SPREAD
A valuationIndex with an integral value of 1 used in an instrumentAveragesRecord to indicate that the record refers to bidAskSpread. See spread-spot.
INSTRUMENT_VALUATION_REVERSION_TYPE_MEMBERS
A constraint which is a count of how many types of instrumentAveragesRecords exist in the instrumentAverages table.
INSTRUMENT_VALUATION_REVERSION_UNDEFINED
A valuationIndex with an integral value of -1 used in an instrumentAveragesRecord to indicate that the record has not yet been defined.
INSTRUMENT_VALUATION_REVERSION_VOLUME
A valuationIndex with an integral value of 0 used in an instrumentAveragesRecord to indicate that the record refers to traded volume. See volume-spot.
INSTRUMENT_VALUATION_REVERSION_YIELDDISPARITY
A valuationIndex with an integral value of 9 used in an instrumentAveragesRecord to indicate that the record refers to yieldDisparity. See yieldDisparity-spot.
instrumentValuationScalingFactor
A scaling factor applied to elements of the rewardComponentsBid and rewardComponentsAsk vectors intended to ensure that totalRewardBid and totalRewardAsk are not completely arbitrary.

The intent is that classRewardYieldBid and classRewardYieldAsk values be expressed as percentage expected return. This will ensure that the classRewardPriceMovementBid and classRewardPriceMovementAsk values are scaled accordingly, no matter what multiple is applied uniformly to the underlying optimizable parameters, since the optimizable parameters will be derived in a simulation which includes the scaling factor.

instrumentValuationVolatilityModifier
An optimizableParameter with the identifier PARAMETER_INSTRUMENT_VALUATION_VOLATILITYMODIFIER used in the calculation of the PRICE_MOVEMENT_SCALING_VOLATILITY priceVolatilityScalingFactorComponent of priceVolatilityScalingFactor.

This parameter is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox.

instrumentValuationYieldScalingFactor
A scaling factor equal to the inverse of the sum of the optimizable parameters that are members of the class CLASS_PARAMETER_INSTRUMENT_VALUATION_SCALING. This class of parameters corresponds to REWARD_CLASS_YIELD.

Through application of this scaling factor in the calculation of totalRewardBid / totalRewardAsk (specifically, classRewardYieldBid / classRewardYieldAsk), the end-value of these calculated variables is expected to be identical no matter what multiplier is applied to the parameters (which aids in simulation) and these values should reflect the expected percentage return over one year.

This parameter is reported in the analyticalParametersReportBox.

instrumentYieldDisparityInfoDecay
An optimizableParameter that is used as the dampingFactor when computing the exponential moving average of yieldDisparity-spot, which is stored as yieldDisparity-average. See also yieldDisparity-trend, yieldDisparity-volatility and instrumentAveragesRecord.

Its identifier is PARAMETER_INSTRUMENT_YIELDDISPARITY_INFODECAY.

This parameter is reported in the analyticalParametersReportBox.

This parameter is reported in the analyticalParametersReportBox.

instrumentYieldDisparityReversionSpeed
An optimizable parameter of the type instrument reversion parameter. Its identifier is PARAMETER_INSTRUMENT_YIELDDISPARITY_REVERSIONSPEED.

This parameter quantifies the rewardComponentsBid / rewardComponentsAsk of the difference between currentYieldBid-spot and currentYieldBid-average. A negative value implies that reversion-to-mean is expected; a positive value implies that momentum is considered more important.

See also systemConstantsRecord.

instrumentYieldDisparityValuation
An optimizable parameter of the type instrument valuation parameter. Its identifier is PARAMETER_INSTRUMENT_SPOT_YIELDDISPARITY

This parameter quantifies the REWARD_COMPONENT_SPOT_YIELDDISPARITY of rewardComponentsBid / rewardComponentsAsk through its interaction with priceDisparity (which is equal to priceDisparity-spot).

The value of this parameter is constrained to be positive.

See also systemConstantsRecord.

instrumentYieldToWorstReversionSpeed
An optimizable parameter of the type instrument reversion parameter. Its identifier is PARAMETER_INSTRUMENT_YIELDTOWORST_REVERSIONSPEED.

This parameter quantifies the rewardComponentsBid / rewardComponentsAsk of the difference between bidYieldToWorst-spot / askYieldToWorst-spot and bidYieldToWorst-average / askYieldToWorst-average. A negative value implies that reversion-to-mean is expected; a positive value implies that momentum is considered more important.

This parameter is reported in the analyticalParametersReportBox.

See also systemConstantsRecord.

instrumentYieldToWorstValuation
An optimizable parameter of the type instrument valuation parameter. Its identifier is PARAMETER_INSTRUMENT_SPOT_YIELDTOWORST

This parameter quantifies the REWARD_COMPONENT_SPOT_YIELDTOWORST of rewardComponentsBid / rewardComponentsAsk through its interaction with bidYieldToWorst / askYieldToWorst (equal to bidYieldToWorst-spot / askYieldToWorst-spot).

The value of this parameter is constrained to be positive.

This parameter is reported in the analyticalParametersReportBox.

See also systemConstantsRecord.

integerInputBox Image
A dialog box used during the tradeInputProcess and elsewhere to allow the input of an integral value to the system.
interest income
Interest income is paid by the issuer on preferred securities, sometimes referred to as COPrS's, from its pre-tax income. Such income, unlike dividends does not have the benefit of the dividend tax credit and is taxed at the marginal rate associated with ordinary income.

Information regarding the type of income paid by a security is contained in the instrumentDataRecord. This is one of the riskAttributes of HIMIPref™.

instrumentVolumeInfoDecay
This is an optimizable parameter with the identifier PARAMETER_INSTRUMENT_VOLUME_INFODECAY used in conjunction with volume-spot to compute volume-average as an exponential moving average. As noted in the definition of volume-average, while this value will usually be the damping factor in the computation, it may be adjusted when volume is relatively low.

This parameter is reported in the analyticalParametersReportBox.

isCreditClass3
A boolean field in an instrumentSpotValuesRecord that records whether the instrument is defined as creditClass2 or not in HIMIPref™.
isCreditClass3
A boolean field in an instrumentSpotValuesRecord that records whether the instrument is defined as creditClass3 or not in HIMIPref™.
isCreditClassHigh
A boolean field in an instrumentSpotValuesRecord that records whether the instrument is defined as creditClassHigh or not in HIMIPref™.
isCreditClassLow
A boolean field in an instrumentSpotValuesRecord that records whether the instrument is defined as creditClassLow or not in HIMIPref™.
isCreditClassUnrated
A boolean field in an instrumentSpotValuesRecord that records whether the instrument is defined as creditClassUnrated or not in HIMIPref™.
issuance cost
A constraint used in the calculation of exercise probability for embedded options, with the identifier PARAMETER_SYSTEM_ISSUANCECOST.

This is the fraction of the issue price that an issuer may expect to pay as sales commission on a new issue of shares. It is constrained to be between 0.0 and 0.1.

See exerciseProbability.

"Issuance Cost" is reported in the optionCashFlowEffectAnalysisBox

This parameter is reported in the analyticalParametersReportBox.

issueConcentrationPenalty
An optimizableParameter with the identifier PARAMETER_PENALTY_ISSUECONCENTRATION used in the calculation of bidToOfferPickup and offerToBidPickup.

This penalty is applied to each instrument in accordance with the number of multiples of effectiveMinWeight that are held in the portfolio. The objective behind this parameter is to make it harder to increase a position as the existing position becomes a greater part of the total portfolio, so that it is harder to buy the nth minWeight block of any given instrument as n increases.

The value of this parameter is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox.

ISSUE_METHOD_WEIGHT_TOLERANCE
A constraint which sets the tolerance of issue weights above the ideal when calculating the trade size when using the issue method when numberSwapSecuritiesDesired parameter is non-zero. See maxWeightBuy and maxWeight.
issue method
A method of portfolio optimization in which the possible individual sales are paired with each each possible purchase and a decision regarding whether to trade or not is based solely on consideration of these two issues - the overall portfolio and its risk characteristics are not considered at all. Thus, a portfolio optimized in accordance with the "issue method" may, for instance, be holding only floating rate issues.

A trade is indicated if the following conditions are met:

Implementation of the "issue method" is affected by the value of the portfolio data record setting for desired swap issues - a non-zero constraint may be relaxed to allow such a portfolio to hold at least one issue affected by the constraint.

See also portfolio method.

issue price
The price at which the instrument was issued, that is, sold to investors directly by the company. This is the primary market for the shares; subsequent trading between investors is referred to as the secondary market. The issue price is normally equal to the par value of the shares; the few exceptions to this rule are usually deferred preferred shares.
issuers
The issuers are the companies who sell their stock on the primary market and receive the issue price from investors in return for agreeing to meet the obligations set forth in the prospectus. Their ability to meet these continuing obligations is estimated and quantified through their credit rating.
issueWeight
The cashValue of a particular issue in a portfolio divided by the portfolioCashValue. This value is listed on the reportSummary as holdingsWeight.
lift
To buy shares at the indicated offering price. cf. hit.
limit order
An order to execute a trade only at a certain price or better. This may result in obtaining only a partial fill or perhaps not executing the trade at all.

cf. market order.

liquidity
The ability to trade in an investment without affecting the market price. It may be possible, for instance, to buy 100 shares of Royal Bank at $50 instantly, but a large investor seeking to buy 100,000 shares immediately might have to pay $51 in order to have his order filled. If the larger investor had put in a limit order for 100,000 shares at $50, he might end the day with a fill of fewer shares, if any, than he wanted to buy.

See maxDaysToTrade and swap value for commentary on the application of this concept to HIMIPref™.

liquidityAverage
This value is used in the calculation of the liquidityMeasure. The prior day's values for the averageTradingValue of each instrument are obtained. An initial average value and standard deviation of these values is then computed, as the value vector. Subject to maintaining a count of at least YIELD_CURVE_COMPONENT_CALCULATION_MINIMUM_POINTS data points, outliers from this initial average deviating by more than (YIELD_CURVE_COMPONENT_CALCULATION_LIQUIDITY_MAXIMUM + 1) standard deviations are then removed from the value vector; the average and liquidityStandardDeviation are then computed from this revised value vector.

This value is reported in the yieldCurveReportBox.

liquidityContextMenu
Displayed when one of the following fields on the reportSummary is right-clicked:The following options are available:
liquidityMeasure Report Summary
A measure of the relative liquidity of the issues available for investment. This value is computed for each instrument when the values for liquidityAverage and liquidityStandardDeviation are known and is equal to:


Additionally, the absolute value of the result is reset to YIELD_CURVE_COMPONENT_CALCULATION_LIQUIDITY_MAXIMUM if the computed absolute value exceeds this figure.

This value is used in the computation of the yieldCurve in which, like a risk attribute, there is the possibility of the instrument's curvePrice being dependent upon the value of this attribue.

Right-clicking this field on the reportSummary displays the liquidityContextMenu.

liquidityMeasureCalculationReportBox Image
A dialog box available through the liquidityContextMenu on the reportSummary or the graphContextMenu|attributes context menu on the graphDocument.

Data displayed in this dialog box are:

liquidityMeasured Report Summary
True if the liquidityMeasure is a valid measurement - false if not.

Right-clicking this field on the reportSummary displays the liquidityContextMenu.

liquidityStandardDeviation
This calculated value is the standard deviation obtained in the calculation of the liquidityMeasure, as defined under that heading.

This value is reported in the yieldCurveReportBox.

liquidityValue Report Summary
HIMIPref™ 2006 the YIELD_CURVE_PREMIUM_LIQUIDITY curvePriceComponent, stored and reported separately for amortization in accordance with the liquidityLossAllowance.
listing
The process whereby a Stock Exchange allows its facilities to be used for trading of a particular issue.
Listing Date Report Summary
The first date the issue is traded on the exchange (see listing) and has a closing quotation available. The "listingDate" of an instrument is recorded in its instrumentDataRecord.

Right-clicking this field in the reportSummary will display the instrumentNameContextMenu.

This value may also be accessed via the instrumentDetailsBox.

long
"Long" is usually an adjective denoting ownership. Thus, if you own 100 shares of something, you are said to be "long" 100 shares. The word can also be used as a noun (e.g. "The longs expect interest rates to fall") and a verb (e.g. "We should be longing retractibles").
longDecayInfoDecay
An optimizableParameter with the identifier PARAMETER_CURVE_LONGDECAY_INFODECAY that is used as the dampingFactor when computing the exponential moving average of yieldCurveDecayLong, which is stored as averageDecayLong. See also trendDecayLong and volatilityDecayLong.

This parameter is reported in the analyticalParametersReportBox.

Long Name Report Summary
The long name of an issue is a 50-character representation of the legal name of the issue. The long names used in HIMIPref™ will generally, but not always, be the same as those reported by the Toronto Stock Exchange. These "long names" are recorded as an eponymous field in an instrumentDataRecord. See also short name.

Right-clicking this field in the reportSummary will display the instrumentNameContextMenu.

This value may also be accessed via the instrumentDetailsBox and the transactionReport.

longTermRateInfoDecay
An optimizable parameter with the identifier PARAMETER_CURVE_LONGTERMRATE_INFODECAY which defines the degree of damping in the exponential moving average of the yieldCurveLongTerm component of the yield curve. This average is referred to as averageLongTermRate; see also trendLongTermRate and volatilityLongTermRate.

This parameter is reported in the analyticalParametersReportBox.

lowVolumePenalty
A calculated value, used in the subsequent calculation of totalBuyCommission and applicable only when PARAMETER_TRADING_MAXDAYS is aggressively set to a value in excess of 1.0.

It is defined as:

If daysToTrade > 1, then
lowVolumePenalty = daysToTrade * commissionMinimum
otherwise
lowVolumePenalty = 0

This value is reported by the tradingFrictionAnalysisBox.

Macaulay Duration
As stated by Robert W. Kopprasch, Ph.D., CFA, in The Handbook of Fixed Income Securities, Second Edition, Dow Jones-Irwin, 1987, ISBN 0-87094-745-1, referencing Frederick Macaulay, Some Theoretical Problems Suggested by Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856, National Bureau of Economic Research, 1938,
...described a measure he called duration, which measures the weighted average time until cash flow payment. The weights are the present values of the cash flows themselves
so

"Macaulay Duration" = sum(w[i] * t[i]) / sum(w[i]

wherew[i] is the present value of the i'th cash flow, which becomes due at time t[i].


"Macaulay Duration" is a useful approximation of sensitivity to interest rates, but can give very misleading results when the yield curve changes shape. It is often used in the calculation of modified duration.

Note that the numerator in the equation above, sum(w[i] * t[i]), may be referred to as totalDollarDuration, while the denominator is presentValue.

"Macaulay Duration" may be reported in the durationCalculationBox.

macaulayDurationContextMenu

This menu is available on the reportSummary by right-clicking on the following fields:

It affords the following choices:

Macaulay Duration (Cost Method) at Ask Report Summary
This is the Macaulay Duration of the costAskDiscountingTable, in which embeddedOptions have been evaluated in accordance with cost method of option pricing.

Right-clicking this field in the reportSummary will display the macaulayDurationContextMenu.

Macaulay Duration (Cost Method) at Bid Report Summary Report Summary
This is the Macaulay Duration of the costBidDiscountingTable, in which the embeddedOptions have been evaluated in accordance with cost method of option pricing."Macaulay Duration (Cost Method) at Bid" is one of the riskAttributes considered by HIMIPref™.

Right-clicking this field in the reportSummary will display the macaulayDurationContextMenu.

A weighted average for a portfolio for this attribute is reported by the portfolioRiskReportBox.

Macaulay Duration (Port Method) at Bid Report Summary Report Summary
This is the weighted mean of the Macaulay Durations of the elements of the option calculation list, calculated at the bid price and weighted by the exercise probability of each of these elements.

It is one of the riskAttributes considered by HIMIPref™.

Right-clicking this field in the reportSummary will display the portDurationContextMenu.

A weighted average for a portfolio for this attribute is reported by the portfolioRiskReportBox.

mainMenu Image
The menu displayed when the programme starts. It provides access to the following sub-menus:
mainMenu|Admin
A popup menu accessible through the mainMenu. This menu gives access to administrative functions:
mainMenu|File
A popup menu accessible through the mainMenu. This menu gives access to major file-changing commands in the system
  • Next Business Day : changes the analyticalDate to the next business day. If there is no priced date following the current analyticalDate, the system is reset so the final effect is no change.
  • Select Business Day : allows selection of the analyticalDate via the dateInputBox
  • Print Setup : invokes the standard Windows Print Setup Dialog
  • Reset User Data Directory : Displays a standard windows Folder Selection Dialog box, for selection of the userDirectory
  • Help : displays this glossary item
  • Exit : Closes the programme
mainMenu|Help
A popup menu accessible through the mainMenu. The following choices are available:
mainMenu|Reports
A popup menu accessible through the mainMenu. This menu gives direct or indirect access to most of the reports produced by the system.
mainMenu|reports|activePortfolio
A popup menu accessible via the "activePortfolio" selection on the mainMenu|reports popup menu. Data displayed via this menu reflect the settings and calculations of the activePortfolio

The following choices are displayed:

mainMenu|reports|activePortfolio|futurePayments
A popup menu accessible via the "Future Payments" selection on the mainMenu|reports|activePortfolio popup menu. The following choices are displayed:

Note that futurePaymentRecords are currently defined only in the course of a simulation.

mainMenu|Research
A popup menu accessible through the mainMenu. This menu provides access to the research tools available in the programme. Options available are:
  • Graphs : opens the graphDocument
  • Help : displays this glossary item.
majorCreditRiskDistance
A calculated value used in the subsequent determination of riskCreditTrade.

It is defined as:

Note that a negative value implies an improving credit.

majorHoldingsRiskDistance
A calculated value used in the subsequent determination of riskCreditHoldings.

It is defined as:

Note that a negative value in the portfolioMethod implies that the portfolio has a better credit quality than the index.

market order
An order to execute a trade at whatever price is available in the market. This can often have fearsome consequences. If 100 shares of Royal Bank are offered at $50 and the only other offer on the exchanges books is for 100 shares at $60, it is entirely possible that a market order to buy 200 shares will lift both offers, resulting in an average cost of $55 per share. The investor has been filled, but perhaps at a cost much greater than he intended or expected.

cf. limit order.

Market Value Report Summary
The value of the issue held in the activePortfolio, equal to:

This value is reported by the portfolioReportBox.

marketValues
A table in the permanentDatabase consisting of priceDataRecords.
marginal tax rate
The rate of tax payable on additional income beyond that already declarable by the taxpayer, e.g. if an investor has a base income of $100,000 p.a., on which taxes of $35,000 are payable, but additional income is taxed at 50%, then the marginal tax rate is 50%. An investor with employment income of $100,000 will face different marginal rates on investment income than will an investor with employment income of $40,000, all else being equal. There are three marginal rates of interest in the analytical system, applicable to
maturity
The date on which the issuer is compelled to return the invested funds to the investor, as specified in the prospectus. This is an example of a reorganization and is recorded in the optionCalculationList with a maturityFlag of MATURITY_TYPE_HARDMATURITY.

Other possibilities which give rise to the same effect are listed under maturityFlag.

MATURITY_CALCULATION_LIMIT_RECURSION
A constraint that limits the number of recursions that will be attempted in the course of calculating the optionCalculationList. If this count is exceeded an error results.
MATURITY_CALCULATION_LIMIT_YEARS
A constraint which sets the upper limit on the number of years an issue may be considered to be outstanding. At the end of this period, the analytical calculations assume that the issue is matured at the ultimateMaturityPrice. See optionCalculationList for the computational algorithm.
maturityContextMenu
A context menu available on the reportSummary. It allows the following choices:

This menu is available on the reportSummary by right-clicking the following fields:

maturity date
The date on which the investor receives the maturity price in exchange for his holding. This may be either a calculated or defined date, according to context. See maturity and optionCalculationList.

The "maturity date" of each element of the optionCalculationList is reported in the pseudoPortfolioReportBox and the maturityDetailsBox.

maturityDetailsBox Image
A dialog box accessible through the cashFlowDiscountingAnalysisBox, the "Maturity Details" selection on the graphContextMenu|attributes context menu and the maturityContextMenu, which provides information regarding the deemed maturity of the element of the optionCalculationList to which the box refers.

Data reported in this box are:

maturity flag
The "maturity flag" is a variable used in the process of calculating the option calculation list. It may take any of the following enumerated values:

The value of the "maturity flag" on a particular option element records the nature of the option element. The values marked with an asterisk (*) are final maturities.

The "maturity flag" of each option element is reported in the pseudoPortfolioReportBox and the maturityDetailsBox.

MaturityNoticePeriod
The notice that must be given to the counterparty of an embeddedOption when it is exercised. Its value is:
optionType "maturityNoticePeriod" (days)
OPTION_TYPE_PUT MATURITY_NOTICE_PERIOD
OPTION_TYPE_CALL MATURITY_NOTICE_PERIOD
OPTION_TYPE_MATURITY 0
MATURITY_NOTICE_PERIOD
A constraint in the programming specifying the number of day's notice that is assumed to be required between determining that an issue is to be redeemed and actually redeeming it.
maturity price
The value which is to be received by the holder of an issue upon the maturity of an issue on its maturity date. This value may have been specified in the prospectus, or it may have been calculated for analytical purposes in the preparation of the optionCalculationList.

This datum is reported on the maturityDetailsBox.

MATURITYTYPE_CALL
A maturity flag which indicates that the tagged entry in the option calculation list exists solely because the optionType of the optionDataRecord that gave rise to the entry was OPTION_TYPE_CALL with an exercise probability exceeding the cumulative prior call probability by more than OPTION_EXERCISE_CALCULATION_INCREMENT_PROBABILITY.
MATURITYTYPE_ERROR
A maturity flag which indicates that an error has occurred during the creation of the option calculation list.
MATURITYTYPE_HARDMATURITY
A maturity flag which indicates that the tagged entry in the option calculation list exists solely because the optionType of the optionDataRecord that gave rise to the entry was OPTION_TYPE_MATURITY, i.e., that the maturity is mandated by the prospectus.
MATURITYTYPE_LIMITMATURITY
A maturity flag which indicates that the tagged entry in the option calculation list exists solely because the date is MATURITY_CALCULATION_LIMIT_YEARS years away from the calculation date.
MATURITYTYPE_OPTIONCERTAINTY
A maturity flag which indicates that the tagged entry in the option calculation list exists because the exercise of the embedded options of the instrument has become certain. Exercise is deemed to have become certain when the cumulative probability of embedded options has exceeded the value 1.00 - OPTION_EXERCISE_CALCULATION_INCREMENT_PROBABILITY.
MATURITYTYPE_PUT
A maturity flag which indicates that the tagged entry in the option calculation list exists solely because the optionType of the optionDataRecord that gave rise to the entry was OPTION_TYPE_PUT with an exercise probability exceeding the cumulative prior put probability by more than OPTION_EXERCISE_CALCULATION_INCREMENT_PROBABILITY.
MATURITYTYPE_SOFTMATURITY
This maturity flag indicates that a put is due to become exercisable during or after the term of a call and at a higher price than this call. The analytical system then assumes that the call is certain to be exercised as a soft maturity. This is a finalMaturity.
MATURITYTYPE_UNDEFINED
A maturity flag which indicates that the option calculation list has not yet completed analysis of the entry.
maxDaysToTrade
A constraint which usually acts in conjunction with averageTradingValue to determine the expected liquidity of an issue.

If "maxDaysToTrade" is set to 0.5, for example, the implication for simulation purposes is that an amount of shares equal to half the average daily trading value of the issue may be reasonably expected to be sold at the bid price.

MAX_PRICE_MOVEMENT_SCALING_EXPONENT
A constraint used in the calculation of PRICE_MOVEMENT_SCALING_VOLATILITY to enforce an upper limit to the value

PARAMETER_INSTRUMENT_VALUATION_VOLATILITYMODIFIER * flatBidPrice-volatility / flatBidPrice-spot.
maximum slope algorithm
An algorithm used in the course of a simulation to determine which of the many optimizable parameters should be varied next.

Upon completion of each simulation, the following steps are taken:

MAX_TRADES_DAILY
A constraint which limits the number of trades which may be indicated daily in the course of a simulation.
maxWeight
A constraint defined in a constraintSpecificationRecord which is used in the calculation of tradeSize to limit the maximum weight of any single issue in the portfolio. Its identifier is PARAMETER_PORTFOLIO_MAXWEIGHT. In the issue method, this value is superseded by:

"revised maxWeight" = (1 + ISSUE_METHOD_WEIGHT_TOLERANCE) * (1 / desiredSwapIssues)
.

Restrictions on the value of "maxWeight" are:

  • Must be greater than 0.0
  • Must be less than or equal to 1.0
  • Must be greater than minWeight

See also maxWeightBuy.

This parameter is reported in the analyticalParametersReportBox.

maxWeightBuy
A temporary variable used in the calculation of tradeSize. In the portfolio method, it is:

maxWeightBuy = PARAMETER_PORTFOLIO_MAXWEIGHT - [Current holdings weight] - priorBought (as a percentage)


In the issue method, it is:



In either case, if the optimizable parameter PARAMETER_PENALTY_ISSUECONCENTRATION is non-zero, "maxWeightBuy" is capped at twice the value of the constraint PARAMETER_PORTFOLIO_MINWEIGHT per iteration in a tradeIteration.

maxWeightCreditClass2
A constraint defined within a constraintSpecificationRecord which is used in the calculation of tradeSize. Its identifier is PARAMETER_PORTFOLIO_MAXWEIGHT_CREDITCLASS2. It is used to set limits on the proportion of the portfolio which has the YIELD_CURVE_PREMIUM_CREDIT_CLASS_2 riskAttribute.

If the value is between 0 and 1, the value represents the upper limit on the weight of the riskAttribute in the portfolio, although in the issueMethod the value may be superseded by 1 / desiredSwapIssues if this value is larger.

If the value is between 1 and 2, the value represents 1 + the lower limit on the weight of the riskAttribute in the portfolio.

If the value is exactly 1, the parameter has no effect.

If the value is exactly 0, the portfolio is not permitted to hold issues with this riskAttribute.

This parameter is reported in the analyticalParametersReportBox.

maxWeightCreditClass3
A constraint defined in a constraintSpecificationRecord which is used in the calculation of tradeSize. Its identifier is PARAMETER_PORTFOLIO_MAXWEIGHT_CREDITCLASS3. It is used to set limits on the proportion of the portfolio which has the YIELD_CURVE_PREMIUM_CREDIT_CLASS_3 riskAttribute.

If the value is between 0 and 1, the value represents the upper limit on the weight of the riskAttribute in the portfolio, although in the issueMethod the value may be superseded by 1 / desiredSwapIssues if this value is larger.

If the value is between 1 and 2, the value represents 1 + the lower limit on the weight of the riskAttribute in the portfolio.

If the value is exactly 1, the parameter has no effect.

If the value is exactly 0, the portfolio is not permitted to hold issues with this riskAttribute.

This parameter is reported in the analyticalParametersReportBox.

maxWeightCumulativeDividends
A constraint defined in a constraintSpecificationRecord which is used in the calculation of tradeSize. Its identifier is PARAMETER_PORTFOLIO_MAXWEIGHT_CUMULATIVEDIVIDENDS. It is used to set limits on the proportion of the portfolio which has the YIELD_CURVE_PREMIUM_CUMULATIVEDIVIDENDS riskAttribute.

If the value is between 0 and 1, the value represents the upper limit on the weight of the riskAttribute in the portfolio, although in the issueMethod the value may be superseded by 1 / desiredSwapIssues if this value is larger.

If the value is between 1 and 2, the value represents 1 + the lower limit on the weight of the riskAttribute in the portfolio.

If the value is exactly 1, the parameter has no effect.

If the value is exactly 0, the portfolio is not permitted to hold issues with this riskAttribute.

This parameter is reported in the analyticalParametersReportBox.

maxWeightFloatingRate
A constraint defined in a constraintSpecificationRecord which is used in the calculation of tradeSize. Its identifier is PARAMETER_PORTFOLIO_MAXWEIGHT_FLOATINGRATE. It is used to set limits on the proportion of the portfolio which has the YIELD_CURVE_PREMIUM_FLOATINGRATE riskAttribute.

If the value is between 0 and 1, the value represents the upper limit on the weight of the riskAttribute in the portfolio, although in the issueMethod the value may be superseded by 1 / desiredSwapIssues if this value is larger.

If the value is between 1 and 2, the value represents 1 + the lower limit on the weight of the riskAttribute in the portfolio.

If the value is exactly 1, the parameter has no effect.

If the value is exactly 0, the portfolio is not permitted to hold issues with this riskAttribute.

This parameter is reported in the analyticalParametersReportBox.

maxWeightInterestPay
A constraint which is used in the calculation of tradeSize. Its identifier is PARAMETER_PORTFOLIO_MAXWEIGHT_INTERESTPAY. It is used to set limits on the proportion of the portfolio which has the YIELD_CURVE_PREMIUM_INTERESTINCOME riskAttribute.

If the value is between 0 and 1, the value represents the upper limit on the weight of the riskAttribute in the portfolio, although in the issueMethod the value may be superseded by 1 / desiredSwapIssues if this value is larger.

If the value is between 1 and 2, the value represents 1 + the lower limit on the weight of the riskAttribute in the portfolio.

If the value is exactly 1, the parameter has no effect.

If the value is exactly 0, the portfolio is not permitted to hold issues with this riskAttribute.

This parameter is reported in the analyticalParametersReportBox.

maxWeightIssuerClass2
A constraint defined in a constraintSpecificationRecord which is used in the calculation of tradeSize. Its identifier is PARAMETER_PORTFOLIO_MAXWEIGHT_ISSUERCLASS2. It is used to set limits on the proportion of the portfolio which has been issued by a single issuer with the YIELD_CURVE_PREMIUM_CREDIT_CLASS_2 riskAttribute.

If the value is between 0 and 1, the value represents the upper limit on the weight of the riskAttribute in the portfolio, although in the issueMethod the value may be superseded by 1 / desiredSwapIssues if this value is larger.

If the value is between 1 and 2, the value represents 1 + the lower limit on the weight of the riskAttribute in the portfolio.

If the value is exactly 1, the parameter has no effect.

If the value is exactly 0, the portfolio is not permitted to hold issues with this riskAttribute.

Constraints on this value are:

This parameter is reported in the analyticalParametersReportBox.

maxWeightIssuerClass3
A constraint defined in a constraintSpecificationRecord which is used in the calculation of tradeSize. Its identifier is PARAMETER_PORTFOLIO_MAXWEIGHT_ISSUERCLASS3. It is used to set limits on the proportion of the portfolio which has been issued by a single issuer with the YIELD_CURVE_PREMIUM_CREDIT_CLASS_3 riskAttribute.

If the value is between 0 and 1, the value represents the upper limit on the weight of the riskAttribute in the portfolio, although in the issueMethod the value may be superseded by 1 / desiredSwapIssues if this value is larger.

If the value is between 1 and 2, the value represents 1 + the lower limit on the weight of the riskAttribute in the portfolio.

If the value is exactly 1, the parameter has no effect.

If the value is exactly 0, the portfolio is not permitted to hold issues with this riskAttribute.

This parameter is reported in the analyticalParametersReportBox.

maxWeightRetractible
A constraint defined in a constraintSpecificationRecord which is used in the calculation of tradeSize. Its identifier is PARAMETER_PORTFOLIO_MAXWEIGHT_RETRACTIBLE. It is used to set limits on the proportion of the portfolio which has the YIELD_CURVE_PREMIUM_RETRACTIBLE riskAttribute.

If the value is between 0 and 1, the value represents the upper limit on the weight of the riskAttribute in the portfolio, although in the issueMethod the value may be superseded by 1 / desiredSwapIssues if this value is larger.

If the value is between 1 and 2, the value represents 1 + the lower limit on the weight of the riskAttribute in the portfolio.

If the value is exactly 1, the parameter has no effect.

If the value is exactly 0, the portfolio is not permitted to hold issues with this riskAttribute.

Restrictions on the value of this constraint are:

This parameter is reported in the analyticalParametersReportBox.

maxWeightSplitShareCorp
A constraint which is used in the calculation of tradeSize. Its identifier is PARAMETER_PORTFOLIO_MAXWEIGHT_SPLITSHARECORP. It is used to set limits on the proportion of the portfolio which has the YIELD_CURVE_PREMIUM_SPLITSHARECORP riskAttribute.

If the value is between 0 and 1, the value represents the upper limit on the weight of the riskAttribute in the portfolio, although in the issueMethod the value may be superseded by 1 / desiredSwapIssues if this value is larger.

If the value is between 1 and 2, the value represents 1 + the lower limit on the weight of the riskAttribute in the portfolio.

If the value is exactly 1, the parameter has no effect.

If the value is exactly 0, the portfolio is not permitted to hold issues with this riskAttribute.

This parameter is reported in the analyticalParametersReportBox.

meanPresentValue
Also referred to (and listed on the Report Summary) as curvePrice, the "meanPresentValue" is a calculated value determined after the yield curve has been computed.

It is defined as:

"meanPresentValue" = (presentValueCurveBid + presentValueCurveAsk) / 2

The "meanPresentValue" is used in the computation of priceDisparity and curvePriceComponents.

memoryReportBox Image
A dialog box providing basic information regarding memory usage. It is accessible via the "Memory Report" selection on the mainMenu|Help menu.

There are three parts to the report:

  • Header :
    • Bytes allocated through MALLOC : reports allocation through this low-level standard function
    • Bytes de-allocated : The number of bytes originally allocated through MALLOC that have now been released
    • Total Bytes in use (including classes) : The total number of bytes, allocated either through "malloc" or "new", that have not yet been released.
  • Class Information : Each line reports, in order:
    • The C++ class name
    • The results of the "sizeof" function operating on the class (size in bytes)
    • Instances of creation ("new")
    • Instances of destruction ("delete")
  • Footer : A listing of MALLOC memory currently allocated, counted separately by size in bytes from 1-500. The line labelled "0 bytes" actually sums all outstanding allocations of memory through MALLOC in excess of 500 bytes.

Sorting of the class information is enabled through the radio buttons:

  • Alphabetically : sorts alphabetically by class name
  • Gross Memory Usage : The total number of creations multiplied by the size
  • Net Memory Usage : The net number of creations, multiplied by the size
  • Class Size : sorted by size
  • Gross class incidence : sorted by number of creations

The report may be printed or saved to disk (as a text file) through clicking the indicated button. The "Help" button displays this glossary item.

messageBox
A dialog box containing information that has been deemed useful to the user, produced as needed by HIMIPref™. If the information is not self-explanatory, clicking the "Help" button will open a web browser to errorMessages.html, which may contain further information.

The message contained in the "messageBox" is stored in the errorOutput.txt file on the user's machine.

minCostBidPseudoModifiedDurationBuy
An optimizableParameter with the identifier PARAMETER_PORTFOLIO_MINCOSTBIDPSEUDOMODIFIEDDURATIONBUY used in the calculation of tradeSize.

If the pseudoModifiedDurationCost of the instrument being examined for possible purchase is less than "minCostBidPseudoModifiedDurationBuy", the size of the trade is set to zero and examination of the trade halted via the procedure eligibleForPurchase.

There are no constraints on the value of this parameter.

This parameter is reported in the analyticalParametersReportBox.

minorCreditRiskDistance
A calculated value used in the subsequent determination of riskCreditTrade.

It is defined as:

Note that a negative value implies an improving credit.

minorHoldingsRiskDistance
A calculated value used in the subsequent determination of riskCreditHoldings.

It is defined as:

Note that a negative value in the portfolioMethod implies that the portfolio has a better credit quality than the index.

minWeight
A constraint defined in a constraintSpecificationRecord with the identifier PARAMETER_PORTFOLIO_MINWEIGHT that is used in the calculation of tradeSize.

In the issueMethod with a set number of numberSwapSecuritiesDesired, the effectiveMinWeight used in calculations is one-half the inverse of numberSwapSecuritiesDesired, if such number is larger.

Restrictions on the value of "minWeight" are:

  • 0.0 < "minWeight"
  • "minWeight" ≤ 1.0
  • "minWeight" < maxWeight

This parameter is reported in the analyticalParametersReportBox.

minWorstBidPseudoModifiedDurationBuy
An optimizableParameter with the identifier PARAMETER_PORTFOLIO_MINWORSTBIDPSEUDOMODIFIEDDURATIONBUY used in the calculation of tradeSize.

If the pseudoModifiedDurationWorstBid of the instrument being examined for possible purchase is less than "minWorstBidPseudoModifiedDurationBuy", the size of the trade is set to zero and examination of the trade halted via the procedure eligibleForPurchase.

There are no constraints on the value of this parameter

minYTWModifiedDurationBuy
An optimizableParameter with the identifier PARAMETER_PORTFOLIO_MINYTWMODIFIEDDURATIONBUY used in the calculation of tradeSize.

If the ytwModifiedDuration of the instrument being examined for possible purchase is less than "minWorstBidPseudoModifiedDurationBuy", the size of the trade is set to zero and examination of the trade halted by the procedure eligibleForPurchase.

There are no constraints on the value of this parameter.

This parameter is reported in the analyticalParametersReportBox.

modified duration
"Modified Duration" is considered to provide
a good estimate of the volatility or sensitivity of the market value of a bond portfolio to changes in interest rates
--Robert W. Kopprasch, Ph.D., C.F.A., in The Handbook of Fixed Income Securities, Second Edition, Dow Jones-Irwin, 1987, ISBN 0-87094-745-1, citing J. R. Hicks, Value and Capital, Oxford: Clarendon Press 1939.
It is defined as

"Modified Duration" = Macaulay Duration / (1 + (y/f))
wherey = yield to maturity (in decimal form)
and f = discounting periods per year.


It has the property that

percentage price change = - "modified duration" * yield change (in absolute percentage points)


In practice, however, "modified duration" is only a very rough guide to price behaviour. Its primary fault is that the theory depends upon a flat yield curve with only parallel shifts in rates; a further fault particularly with reference to the preferred share market is that the theory ignores embedded options.

Therefore, HIMIPref™ makes extensive use of proprietary measures such as pseudoModifiedDurationCost, which derive the so-called pseudo-modified-duration from empirical relationships between price and yield using various models to price the embedded options.

See also ytwModifiedDuration.

Modified Duration - YTW Report Summary Report Summary
The title used when listing ytwModifiedDuration on the reportSummary.

Right-clicking this field in the reportSummary will display the portYieldContextMenu.

multipleStringSelectionBox Image
An input box that allows for the selection of multiple strings.
  • To select all strings: click the "Select All >>" button
  • To de-select all strings: click the "<<Deselect All" button
  • To select one string: double-click on a string in the left-hand ("Not Selected" panel to highlight the desired string, then click the "Select >" button
  • To deselect one string: double-click on a string in the right-hand ("Selected") panel to highlight the string to be de-selected, then click the "< De-Select" button

When all desired strings have been selected, click the "OK" button.

multipleTradeReportBox Image
A dialog box accessable via the "Iterated Trade" selection of the tradeMenu|Reports menu on the tradeReport.

All recommended trades determined through the tradeIteration are displayed; the following data are displayed for each trade:

netCash
A field in a transactionDataRecord that records the change in cashAndEquivalents that results from the transaction denoted by the transactionDataRecord. This datum may be viewed on the transactionReport.
net cash flow effect
A calculated value used in the calculation of the cost method of option pricing. It is defined as:

"netCashFlowEffect" = rawCashFlowEffect - priorCashFlowEffect

subject to

Calls: A maximimum value of zero
Puts: A minimum value of zero

This value is reported in the optionCashFlowEffectAnalysisBox.

netValueSizeAdjustment
Equal to valueSizeAdjustmentBuy - valueSizeAdjustmentSell.

Values of "netValueSizeAdjustment" for all trades examined may be viewed on the tradeReport via the "View|Net ValueSizeAdjustment" selection on the tradeMenu.

Note that these data are not transmitted from the server to the client unless requested; hence, there will normally be a delay in producing this view while details of any trades not yet recovered are incorporated into the client data.

newcash
A field in the reorganization database specifying the cash which will be received by the holder of the security specified by oldcode in accordance with the terms of the transaction specified by the record.
newcode
A field in the reorganization database specifying the securityCode of the issue to be received according to the terms of the transaction specified by the record.
newshares
A field in the reorganization database specifying the number of shares (of the issue specified by newcode) which are to be received by the holder in accordance with the terms of the transaction specified by the record.
Next Dividend Recorded (Flat Value) Report Summary
A boolean value recorded during the calculation of flatBidPrice / flatAskPrice. If "nextDividendRecorded" is true, this indicates that the values Next ex-date (FlatValue) and Next pay-date (FlatValue) were recovered from a dividendRecord; if false, the data were calculated from Prev. ex-Date (FlatValue) and Prev. pay-date (flat value).

Right-clicking this field in the reportSummary displays the flatValueContextMenu.

This value is reported in the flatValueDerivationBox.

Next ex-Date Report Summary
This value may be either calculated or taken from the applicable dividend record and is the next ex-date following the current analytical date.

If calculation is required, the "next ex-date" is presumed to be one dividend interval following the most recent ex-date.

Right-clicking this field in the reportSummary will display the dividendRateContextMenu.

Next ex-date (FlatValue) Report Summary
The ex-date immediately following the calculation date used in the calculation of flatBidPrice / flatAskPrice. At least of Prev. ex-Date (FlatValue) and "Next ex-date (FlatValue)" must be taken from a dividendRecord or all calculations will cease.

This date should always be the same as Next ex-Date.

Right-clicking this field in the reportSummary displays the flatValueContextMenu.

This value is reported in the flatValueDerivationBox.

Next pay-date (FlatValue) Report Summary
The payDate corresponding to Next ex-date (FlatValue). This value will often be extracted from a dividendRecord - if no such record exists, then this date is set to be one dividendInterval following prevPayDate.

Right-clicking this field in the reportSummary displays the flatValueContextMenu.

This value is reported in the flatValueDerivationBox.

normalized option cost values
A calculated value used in the cost method of option pricing. It is simply the set of net cash flow effects, where the sequence of possibilities in the optionCalculationList has been checked such that the cumulative probability of exercise reaches 1.0 with the consideration of the maturity entry.
normalizedVolatilityForPeriod
A calculated value used in the subsequent calculation of periodVolatility.

It is defined as

"normalizedVolatilityForPeriod" = DAILY_VOLATILITY_INSTRUMENT_PERCENT * (daysToExercise^DAILY_VOLATILITY_CONVERSION_EXPONENT) * (volatilityDampingFactor^VOLATILITY_AMORTIZATION_EXPONENT)

where

"daysToExercise" is the number of days from the calculation date to the option exercise date
normal probability
An approximation of the normal integral, calculated in accordance with equation 26.2.17 of The Handbook of Mathematical Functions, Abrahamowitz & Stegun, editors, Dover, USA 1965, reprint of National Bureau of Standards 1964.

This function is supplied with a single input, either positive or negative, defining the number of standard deviations from the mean from where the integration of the normal distribution curve is to commence. Therefore, an input of zero will result in 0.5. An input of one will result in a fraction equal to the proportion of trials which may be expected to be more than one standard deviation above the mean, given a normal distribution.

notice period
The period which elapses between one party (either the investor or the issuer) irrevocably declaring that a particular right will be exercised and the effects of that exercise occuring. For example, issuers are usually required to provide thirty days notice of redemptions.
numberSwapSecuritiesDesired
A constraint which specifies, oddly enough, the number of securities desired to be held in a portfolio optimized by the issue method. It is used throughout the calculation of trade size and its inverse may over-ride the setting of the following parameters, if this value is greater than the set figure:.

See also desired swap issues.

Ontario Securities Commission (OSC)
This is the securities commission for Ontario. It maintains a website with further information and is a member of the CSA.
offer
A synonym for ask.
offerToBidPickup
A calculated value used in the subsequent calculation of tradeScore, which presumes that the instrument sold may be sold at the ask while the instrument bought can be bought at the bid. It is calculated as:

This value is reported in the bestTradesReportBox and the tradeEvaluationReportBox.The calculation of this value is shown in the pickupCalculationBox.

oldcash
A field in the reorganization database, this value specifies the cash to be paid by the holder of the security specified by oldcode as part of the transaction specified by the record. For example, if the security held was a warrant entitling the holder to purchase one share (specified by newcode) for $15.00, "oldcash" would be 15.00.
oldcode
A field in the reorganization database, this value gives the security code of the instrument that is being affected by the reorganization in question.
oldshares
A field in the reorganization database, this value gives the number of shares (specified by oldcode that will be given up in accordance with the terms of the transaction.
Optimizable Parameters
These parameters are used to weight the values of the issue's attributes in order to determine a valuation for the security given its fundamental attributes and pricing data. For example, one may construct a valuation model for common shares in which the valuation, V, is determined by:

V = a*earningsYield + b*dividendYield

In such a model, one could vary the values of a and b in order to achieve a consistent determination of V that would serve as a predictor for relative future returns.

There are many optimizable parameters in the analytical methodology:
CLASS_PARAMETER_REVERSION
CLASS_PARAMETER_INSTRUMENTAVERAGING
CLASS_PARAMETER_CURVEAVERAGING
CLASS_PARAMETER_PENALTY
CLASS_PARAMETER_OPTIMIZABLE_SLOW
CLASS_PARAMETER_OPTIMIZABLE_FAST
CLASS_PARAMETER_SYSTEM
CLASS_PARAMETER_PORTFOLIO
CLASS_PARAMETER_DOUBLE
CLASS_PARAMETER_TRADE
CLASS_PARAMETER_INSTRUMENT_VALUATION_SCALING
CLASS_PARAMETER_INSTRUMENT_RISK
CLASS_PARAMETER_INSTRUMENT_AVERAGES
CLASS_PARAMETER_INSTRUMENT_VALUATION
CLASS_PARAMETER_CURVEFITTING
Parameter Minimum Maximum
baseRateInfoDecay 0 1                      
shortTermRateInfoDecay 0 1
longTermRateInfoDecay
shortDecayInfoDecay
longDecayInfoDecay
premiumInterestIncomeInfoDecay
premiumCumulativeDividendsInfoDecay
premiumSplitShareCorpInfoDecay
premiumRetractibleInfoDecay
premiumCreditClass2InfoDecay
premiumCreditClassHighInfoDecay
premiumCreditClassLowInfoDecay
instrumentVolumeInfoDecay
instrumentPriceSpreadInfoDecay
instrumentCurrentYieldBidInfoDecay
instrumentPortBidYieldInfoDecay
instrumentPortAskYieldInfoDecay
instrumentCostBidYieldInfoDecay
instrumentCostAskYieldInfoDecay
instrumentPriceDisparityInfoDecay
instrumentYieldDisparityInfoDecay
instrumentFlatBidPriceInfoDecay
instrumentFlatAskPriceInfoDecay
instrumentBidYieldToWorstInfoDecay
instrumentCurrentYieldReversionSpeed
instrumentPortYieldReversionSpeed
instrumentCostYieldReversionSpeed
instrumentYieldToWorstReversionSpeed
instrumentPriceDisparityReversionSpeed
instrumentYieldDisparityReversionSpeed
instrumentFlatPriceReversionSpeed
instrumentCurrentYieldValuation
instrumentPortYieldValuation
instrumentCostYieldValuation
instrumentYieldToWorstValuation
instrumentPriceDisparityValuation
instrumentYieldDisparityValuation
curveBaseRateReversionSpeed
curveShortTermReversionSpeed
curveLongTermReversionSpeed
curveInterestIncomeReversionSpeed
curveCumulativeDividendsReversionSpeed
curveSplitShareReversionSpeed
curveRetractibleReversionSpeed
curveLiquidityReversionSpeed
riskRetractible
riskSplitShareCorp
riskCumulativeDividends
riskPaymentsAreDividends
riskCreditClass2
riskCreditClassHigh
riskCreditClassLow
riskMacaulayDurationPort
riskPseudoModifiedDurationPort
riskPseudoConvexityPort
riskMacaulayDurationCost
riskPseudoModifiedDurationWorst
riskPseudoModifiedDurationCost
riskPseudoConvexityCost
riskYTWModifiedDuration
pickupOptimal
tradingMaxDays
issuanceCost
minCostBidPseudoModifiedDurationBuy
minWorstBidPseudoModifiedDurationBuy
minYTWModifiedDurationBuy
instrumentCurveBidYieldInfoDecay
instrumentCurveAskYieldInfoDecay
instrumentCurveYieldReversionSpeed
instrumentCurveYieldValuation
optionDoubtPenalty
issueConcentrationPenalty
dividendCapture
premiumLiquidityInfoDecay
riskCreditClass3
riskFloatingRate
curveCreditClass2ReversionSpeed
curveCreditClass3ReversionSpeed
curveCreditClassHighReversionSpeed
curveCreditClassLowReversionSpeed
curveFloatingRateReversionSpeed
premiumCreditClass3InfoDecay
premiumFloatingRateInfoDecay
ratchetYieldInfoDecay
instrumentValuationVolatilityModifier
valueSizeAdjust
rewardInconsistencyAdjust
parentPriceInfoDecay
parentPriceExponent
parentPriceThreshold
instrumentAskYieldToWorstInfoDecay

OPTIMIZATION_ISSUE_NOTIONAL_CASH
A constraint setting the minimum liquidity below which a potential swap is not even of theoretical interest. See swap value.
optimizationType
A constraint defined within a constraintSpecificationRecord with the identifier CONSTRAINT_OPTIMIZATIONTYPE, that specifies whether the portfolio to which it applies (as defined by the constraintsID field of a portfolioDataRecord is to be analyzed for trades according to the issueMethod (integral value of 1) or the portfolioMethod (integral value of 2). Other values of this enumerated type are used only in the course of simulations.
OPTIMIZE_PARAMETERS_ISSUE
A value of parameterOptimizationType indicating that the portfolio is to be analyzed according to the issueMethod.
OPTIMIZE_PARAMETERS_NULL
A value of parameterOptimizationType indicating that a final selection for the variable so designated has not yet been made.
OPTIMIZE_PARAMETERS_PORTFOLIO
A value of parameterOptimizationType indicating that the portfolio is to be analyzed according to the portfolioMethod.
option
(i) The owner (long) of an "option" has the right to buy (if the option is a call) or sell (if the option is a put) the described securities at a specified price during a specified period in the future. The seller (short) of the option has the obligation to fulfill the bargain upon exercise by the owner. Most, if not all, options in preferred share analysis are embedded options).

(ii) A field in an optionDataRecord specifying the optionType.

This datum is reported in the embeddedOptionsBox.

optionCalculationList
The "optionCalculationList" is used in the calculation of portfolio-method yields, among other things. It attempts to represent a single instrument with a portfolio of possibilities based on the instrument's embedded options in a self-consistent manner. The initial conditions are set such that.

The list is created in the following manner:

The result of this calculation is a set of self-consistent possibilities for the term to maturity of the instrument, each of which have an associated probability of coming to pass. Note that the termToMaturity possibility of the longest term must have a finalMaturity maturityFlage.

The contents of the "optionCalculationList" are reported in the pseudoPortfolioReportBox.

optionCashFlowEffectAnalysisBox Image
A dialog box accessable from a cashFlowDiscountingAnalysisBox.

Information provided in this box is:

See costMethodOptionPricing and curve method of option pricing.

optionCertainty
See MATURITYTYPE_OPTIONCERTAINTY
OPTION_CERTAINTY_MATURITY_TOLERANCE
A constraint which defines the maximum allowable difference between successive self-consistent maturity dates in the calculation of the optionCalculationList. Should this limit be exceeded, the calculation must be reiterated.
optionDataRecord
A record contained within the putCallInfo table of the permanentDatabase specifying the provisions of the prospectus with respect to an embeddedOption in standardized form.

This record contains the following fields:

"OptionDataRecords" are reported in the embeddedOptionsBox.

option exercise
The decision by the party with the right to decide as to the disposition of an option to give effect to the option's provisions, rather than letting the option lapse.
OPTION_EXERCISE_CALCULATION_INCREMENT_PROBABILITY
A constraint which defines .
optionDoubt Report Summary
A calculated value used in the subsequent calculation of PENALTY_COMPONENT_OPTIONDOUBT.

Once the calculation of the optionCalculationList has been completed, the components of this list are examined and a data set consisting of the presumed maturities of these components and their associated probabilities is determined. "optionDoubt" is the weighted standard deviation of these maturities dates in terms of years.

This value seeks to quantify the uncertainty regarding the validity of the underlying rewardComponentsBid / rewardComponentsAsk vector, which might be expected to change drastically if there is a wide range of possible terms in the optionCalculationList.

See also optionDoubtPenalty.

Right-clicking this field on the reportSummary displays the valuationContextMenu.

optionDoubtPenalty
An optimizableParameter with the identifier PARAMETER_PENALTY_OPTIONDOUBT which is used to calculate the PENALTY_COMPONENT_OPTIONDOUBT penaltyComponent.

"optionDoubtPenalty" is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox.

See also optionDoubt

optionType
A flag stored in the option field of an optionDataRecord specifying which party to the issue has the right to exercise the option during its effective period.

These flags are:

"Option Types" are reported in the optionCashFlowEffectAnalysisBox.

OPTION_TYPE_CALL
An enumerated value of optionType which indicates that the optionDataRecord for which it sets the option field is a call.
OPTION_TYPE_MATURITY
An enumerated value of optionType which indicates that the optionDataRecord for which it sets the option field is a maturity.

See also MATURITYTYPE_HARDMATURITY.

OPTION_TYPE_PUT
An enumerated value of optionType which indicates that the optionDataRecord for which it sets the option field is a put.
parameterClassType
An enumerated type used to characterize groups of optimizableParameters for display and internal purposes. Members of this type are:
PARAMETER_CURVE_BASERATE_INFODECAY
The identifier for the optimizableParameter baseRateInfoDecay.

See also systemConstantsRecord and yieldCurveBaseRate.

PARAMETER_CURVE_BASERATE_REVERSIONSPEED
The identifier for curveBaseRateReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_CURVE_CREDIT_CLASS_2_INFODECAY
The identifier for premiumCreditClass2InfoDecay. See also yieldCurve.
PARAMETER_CURVE_CREDITCLASS2_REVERSIONSPEED
The identifier for curveCreditClass2ReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_CURVE_CREDIT_CLASS_3_INFODECAY
The identifier for premiumCreditClass3InfoDecay. See also yieldCurve.
PARAMETER_CURVE_CREDITCLASS3_REVERSIONSPEED
The identifier for curveCreditClass3ReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_CURVE_CREDITCLASSHIGH_REVERSIONSPEED
The identifier for curveCreditClassHighReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_CURVE_CREDITCLASSLOW_REVERSIONSPEED
The identifier for curveCreditClassLowReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_CURVE_CUMULATIVEDIVIDENDS_REVERSIONSPEED
The identifier for curveCumulativeDividendsReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_CURVE_FLOATINGRATE_INFODECAY
The identifier for premiumFloatingRateInfoDecay.

See also yieldCurve.

PARAMETER_CURVE_FLOATINGRATE_REVERSIONSPEED
The identifier for curveFloatingRateReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_CURVE_INTERESTINCOME_REVERSIONSPEED
The identifier for curveInterestIncomeReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_CURVE_LIQUIDITY_REVERSIONSPEED
The identifier for curveLiquidityReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_CURVE_LONGDECAY_INFODECAY
The identifier for the optimizableParameter longDecayInfoDecay.

See also systemConstantsRecord and yieldCurveLongTerm.

PARAMETER_CURVE_LONGTERMRATE_INFODECAY
The identifier for the optimizableParameter longTermRateInfoDecay.

See also systemConstantsRecord and yieldCurveLongTerm.

PARAMETER_CURVE_LONGTERM_REVERSIONSPEED
The identifier for curveLongTermReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_CURVE_PREMIUM_CREDIT_CLASS_2_INFODECAY
The identifier for the optimizableParameter premiumCreditClass2InfoDecay.

See also systemConstantsRecord and yieldCurvePremiumCreditClass2.

PARAMETER_CURVE_PREMIUM_CREDIT_CLASS_HIGH_INFODECAY
The identifier for the optimizableParameter premiumCreditClassHighInfoDecay.

See also systemConstantsRecord and yieldCurvePremiumCreditClassHigh.

PARAMETER_CURVE_PREMIUM_CREDIT_CLASS_LOW_INFODECAY
The identifier for the optimizableParameter premiumCreditClassLowInfoDecay.

See also systemConstantsRecord and yieldCurvePremiumCreditClassLow.

PARAMETER_CURVE_PREMIUM_CUMULATIVEDIVIDENDS_INFODECAY
The identifier for the optimizableParameter premiumCumulativeDividendsInfoDecay.

See also systemConstantsRecord and yieldCurvePremiumCumulativeDividends.

PARAMETER_CURVE_PREMIUM_INTERESTINCOME_INFODECAY
The identifier for the optimizableParameter premiumInterestIncomeInfoDecay.

See also systemConstantsRecord and yieldCurvePremiumInterestIncome.

PARAMETER_CURVE_PREMIUM_LIQUIDITY_INFODECAY
The identifier for premiumLiquidityInfoDecay.

See also liquidity and systemConstantsRecord.

PARAMETER_CURVE_PREMIUM_RETRACTIBLE_INFODECAY
The identifier for the optimizableParameter premiumRetractibleInfoDecay.

See also systemConstantsRecord and yieldCurvePremiumRetractible.

PARAMETER_CURVE_PREMIUM_SPLITSHARECORP_INFODECAY
The identifier for the optimizableParameter premiumSplitShareCorpInfoDecay.

See also systemConstantsRecord and yieldCurvePremiumSplitShareCorp.

PARAMETER_CURVE_SHORTDECAY_INFODECAY
The identifier for the optimizableParameter shortDecayInfoDecay.

See also systemConstantsRecord.

PARAMETER_CURVE_SHORTTERMRATE_INFODECAY
The identifier for the optimizableParameter shortTermRateInfoDecay.

See also systemConstantsRecord and yieldCurveShortTerm.

PARAMETER_CURVE_SHORTTERM_REVERSIONSPEED
The identifier for curveShortTermReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_CURVE_SPLITSHARE_REVERSIONSPEED
The identifier for curveSplitShareReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_CURVE_RETRACTIBLE_REVERSIONSPEED
The identifier for curveRetractibleReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_DESCRIPTION
The identifier for the description field of a systemConstantsRecord.
parameterIncrement
A vector of length PARAMETER_TYPE_MEMBERS_DOUBLE maintained in the course of a simulation to record the change that will be applied to each corresponding optimizableParameter when that parameter is selected by the maximumSlopeAlgorithm for testing.
PARAMETER_INSTRUMENT_ASKYIELDTOWORST_INFODECAY
The identifier for instrumentAskYieldToWorstInfoDecay.

See also systemConstantsRecord and askYieldToWorst.

PARAMETER_INSTRUMENT_BIDYIELDTOWORST_INFODECAY
The identifier for instrumentBidYieldToWorstInfoDecay.

See also systemConstantsRecord and bidYieldToWorst.

PARAMETER_INSTRUMENT_COSTASKYIELD_INFODECAY
The identifier for instrumentCostAskYieldInfoDecay.

See also systemConstantsRecord and costAskYield.

PARAMETER_INSTRUMENT_COSTBIDYIELD_INFODECAY
The identifier for instrumentCostBidYieldInfoDecay.

See also systemConstantsRecord and costBidYield.

PARAMETER_INSTRUMENT_COSTYIELD_REVERSIONSPEED
The identifier for instrumentCostYieldReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_INSTRUMENT_CURRENTYIELDBID_INFODECAY
The identifier for instrumentCurrentYieldBidInfoDecay.

See also systemConstantsRecord and currentYieldBid.

PARAMETER_INSTRUMENT_CURRENTYIELD_REVERSIONSPEED
The identifier for instrumentCurrentYieldReversionSpeed.

See also systemConstantsRecord, currentYieldBid and instrumentReversionParameter.

PARAMETER_INSTRUMENT_CURVEASKYIELD_INFODECAY
The identifier for instrumentCurveAskYieldInfoDecay.

See also systemConstantsRecord and curveAskYield.

PARAMETER_INSTRUMENT_CURVEBIDYIELD_INFODECAY
The identifier for instrumentCurveBidYieldInfoDecay.

See also systemConstantsRecord and curveBidYield.

PARAMETER_INSTRUMENT_CURVEYIELD_REVERSIONSPEED
The identifier for instrumentCurveYieldReversionSpeed.
PARAMETER_INSTRUMENT_FLATASKPRICE_INFODECAY
The identifier for instrumentFlatAskPriceInfoDecay.

See also systemConstantsRecord and flatAskPrice.

PARAMETER_INSTRUMENT_FLATBIDPRICE_INFODECAY
The identifier for instrumentFlatBidPriceInfoDecay.

See also systemConstantsRecord and flatBidPrice.

PARAMETER_INSTRUMENT_FLATPRICE_REVERSIONSPEED
The identifier for instrumentFlatPriceReversionSpeed.

See also instrument reversion parameter, flatBidPrice / flatAskPrice and systemConstantsRecord.

PARAMETER_INSTRUMENT_LIQUIDITYLOSSALLOWANCE
The identifier for liquidityLossAllowance HIMIPref™-2006
PARAMETER_INSTRUMENT_PARENTPRICE_INFODECAY
The identifier for parentPriceInfoDecay.

See also systemConstantsRecord and parentPrice.

PARAMETER_INSTRUMENT_PORTASKYIELD_INFODECAY
The identifier for instrumentPortAskYieldInfoDecay.

See also systemConstantsRecord and portAskYield.

PARAMETER_INSTRUMENT_PORTBIDYIELD_INFODECAY
The identifier for instrumentPortBidYieldInfoDecay.

See also systemConstantsRecord and portBidYield.

PARAMETER_INSTRUMENT_PORTYIELD_REVERSIONSPEED
The identifier for instrumentPortYieldReversionSpeed.

See also systemConstantsRecord, portBidYield / portAskYield and instrumentReversionParameter.

PARAMETER_INSTRUMENT_PRICEDISPARITY_INFODECAY
The identifier for instrumentPriceDisparityInfoDecay.

See also systemConstantsRecord and priceDisparity.

PARAMETER_INSTRUMENT_PRICEDISPARITY_REVERSIONSPEED
The identifier for instrumentPriceDisparityReversionSpeed.

See also systemConstantsRecord, priceDisparity and instrumentReversionParameter.

PARAMETER_INSTRUMENT_CURRENTYIELDBID_INFODECAY
The identifier for instrumentCurrentYieldBidInfoDecay.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_INSTRUMENT_CURRENTYIELD_REVERSIONSPEED
The identifier for instrumentCurrentYieldReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_INSTRUMENT_DIVIDENDCAPTURE
The identifier for dividendCapture.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_INSTRUMENT_FLATASKPRICE_INFODECAY
The identifier for instrumentFlatAskPriceInfoDecay
PARAMETER_INSTRUMENT_FLATBIDPRICE_INFODECAY
The identifier for instrumentFlatBidPriceInfoDecay
PARAMETER_INSTRUMENT_FLATPRICE_REVERSIONSPEED
The identifier for instrumentFlatPriceReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_INSTRUMENT_PORTASKYIELD_INFODECAY
The identifier for instrumentPortAskYieldInfoDecay.

See also systemConstantsRecord and portAskYield.

PARAMETER_INSTRUMENT_PORTBIDYIELD_INFODECAY
The identifier for instrumentPortBidYieldInfoDecay.

See also systemConstantsRecord and portBidYield.

PARAMETER_INSTRUMENT_PORTYIELD_REVERSIONSPEED
This is the identifier for instrumentPortYieldReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_INSTRUMENT_PRICEDISPARITY_INFODECAY
This is the identifier for instrumentPriceDisparityInfoDecay.
PARAMETER_INSTRUMENT_PRICEDISPARITY_REVERSIONSPEED
This is the identifier for instrumentPriceDisparityReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_INSTRUMENT_RATCHETYIELD_INFODECAY
This is the identifier for ratchetYieldInfoDecay.

See also ratchetYield.

PARAMETER_INSTRUMENT_SPOT_COSTYIELD
This is the identifier for instrumentCostYieldValuation.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_INSTRUMENT_SPOT_CURRENTYIELD
The identifier for instrumentCurrentYieldValuation.

See also instrument valuation parameter, currentYield and systemConstantsRecord.

PARAMETER_INSTRUMENT_SPOT_CURVEYIELD
The identifier for instrumentCurveYieldValuation.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_INSTRUMENT_SPOT_CURRENTYIELD
This is the identifier for instrumentCurrentYieldValuation.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_INSTRUMENT_SPOT_PORTYIELD
This is the identifier for instrumentPortYieldReversionSpeed.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_INSTRUMENT_SPOT_PRICEDISPARITY
This is the identifier for instrumentPriceDisparityValuation.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_INSTRUMENT_YIELDCURVERIDEPERIOD
The identifier for yieldCurveRidePeriod. HIMIPref™-2006
PARAMETER_INSTRUMENT_YIELDCURVERIDECAPTURE
The identifier for yieldCurveRideCapture. HIMIPref™-2006
PARAMETER_INSTRUMENT_SPOT_YIELDDISPARITY
This is the identifier for instrumentYieldDisparityValuation.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_INSTRUMENT_SPOT_YIELDTOWORST
This is the identifier for instrumentYieldToWorstValuation.

See also systemConstantsRecord and rewardComponentsBid / rewardComponentsAsk.

PARAMETER_INSTRUMENT_SPREAD_INFODECAY
This is the identifier for instrumentPriceSpreadInfoDecay.

See also systemConstantsRecord.

PARAMETER_INSTRUMENT_VALUATION_PARENTPRICE_EXPONENT
The identifier for parentPriceExponent.

An optimizable parameter used in the calculation of the PRICE_MOVEMENT_SCALING_PARENT element of the priceVolatilityScalingFactorComponent vector.

This parameter sets the importance of price declines of an issuer's underlying common stock to the valuation of the preferred stock - if the common stock is declining rapidly, this may be an indication that there should be less mean reversion expected of the preferred.

A value of zero implies that no importance has been detected via simulation. See PRICE_MOVEMENT_SCALING_PARENT for the calculation formula.

PARAMETER_INSTRUMENT_VALUATION_PARENTPRICE_THRESHOLD
The identifier for parentPriceThreshold.

An optimizable parameter used in the calculation of the PRICE_MOVEMENT_SCALING_PARENT element of the priceVolatilityScalingFactorComponent vector.

This parameter sets the threshold of parentPrice-spot / parentPrice-average above which a decline in the price of the common stock of the issuer is presumed not to indicate concerns about the issuer's credit quality and below which, to varying degreess (PARAMETER_INSTRUMENT_VALUATION_PARENTPRICE_EXPONENT) it is.

See PRICE_MOVEMENT_SCALING_PARENT for the calculation formula.

PARAMETER_INSTRUMENT_VALUATION_VOLATILITYMODIFIER
An optimizable parameter used in the calculation of PRICE_MOVEMENT_SCALING_VOLATILITY.

A value of zero implies that historical price volatility has had no influence on the relative influence of reward class REWARD_CLASS_PRICEMOVEMENT elements of the totalRewardBid / totalRewardAsk valuations.

See instrumentValuationVolatilityModifier.

PARAMETER_INSTRUMENT_VOLUME_INFODECAY
This is the identifier for instrumentVolumeInfoDecay.

See also systemConstantsRecord.

PARAMETER_INSTRUMENT_YIELDDISPARITY_INFODECAY
This is the identifier for instrumentYieldDisparityInfoDecay.

See also systemConstantsRecord and yieldDisparity.

PARAMETER_INSTRUMENT_YIELDDISPARITY_REVERSIONSPEED
This is the identifier for instrumentYieldDisparityReversionSpeed.

See also systemConstantsRecord, yieldDisparity and instrumentReversionParameter.

PARAMETER_INSTRUMENT_YIELDTOWORST_REVERSIONSPEED
This is the identifier for instrumentYieldToWorstReversionSpeed.

See also yield-To-Worst and instrumentReversionParameter.

parameterOptimizationType
An enumerated type that defines the type of optimization to be done by HIMIPref™. It defines the possible values of the optimizationType field of the constraintSpecificationRecord.

Defined values are:

PARAMETER_PENALTY_ISSUECONCENTRATION
The identifier for issueConcentrationPenalty.

An optimizable parameter used in the calculation of bidToOfferPickup and offerToBidPickup.

PARAMETER_PENALTY_OPTIONDOUBT
The identifier for optionDoubtPenalty.

An optimizable parameter used in the calculation of the PENALTY_COMPONENT_OPTIONDOUBT component of the penaltyComponents vector.

PARAMETER_PENALTY_PSEUDOCONVEXITY_COST
The identifier for pseudoConvexityCostPenalty.

An optimizable parameter used in the calculation of the PENALTY_COMPONENT_PSEUDOCONVEXITY_COST component of the penaltyComponents vector.

PARAMETER_PENALTY_PSEUDOCONVEXITY_PORT
The identifier for pseudoConvexityPortPenalty.

An optimizable parameter used in the calculation of the PENALTY_COMPONENT_PSEUDOCONVEXITY_PORT component of the penaltyComponents vector.

PARAMETER_PENALTY_PSEUDOCONVEXITY_WORST
The identifier for the optimizableParameter pseudoConvexityWorstPenalty, used in the calculation of the penaltyComponent PENALTY_COMPONENT_PSEUDOCONVEXITY_WORST.
PARAMETER_PICKUP_OPTIMAL
The identifier for pickupOptimal. See also totalRequiredPickup.
PARAMETER_PORTFOLIO_MAXWEIGHT
A constraint used in the calculation of trade size when determining the maximum weight of a single issue in a portfolio when using the portfolio method. See maxWeightBuy and maxWeight
PARAMETER_PORTFOLIO_MAXWEIGHT_CREDITCLASS2
The identifier for maxWeightCreditClass2.

A constraint used in the calculation of trade size when determining the maximum or minimum weight of a issues in a portfolio which are subject to the YIELD_CURVE_PREMIUM_CREDIT_CLASS_2 riskAttribute.

If the parameter value is between 0 and 1, this value is the maximum weight. If the parameter value is greater than 1, then this value less 1 is the minimum weight. If the parameter value is equal to 1, then no condition is enforced.

See adjustForMaxWeightSector.

PARAMETER_PORTFOLIO_MAXWEIGHT_CREDITCLASS3
The identifier for maxWeightCreditClass3.

A constraint used in the calculation of trade size when determining the maximum or minimum weight of a issues in a portfolio which are subject to the YIELD_CURVE_PREMIUM_CREDIT_CLASS_3 riskAttribute.

If the parameter value is between 0 and 1, this value is the maximum weight. If the parameter value is greater than 1, then this value less 1 is the minimum weight. If the parameter value is equal to 1, then no condition is enforced.

See adjustForMaxWeightSector.

PARAMETER_PORTFOLIO_MAXWEIGHT_CUMULATIVEDIVIDENDS
The identifier for maxWeightCumulativeDividends.

A constraint used in the calculation of trade size when determining the maximum or minimum weight of a issues in a portfolio which are subject to the YIELD_CURVE_PREMIUM_INTERESTINCOME riskAttribute.

If the parameter value is between 0 and 1, this value is the maximum weight. If the parameter value is greater than 1, then this value less 1 is the minimum weight. If the parameter value is equal to 1, then no condition is enforced.

See adjustForMaxWeightSector.

PARAMETER_PORTFOLIO_MAXWEIGHT_FLOATINGRATE

The identifier for maxWeightFloatingRate.A constraint used in the calculation of trade size when determining the maximum or minimum weight of a issues in a portfolio which are subject to the YIELD_CURVE_PREMIUM_FLOATINGRATE riskAttribute.

If the parameter value is between 0 and 1, this value is the maximum weight. If the parameter value is greater than 1, then this value less 1 is the minimum weight. If the parameter value is equal to 1, then no condition is enforced.

See adjustForMaxWeightSector.

PARAMETER_PORTFOLIO_MAXWEIGHT_INTERESTPAY
The identifier for maxWeightInterestPay.

A constraint used in the calculation of trade size when determining the maximum or minimum weight of a issues in a portfolio which are subject to the YIELD_CURVE_PREMIUM_INTERESTINCOME riskAttribute.

If the parameter value is between 0 and 1, this value is the maximum weight. If the parameter value is greater than 1, then this value less 1 is the minimum weight. If the parameter value is equal to 1, then no condition is enforced.

See adjustForMaxWeightSector.

PARAMETER_PORTFOLIO_MAXWEIGHT_ISSUERCLASS2
The identifier for maxWeightIssuerClass2.

A constraint used in the calculation of trade size when determining whether there is too much exposure to a single issuer which has the YIELD_CURVE_PREMIUM_CREDIT_CLASS_2 risk attribute. If execution of the trade would cause the exposure to a single such issuer to exceed the value of this constraint then the trade size is reduced accordingly.

See adjustForIssuerConcentration

PARAMETER_PORTFOLIO_MAXWEIGHT_ISSUERCLASS3
The identifier for maxWeightIssuerClass3.

A constraint used in the calculation of trade size when determining whether there is too much exposure to a single issuer which has the YIELD_CURVE_PREMIUM_CREDIT_CLASS_3 risk attribute. If execution of the trade would cause the exposure to a single such issuer to exceed the value of this constraint then the trade size is reduced accordingly.

See adjustForIssuerConcentration

PARAMETER_PORTFOLIO_MAXWEIGHT_RETRACTIBLE
The identifier for maxWeightRetractible.

A constraint used in the calculation of trade size when determining the maximum or minimum weight of a issues in a portfolio which are subject to the YIELD_CURVE_PREMIUM_RETRACTIBLE riskAttribute.

If the parameter value is between 0 and 1, this value is the maximum weight. If the parameter value is greater than 1, then this value less 1 is the minimum weight. If the parameter value is equal to 1, then no condition is enforced.

See adjustForMaxWeightSector.

PARAMETER_PORTFOLIO_MAXWEIGHT_SPLITSHARECORP
The identifier for maxWeightSplitShareCorp.A constraint used in the calculation of trade size when determining the maximum or minimum weight of a issues in a portfolio which are subject to the YIELD_CURVE_PREMIUM_SPLITSHARECORP riskAttribute.

If the parameter value is between 0 and 1, this value is the maximum weight. If the parameter value is greater than 1, then this value less 1 is the minimum weight. If the parameter value is equal to 1, then no condition is enforced.

See adjustForMaxWeightSector.

PARAMETER_PORTFOLIO_MINCOSTBIDPSEUDOMODIFIEDDURATIONBUY
The identifier for minCostBidPseudoModifiedDurationBuy.

An optimizable parameter that sets the minimum pseudoModifiedDurationCost of issues to be considered for purchase. See trade size.

PARAMETER_PORTFOLIO_MINWEIGHT
The identifier for minWeight.

It is used extensively in the calculation of tradeSize. Due to the great effect of this parameter on trade recommendation (in conjunction with the optimizable parameter PARAMETER_PENALTY_ISSUECONCENTRATION), care should be exercised when changing it.

This constraint specifies the minimum weight of a single position held in the portfolio - it is assumed that trades with lower weights will add significantly to the complexity of portfolio analysis and management without making a material contribution to portfolio return.

See adjustForSectoralMaxWeights and eliminateSmallTrades.

PARAMETER_PORTFOLIO_MINWORSTBIDPSEUDOMODIFIEDDURATIONBUY
The identifier for minWorstBidPseudoModifiedDurationBuy.

An optimizable parameter that sets the minimum pseudoModifiedDurationWorstBid of issues to be considered for purchase. See trade size.

PARAMETER_PORTFOLIO_MINYTWMODIFIEDDURATIONBUY
The identifier for minYTWModifiedDurationBuy.

An optimizable parameter that sets the minimum ytwModifiedDuration of issues to be considered for purchase. See trade size.

PARAMETER_RATING_SOURCE
The identifier for the credit constraint. This value determines whether the credit ratings used in the analysis will be those of DBRS or CBRS.
PARAMETER_RISK_CREDITCLASS2
The identifier for riskCreditClass2.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_CREDITCLASS3
The identifier for riskCreditClass3.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_CREDITCLASSHIGH
The identifier for riskCreditClassHigh.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_CREDITCLASSLOW
The identifier for riskCreditClassLow.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_CUMULATIVEDIVIDENDS
The identifier for riskCumulativeDividends.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_FLOATINGRATE
The identifier for riskFloatingRate.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_MACAULAYDURATION_COSTBID
The identifier for riskMacaulayDurationCost.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_MACAULAYDURATION_PORTBID
The identifier for riskMacaulayDurationPort.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_PAYMENTSAREDIVIDENDS
The identifier for riskPaymentsAreDividends.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_PSEUDOCONVEXITY_COST
The identifier for riskPseudoConvexityCost.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_PSEUDOCONVEXITY_PORT
The identifier for riskPseudoConvexityPort.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_PSEUDOMODIFIEDDURATION_COSTBID
The identifier for riskPseudoModifiedDurationCost.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_PSEUDOMODIFIEDDURATION_PORTBID
The identifier for riskPseudoModifiedDurationPort.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_PSEUDOMODIFIEDDURATION_WORSTBID
The identifier for riskPseudoModifiedDurationWorst.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_RETRACTIBLE
The identifier for riskRetractible.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_SPLITSHARECORP
The identifier for riskSplitShareCorp.

See also systemConstantsRecord and riskDistance.

PARAMETER_RISK_YTWMODIFIEDDURATION
The identifier for riskYTWModifiedDuration.

See also systemConstantsRecord and riskDistance.

parameterSensitivity
A vector of length PARAMETER_TYPE_MEMBERS_DOUBLE which contains the sensitivities of each systemConstantsRecord field which has a numeric value.

These sensitivities quantify the relationship between the simulationScore and changes in the corresponding optimizableParameter in order to assist in the application of the maximumSlopeAlgorithm.

Each sensitivity is calculated as:

"sensitivity" = abs(simulationScore[base] - simulationScore[new])
/ parameterChange

where
simulationScore[base] is the highest simulationScore achieved in the current set of simulations
simulationScore[new] is the simulationScore of the most recent run
[Note: the optimizableParameter values used in the two simulations will differ only by a change in one variable]
parameterChange is the numeric difference between the values of the changed parameter
"abs" is the absolute value function.
PARAMETER_SYSTEM_ISSUANCECOST
The identifier for issuanceCost. A constraint that specifies the proportion of the price of a new issue that an issuer may expect to pay in sales commissions. It is normally used to set the value issuance cost.
PARAMETER_SYSTEM_VOLUMEAVERAGINGCAP
The identifier for volumeAveragingCap.
PARAMETER_TYPE_MEMBERS_DOUBLE
A constraint which is a simple count of those fields of a systemConstantsRecord which have a numeric value.
parentCode
A field in an instrumentDataRecord which references the securityCode of the common stock of the issuer. Analysis based on data to be entered in this field has not yet been implemented.

This datum is available through the instrumentDetailsBox.

parentPrice
The market price of the common stock referred to by its parentCode. See parentPrice-spot.
parentPrice-average Report Summary
This is the historical average of parentPrice-spot. See parentPrice-trend, parentPrice-volatility, instrumentAveragesRecord and parentPriceInfoDecay.

As of 2004-07-21, this parameter has not been tested.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

parentPriceInfoDecay
An optimizableParameter that is used as the dampingFactor when computing the exponential moving average of parentPrice-spot, which is stored as parentPrice-average. See also parentPrice-trend, parentPrice-volatility and instrumentAveragesRecord. Its identifier is PARAMETER_INSTRUMENT_PARENTPRICE_INFODECAY.

The value of this parameter is constrained to be between 0 and 1.

As of 2004-07-21, this parameter has not been tested.

This parameter is reported in the analyticalParametersReportBox.

parentPriceExponent
An optimizableParameter with the identifier PARAMETER_INSTRUMENT_VALUATION_PARENTPRICE_EXPONENT used in the calculation of the PRICE_MOVEMENT_SCALING_PARENT priceVolatilityScalingFactorComponent of the priceVolatilityScalingFactor.

The value of this parameter is constrained to be non-negative.

As of 2004-07-21, this parameter has not been tested.

This parameter is reported in the analyticalParametersReportBox.

parentPrice-spot Report Summary
This is the value, computed daily, of the parentPrice. It is the basis of one of the instrument averages attributes - see parentPrice-average, parentPrice-trend, parentPrice-volatility and parentPriceInfoDecay.

As of 2004, this parameter has not been tested.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

parentPriceThreshold
An optimizableParameter with the identifier PARAMETER_INSTRUMENT_VALUATION_PARENTPRICE_THRESHOLD used in the calculation of the PRICE_MOVEMENT_SCALING_PARENT priceVolatilityScalingFactorComponent of the priceVolatilityScalingFactor.

The value of this parameter is constrained to be between 0 and 1.

As of 2004-07-21, this parameter has not been tested.

This parameter is reported in the analyticalParametersReportBox.

parentPrice-trend Report Summary
This is the historical trend of parentPrice-spot. See parentPrice-average, parentPrice-volatility, instrumentAveragesRecord and parentPriceInfoDecay.

As of 2004-07-21, this parameter has not been tested.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

parentPrice-volatility Report Summary
This is the historical volatility of parentPrice-spot. See parentPrice-average, parentPrice-trend, instrumentAveragesRecord and parentPriceInfoDecay.

As of 2004-07-21, this parameter has not been tested.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

par Value Report Summary
The face value of the shares. This is usually equal to the issue price and is reflected as a liability on the books of the issuer. In HIMIPref™, the "par value" of each instrument is specified in an eponymous field of its instrumentDataRecord.

Right-clicking this field in the reportSummary will display the instrumentNameContextMenu.

This value may also be accessed via the instrumentDetailsBox.

PARAMETER_TRADING_FRICTIONCONVERSIONCAP
The identifier for frictionConversionCap. An optimizableParameter that places an upper limit on the computed value of dollarToValuationConversionRatio.
PARAMETER_TRADING_MAXDAYS
The identifier for tradingMaxDays.

A constraint which specifies the number of average trading day's volume of an issue which a portfolio might reasonably expect to be able to sell at the bid or purchase at the ask.

It is important to specify this factor in order that trade recommendations produced by HIMIPref™ be restricted to sizes which may realistically be shown with an expectation of execution.

The system assumes that a portfolio may trade

"PARAMETER_TRADING_MAXDAYS" * volume-average


shares at the relevent price on any given day.

See adjustForTradingVolume

PARAMETER_TRADING_REWARD_EXCESSVALUATIONCAP
The identifier for the optimizableParameter excessValuationCap used in the calculation of excessRewardIncreases / excessRewardDecreases.
PARAMETER_TRADING_REWARD_EXCESSVALUATIONREDUCTION
The identifier for the optimizableParameter excessValuationReduction, used in the calculation of excessRewardDifferenceValuation
PARAMETER_TRADING_REWARD_INCONSISTENCY
The identifier for rewardInconsistencyAdjust.

An optimizable parameter used during trade analysis in the determination of rewardDecreasesValuation. It is constrained to be non-negative. To the extent that the value of this parameter is positive, trades in which there is more consistency amongst the reward indicators will be encouraged.

PARAMETER_TRADING_TRADESCORECAP
An optimizable parameter used during trade analysis in the determination of tradeScore, tradeScoreUnrestricted, tradeDesirability, tradeDesirabilityUnrestricted and weightedTradeDesirability.
PARAMETER_TRADING_VALUESIZEADJUST
The identifier for valueSizeAdjust.

An optimizable parameter used in the calculation of valueSizeAdjustmentSell / valueSizeAdjustmentBuy to adjust the importance of classRewardPriceMovementBid / classRewardPriceMovementAsk in the valuation of securities. The rationale is that as holdings increase, it will be harder to trade out of a profitable position, so that yield should form a larger proportion of the valuation of holdings which are large relative to trading volume.

A value of zero implies that no benefit has been determined from such an adjustment through simulation.

participating preferred
A preferred share is deemed by HIMIPref™ to be a "participating preferred" if the dividends paid are dependent upon the profitability of the issuer. For example, the Allbanc Split Corp. Redeemable Retractible Preferred shares are considered to be participating because the dividends due are dependent upon the dividends received by Allbanc on its portfolio of shares in Canadian banks. This type of condition is difficult, if not impossible, to model as a fixed income investment and so these shares are not included in the investible universe. Such instruments are flagged in HIMIPref™ with the value PRICING_EXCLUDED_PARTICIPATING in the pricingCode field of an instrumentDataRecord.

The only reason such issues are included in the instruments table at all is that such instruments are sometimes included in an index and it is desirable to be able to account for all index components in the indexComposition table.

password
A field displayed on the passwordInputBox and passwordChangeBox.

A valid password must have at least

  • Two uppercase letters
  • Two lowercase letters
  • Two digits
PASSWORD_ACCESS_ADMIN
A control constant of passwordAccessType indicating that the user has access to all features and components of HIMIPref™.
PASSWORD_ACCESS_INSTITUTION
A control constant of passwordAccessType indicating that the user has access to most features and components of HIMIPref™. Users so indicated may not:
PASSWORD_ACCESS_MUSTCHANGEPASSWORD
A control constant of passwordAccessType indicating that the user's password has expired and must be renewed.
PASSWORD_ACCESS_MUSTRENEWSUBSCRIPTION
A control constant of passwordAccessType indicating that the user's subscription to the HIMIPref™ service has expired.
passwordAccessType
An enumerated set defining the accessCode. Possible values are:
PASSWORD_ACCESS_UNDEFINED
A control constant of passwordAccessType indicating that the value so designated has either not yet been defined or that an error has occurred.
passwordChangeBox
A dialog box displayed upon expiration of the current password (see passwordExpirationDate) or at the option of the user. It requires input of:
passwordExpirationDate
The date on which the user's password will expire and will require changing (see PASSWORD_ACCESS_MUSTCHANGEPASSWORD, passwordChangeBox). See userDataReportBox
passwordInputBox Image
A dialog box called during programme initialization to allow access to the server-side analytics. It requires input of:

Note that both lines of input are case-sensitive.

pay-Date
The date on which the item in question is actually paid. A dividend, for example, is earned by the shareholder on the record date, but paid on the "pay-Date". This is one of the fields of a dividend record.

This datum may be reported in the dividendsBox.

paymentAmount
A field in a futurePaymentRecord that specifies the amount to be paid by or to the activePortfolio in the transaction indicated by that record.

This value is reported by the futurePaymentsReportBox.

paymentDate
A field in a futurePaymentRecord that specifies the date on which the paymentAmount becomes due to or payable by the activePortfolio.

This datum is reported by the futurePaymentsReportBox.

PAYMENT_DIVIDEND
An enumerated constant of paymentReasonType denoting that the paymentReason for the futurePaymentRecord is an accrual for dividends receivable.
paymentReason
A field in a futurePaymentRecord of paymentReasonType specifying the reason for which the transaction specified by that record required an accounting entry by the activePortfolio in a simulation.
paymentReasonType
An enumerated type defining the paymentReason field of a futurePaymentRecord.

The following types are defined:

paymentsAreDividends Report Summary Report Summary
A boolean field in an instrumentDataRecord which records whether income received as a result of holding the instrument will be taxed as dividends (value = true) or interestIncome (value = false).

When this datum is reported as a number, {0 is false, 1 is true}.

Right-clicking this field (when boolean) in the reportSummary will display the instrumentNameContextMenu.

This value may also be accessed via the instrumentDetailsBox.

A weighted average for a portfolio for this attribute is reported by the portfolioRiskReportBox.

PAYMENT_TAX_CAPITALGAIN
An enumerated constant of paymentReasonType denoting that the paymentReason for the futurePaymentRecord is an accrual for capital gains taxes.
PAYMENT_TAX_DEEMEDDIVIDEND
An enumerated constant of paymentReasonType denoting that the paymentReason for the futurePaymentRecord is an accrual for taxes payable on deemedDividends (noted specifically instead of being grouped with PAYMENT_TAX_INCOME items for bookkeeping control purposes).
PAYMENT_TAX_INCOME
An enumerated constant of paymentReasonType denoting that the paymentReason for the futurePaymentRecord is an accrual for income taxes.
PENALTY_COMPONENT_COUNT
A constraint specifying the length of the penaltyComponents vector.
PENALTY_COMPONENT_OPTIONDOUBT
One of the elements of the penaltyComponents vector. This component seeks to quantify the degree by which valuations should be reduced due solely to uncertainty as to which embedded option of the instrument will ultimately be exercised. It is equal to the product of the optimizable parameter PARAMETER_PENALTY_OPTIONDOUBT and the calculated value optionDoubt.
PENALTY_COMPONENT_PSEUDOCONVEXITY_COST
One of the elements of the penaltyComponents vector. This component seeks to quantify the degree by which valuations should be reduced due solely to a negative value of pseudoConvexityCost. It is equal to the product of the optimizable parameter PARAMETER_PENALTY_PSEUDOCONVEXITY_COST and the calculated value pseudoConvexityCost, if the latter value is negative, zero otherwise.
PENALTY_COMPONENT_PSEUDOCONVEXITY_PORT
One of the elements of the penaltyComponents vector. This component seeks to quantify the degree by which valuations should be reduced due solely to a negative value of pseudoConvexityPort. It is equal to the product of the optimizable parameter PARAMETER_PENALTY_PSEUDOCONVEXITY_PORT and the calculated value pseudoConvexityPort, if the latter value is negative, zero otherwise.
PENALTY_COMPONENT_PSEUDOCONVEXITY_WORST
One of the elements of the penaltyComponents vector. This component seeks to quantify the degree by which valuations should be reduced due solely to a negative value of pseudoConvexityWorst. It is equal to the product of the optimizable parameter PARAMETER_PENALTY_PSEUDOCONVEXITY_WORST and the calculated value pseudoConvexityWorst, if the latter value is negative, zero otherwise.
penaltyComponents
A vector of length PENALTY_COMPONENT_COUNT in which each element is set equal to:

penaltyComponent[i] = - penaltyParameter[i] * penaltyValue[i]
where the elements are:
element identifier penaltyParameter penaltyValue Applicable to Conditions
0 PENALTY_COMPONENT_OPTIONDOUBT PARAMETER_PENALTY_OPTIONDOUBT optionDoubt Buys & Sales Always
1 PENALTY_COMPONENT_PSEUDOCONVEXITY_PORT PARAMETER_PENALTY_PSEUDOCONVEXITY_PORT pseudoConvexityPort Buys & Sales If negative
1 PENALTY_COMPONENT_PSEUDOCONVEXITY_COST PARAMETER_PENALTY_PSEUDOCONVEXITY_COST pseudoConvexityCost Buys & Sales If negative
1 PENALTY_COMPONENT_PSEUDOCONVEXITY_WORST PARAMETER_PENALTY_PSEUDOCONVEXITY_WORST pseudoConvexityWorst Buys & Sales If negative

These values are subsequently used with rewardComponentsBid / rewardComponentsAsk to derive tradingValuationBid / tradingValuationAsk. They are not considered rewardComponentsBid / rewardComponentsAsk because there is no clear way the values derived relate to expected total returns - optionDoubt relates to uncertainty regarding the validity of the underlying calculations, while the pseudoConvexity penalties reflect expectation of underperformance only due to overall market moves.

penaltyParameter
One of the optimizable parameters used in the construction of the penaltyComponents vector.
penaltyValue
One of the calculated values used in the construction of the penaltyComponents vector.
percentPriceDifference
A calculated vector of (PSEUDO_PORTFOLIO_INDEX_MEMBERS-2) entries, used in subsequent calculations of pseudoModifiedDurationCost, pseudoModifiedDurationWorstBid and pseudoModifiedDurationPort, which may then be used in the calculation of pseudoConvexity. It represents the price differences between all but the highest and lowest priced elements of the pseudoList relative to their flanking members, so that the "percentPriceDifference" corresponding to pseudoList[i] is

"percentPriceDifference"[i] = (price[i + 1] - price[i - 1]) / price[i]

where pseudoList is ranked in ascending order of its corresponding price.

The relevent value is reported in the pseudoConvexityCalculationBox and the pseudoModifiedDurationCalculationBox.

percentWeight
A field in an indexCompositionRecord that specifies the weight of the instrument denoted by the securityCode in the index denoted by the indexID on the noted date.
percentYieldDifference
A general term used to refer to:all of which are vectors of (PSEUDO_PORTFOLIO_INDEX_MEMBERS-2) entries, used in subsequent calculations of pseudoModifiedDurationCost, pseudoModifiedDurationWorstBid and pseudoModifiedDurationPort, which may then be used in the calculation of pseudoConvexity.
Performance Report Summary
The total return of the issue over the specified period. The reported return may be either pre- or post-tax.

Right-clicking this field on the reportSummary displays the performanceContextMenu.

performanceBox Image
A dialog box available through the performanceContextMenu, the "Performance" selection on the portfolioListReportContextMenu|accountName and the "Performance" selection of the graphContextMenu|attributes context menu.

The following data are displayed as the title:

  • accountName
  • accountNumber
  • "Period From": commencement of the analyzed period
  • "Period To": end of the analyzed period
  • "Pre-tax Calculation": indicates tax effect applied to returns
  • "Trade Date Valuations": Indicates whether the evaluations are performed on a trade-date (Yes) or value-date (No) basis
  • tax Schedule ID
  • "Total Return for Period": the compounded internal rate of return on the account for the entire period, with dividends reinvested.
  • One of:
    • "Raw Figures": data is reported for each measurement
    • "Monthly Performance": the internal rate of return for each month in the period is shown
    • "Quarterly Performance": the internal rate of return for each quarter is shown
    • "Annual Performance": the internal rate of return for each fiscal year (as defined) is shown

The following data are displayed as the data:

  • For "Raw Figures"
    • evaluation date
    • cash flow
    • value after cash flow
  • For all other reports:
    • end of evaluated period
    • internal rate of return for period

This dialog box has buttons allowing display of the different time periods used to divide the total period:

  • "Monthly"
  • "Quarterly"
  • "Annual"
  • "Raw"
performanceCalculation
"performanceCalculation" as applied by HIMIPref™ follows the following principles:
  • An evaluation of value is made on every cash inflow and outflow date
      For instruments, this is considered to be the ex-date
    • For accounts for which tax accruals are explicitly recorded, special treatment is possible - see taxCalculationEffectType
  • Dividends are accrued on the ex-date
  • computations may be made on the basis of tradeDate or valueDate (note that tradeDate is preferable)
  • Shares held long are valued at the recorded bid price; shorts are valued at the ask

See also performanceInitialization and turnover.

performanceContextMenu

This menu is available on the reportSummary by right-clicking on the following fields:

This menu allows the following choices

performanceInitialization
This is the process whereby the parameters for the performance calculation are defined. In order, the input required is:

See also performanceCalculation.

performanceInstrumentRiskGroupAnalysis
A procedure available via the "Special|Instrument Risk Group Analysis" selection on the performanceMenu that attempts to quantify the contribution to total returns that is due to each of the riskAttributes recognized by HIMIPref™.

After completing the taxRateQueryProcess to determine the applicable taxIdentifier for the analysis (necessary as there will be large differences in modifiedDuration calculations, inter alia, with different taxRateDataRecords) the riskPerformanceBox and regressionResultBox are displayed, showing the analyses, by different methodologies, of the total return of the instruments in the universe against their riskAttributes.

performanceMenu
The menu controlling the performanceReport. Options available are:
performanceMenu|View
A popup menu available on the performanceMenu of the performanceReport. This menu determines the nature of the data that is to be displayed. Options available are:
  • Account : displays the accountSelectionBox to allow selection of the account which is to be reported
  • Comparator : displays the accountSelectionBox to allow selection of the account to be shown as a comparator
  • Disclosures : Not operable (will become vital when composite calculation is enabled in the system)
  • Period : Allows selection of the period used as a unit in the report (see performanceBox)
    • Raw Data
    • Monthly
    • Quarterly
    • Annual
    • Annualized
  • Time Span : Allows selection of a portion of the period used to prepare the full report
  • Help : Displays this glossary item.
performanceReport Image
A report accessible via the "Performance Calculation" selection on the mainMenu|Admin popup menu which allows the display of and calculations upon performance data.

When initially called, the performanceInitialization commences. Once the calculation has been initialized, performance data for the selected investments may be displayed as

  • Raw Data
  • Monthly Data
  • Quarterly Data
  • Annual Data
  • Annualized Data

This report is controlled by the performanceMenu and the performanceReportContextMenu.

performanceReportContextMenu
A context menu available on the performanceReport by right-clicking on an input field when it is highlighted.
performanceSubjectSelectionBox Image
A dialog box which may be displayed during the performanceInitialization process, allowing the user to determine whether
  • Instruments or
  • Portfolios
are to be reported on the performanceReport.
performanceTaxAccrualReversal
Selecting this parameter is part of the performanceInitialization process for accounts and is required in order to set the value of the taxCalculationEffectType.
periodEnd
A field in an optionDataRecord which specifies the last date on which the specified option may be exercised.

This datum is reported in the embeddedOptionsBox.

periodStart
A field in an optionDataRecord which specifies the first date on which the specified option may be exercised.

This datum is reported in the embeddedOptionsBox.

period volatility
A calculated value used in the subsequent calculation of exerciseProbability. It is calculated as:

"period volatility" is reported in the optionCashFlowEffectAnalysisBox.

permanent Database
A database intended to be be kept permanently, as it contains only raw data, as opposed to calculated values. It contains the following tables:

See also volatileDatabase, userDatabase.

perpetual
This term describes an issue that has no mechanism defined in its prospectus whereby the company will return the capital invested to the investor. When these mechanisms are defined (whether as a maturity or retraction) the issue is referred to as retractible.
perShareBuyCommission
A calculated value used in the subsequent calculation of commissionFriction when analyzing a trade. It represents the dollar cost per share sold of the commission payable on the purchase:

perShareBuyCommission = totalBuyCommission / sellSize

This value is reported by the tradingFrictionAnalysisBox.

perShareSellCommission
A calculated value used in the subsequent calculation of commissionFriction when analyzing a trade. It represents the dollar cost per share sold of the commission payable on the sale:

perShareSellCommission = totalSellCommission / sellSize

This value is reported by the tradingFrictionAnalysisBox.

phone
(i) A field contained within a dealerRecordType specifying the telephone number of the dealer signified by the record.

(ii) A field in a custodiansDataRecord that specifies the telephone number of the custodian signified by the record.

pickupCalculationBox Image
A dialog box accessible via the "Pickup Details" selection on the tradeReportContextMenu.The following trade identification data is reported:

Two views of the data are selectable:

pickupOptimal
An optimizable parameter which is multiplied by the riskDistance to produce the totalRequiredPickup, which is then used in the calculation of tradeDesirability. It is constrained to be non-negative. It is also referred to as requiredPickup; its identifier is PARAMETER_PICKUP_OPTIMAL.

It represents the minimum hurdle by which one share must be defined as better than another in order for a potential trade to be considered prudent.

This parameter is reported in the analyticalParametersReportBox.

portAskDiscountingTable
A cashFlowDiscountingTable used in portfolio method calculations with the calculations being calculated from the issue's ask price, representing one of the option exercise scenarios being considered as part of the optionCalculationList.
portAskYield
A measure of yield determined by calculating the ask restrictedYieldToMaturity (calculated with the portAskDiscountingTable) of each element of the optionCalculationList and computing the average, weighted by the probability of occurance, of these data (a calculation methodology referred to as the portfolioMethod (ii).)

This is reported on the report summary as YTM (Port Method) at Ask.

portBidYield-average
This is the historical average of portAskYield-spot. See portAskYield-trend, portAskYield-volatility, instrumentAveragesRecord and instrumentPortAskYieldInfoDecay.

Reported on the reportSummary as Ask Yield (Port) - average.

portAskYield-spot
This is the value, computed daily, of the portAskYield. It is the basis of one of the instrument averages attributes - see portAskYield-average, portAskYield-trend, portAskYield-volatility and instrumentPortAskYieldInfoDecay.

Reported on the reportSummary as Ask Yield (Port) - spot.

portAskYield-trend
This is the historical trend of portAskYield-spot. See portAskYield-average, portAskYield-volatility, instrumentAveragesRecord and instrumentPortAskYieldInfoDecay.

Reported on the reportSummary as Ask Yield (Port) - trend.

portAskYield-volatility
This is the historical volatility of portAskYield-spot. See portAskYield-average, portAskYield-trend, instrumentAveragesRecord and instrumentPortAskYieldInfoDecay.

This is reported on the reportSummary as Ask Yield (Port) - volatility

portBidDiscountingTable
A cashFlowDiscountingTable used in portfolio method calculations with the calculations being calculated from the issue's bid price, representing one of the option exercise scenarios being considered as part of the optionCalculationList.
portBidYield
A measure of yield determined by calculating the bid restrictedYieldToMaturity (calculated with the portBidDiscountingTable) of each element of the optionCalculationList and computing the average, weighted by the probability of occurance, of these data (a calculation methodology referred to as the portfolioMethod (ii).)

It is also used in the subsequent calculation of pseudoModifiedDurationPort.

This is reported on the report summary as YTM (Port Method) at Bid.

portBidYield-average
This is the historical average of portBidYield-spot. See portBidYield-trend, portBidYield-volatility, instrumentAveragesRecord and instrumentPortBidYieldInfoDecay.

Reported on the reportSummary as Bid Yield (Port) - average.

portBidYield-spot
This is the value, computed daily, of the portBidYield. It is the basis of one of the instrument averages attributes - see portBidYield-average, portBidYield-trend, portBidYield-volatility and instrumentPortBidYieldInfoDecay.

Reported on the reportSummary as Bid Yield (Port) - spot

portBidYield-trend
This is the historical trend of portBidYield-spot. See portBidYield-average, portBidYield-volatility, instrumentAveragesRecord and instrumentPortBidYieldInfoDecay.

Reported on the reportSummary as Bid Yield (Port) - trend.

portBidYield-volatility
This is the historical volatility of portBidYield-spot. See portBidYield-average, portBidYield-trend, instrumentAveragesRecord and instrumentPortBidYieldInfoDecay.

Reported on the reportSummary as Bid Yield (Port) - volatility.

portBidYieldDifference
A calculated vector of (PSEUDO_PORTFOLIO_INDEX_MEMBERS-2) entries, used in subsequent calculations of pseudoModifiedDurationPort. It represents the differences in portBidYield between all but the highest and lowest priced elements of the pseudoList relative to their flanking members, so that the "portBidYieldDifference" corresponding to pseudoList[i] is

(portBidYield[i + 1] - portBidYield[i - 1]) / portBidYield[i]

where pseudoList is ranked in ascending order of its corresponding price.
portDurationContextMenu

This menu is available on the reportSummary by right-clicking on the following fields:

The following choices are availabe:

portfolio
A collection of securities having a single owner and overall investment policy (although there may be many beneficial owners).
portfolios
A table containing portfolioDataRecords that is contained within the userDatabase.
portfolioCashValue
A calculated value used in the determination of buyWeight/a> & sellWeight. It is defined as:

portfolioCashValue = dividendsDue + incomeTaxDue + capitalGainsTaxDue + securities value
where:
securitiesValue is the sum over all holdings (including cash) of marketValue

This value is reported by the portfolioReportBox.

portfolio data record
A record in the portfolio table of the permanentDatabase which includes the following fields:

Data from the "portfolioDataRecord" for any account may be viewed on the portfolioListReport.

"portfolioDataRecords" may be added to the portfolio table via the portfolioInputBox.

portfolioEvaluationReport Image
A document used to show portfolio evaluations, accessed via the "Portfolio Evaluations" selection on the mainMenu|Reports popup menu, controlled by the portfolioEvaluationReportMenu together with the portfolioEvaluationReportContextMenu
portfolioEvaluationReportContextMenu
A context menu available on the portfolioEvaluationReport when a defined area of the document is right-clicked. The views of this menu are:
portfolioEvaluationReportContextMenu|Body
A context menu available by clicking on the main body of the portfolioEvaluationReport (where numeric data is reported). The following choices are accessible:
  • Analytical Fields : Displays the fieldsMenu
  • Perform Evaluation : Performs and displays the defined evaluation, if possible.
  • Help : displays this glossary item.
portfolioEvaluationReportContextMenu|Columns
A context menu available on the portfolioEvaluationReport when a column heading in the main body of the report is right-clicked. Accessible choices are:
  • Show Date : displays the date upon which the attributes in each column were calculated (useful when the portfolio's evaluation date is different from the programmes analyticalDate)
  • Sum Column : Sums the column and displays the total at the bottom of the report
  • Delete Column : deletes the column
  • Sort Ascending : Sorts the rows of the report in ascending order of the column clicked
  • Sort Descending : Sorts the rows of the report in descending order of the column clicked
  • Set Precision : Sets the number of decimal places displayed in the column
  • Average by Weight : Averages the elements of the column weighted by Holdings - weight
  • Help
    • Fields help : displays the glossary item for the column data
    • Menu help : displays this glossary item
portfolioEvaluationReportContextMenu|Standard
A context menu shown upon right-clicking the portfolioEvaluationReport in the "headings" area that define the parameters of the evaluation.

The following choices are possible:

portfolioEvaluationReportContextMenu|Standard|InputField
Selecting this context-menu item via the portfolioEvaluationReportContextMenu|Standard on the portfolioEvaluationReport will have different effects depending upon the specific portion of the "headings" area that was right-clicked:
portfolioEvaluationReportMenu
The menu controlling the portfolioEvaluationReport.It allows the following choices:
portfolioEvaluationReportMenu|Select
A popup menu accessible from the portfolioEvaluationReportMenu on the portfolioEvaluationReport. It allows the following choices:
portfolioInputBox Image
A dialog box displayed upon selection of the "File|Add New Portfolio" selection on the portfolioListReportMenu, which allows additions to be made to the list of portfolios maintained by HIMIPref™.

The following information is required in order to define a portfolioDataRecord:

portfolioListReport
The "portfolioListReport" is displayed upon selection of the "Portfolio List|Show" choice on the mainMenu|Reports popup menu.

Some functionality available through this report is provided by the portfolioListReportMenu.

Further detail from reported items is available through the portfolioListReportContextMenu.

This report displays the following data from the portfolioDataRecord:

Common actions performed via this report are:

portfolioListReportContextMenu
A context menu providing further information regarding the elements of the portfolioListReport. There are five possible possible menus which may be displayed:
portfolioListReportContextMenu|accountName
A context menu available through right-clicking on accountName and accountNumber in the portfolioListReport that provides the following options:
portfolioListReportContextMenu|cash
A context menu available by right-clicking cashAndEquivalents on the portfolioListReport.

The following options are available:

portfolioListReportContextMenu|commissionScheduleID
A context menu available by right-clicking commissionScheduleID on the portfolioListReport.

The following options are available:

portfolioListReportContextMenu|systemConstantsID
A context menu available by right-clicking systemConstantsID on the portfolioListReport.

The following options are available:

portfolioListReportContextMenu|taxScheduleID
A context menu available by right-clicking taxScheduleID on the portfolioListReport. The following options are available:
portfolioListReportMenu
A menu controlling some functionality on the portfolioListReport.

The following options are available:

portfolio method
(i) A method of portfolio optimization in which the possible individual sales are paired with each each possible purchase and a decision regarding whether to trade or not is based on the potential for gain from the trade and the overall change in the risk characteristics of the portfolio. The riskiness of the portfolio is determined by comparing the weighted average of its risk attributes (as recognized by HIMIPref™) with those of the relevent index.

Potential trades are ranked in accordance with their weightedTradeDesirability after the trade size has been calculated. If the best trade has a tradeScore of 100.00 or more, that trade should be executed. The process should be reiterated (tradeIteration) until no possible trades meet the above conditions - in a simulation, a limit of MAX_TRADES_DAILY trades is set.

See also issue method.

(ii): A method of treating embeddedOptions in analysis of a single issue: each instrument is considered as a portfolio of notional securities, each representing a possible instance of the exercise of an embeddedOption. This calculation is performed on the optionCalculationList. This methodology has the virtues of being intuitive, fairly easy to analyze and also results in the highly desireable analytical result of having negative pseudoConvexity in instances in which a negative convexity should be expected. See also costMethod and curveMethod.

portfolioReportBox Image
This dialog box is accessible via the "Holdings" selection on the mainMenu|reports|activePortfolio, portfolioListReportContextMenu|cash, portfolioListReportContextMenu|taxScheduleID and portfolioListReportContextMenu|accountName popup menus.

The following information is displayed:

portfolioRiskReportBox Image
A dialog box accessible via the "Special|Risk Group Report" selection on the portfolioEvaluationReportMenu. It reports the proportions and averages of each of the riskAxes for the portfolio being evaluated on the portfolioEvaluationReport.

Specifically, the data reported are:

portfolioWeightedRisk
A calculated vector of RISK_MEASUREMENT_AXIS_TYPE_MEMBERS elements, corresponding to each of the riskAttribute. Each element is equal to the average value (weighted by issueWeight) over the portfolio of that particular riskAttribute unless:
  • There are no securities held in the portfolio, in which case all elements are set to ANALYTICAL_DOUBLE_NO_SOLUTION, or
  • The particular risk attribute for each security in the portfolio is incalculable.

If a particular risk attribute for a particular security is incalculable, the "portfolioWeightedRisk" is calculated as if that value was equal to the average of the other values; note that cash is assigned a riskAttribute value of zero or "false" as necessary.

See also indexWeightedRisk.

portfolio yield
In this approach, each scenario of events is considered and a probability assigned to the occurrence of each. The yield calculation considers the results of each scenario weighted by its probability. For details of the calculation, see optionCalculationList.
portYieldContextMenu
This context menu allows the following choices:

This menu is accessable by right-clicking on the following fields in the reportSummary:

portYieldMinimumTerm
An optimizableParameter used in the calculation of restrictedYieldToMaturity. The value of this parameter is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox.

postTradeHoldings
A column available on the transactionReport that reports the number of units of a security held by the portfolio after giving effect to the transaction signified by that line on the report.
preferred security
Sometimes referred to as COPrS (a creation of the Merrill Lynch brokerage firm), these issues resemble preferred shares, but pay interest income rather than dividends.
preferred share
Preferred shares are issued by corporations to raise funds for their activities. Very similar to bonds, the terms of investment are set in advance; dividends are usually paid quarterly. With a few exceptions, dividend payments are either fixed or floating rate (some, known as fixed-floaters, will pay a fixed rate for an initial term, after which the rate floats). A floating-rate preferred will usually pay dividends at some fixed percentage of the Canadian Prime Rate, although some will have the percentage itself adjusted in a pre-determined manner in an effort to maintain the market price at or near the issue price.

"Preferred shares" benefit from a favourable tax treatment on dividends from Canadian companies; for an investor in Ontario's top marginal tax bracket, dividends are taxed at an effective rate of 32.9%, as opposed to a rate of 48.8% on interest income and dividends on preferred securities (rates as of September, 2001).

"Preferred shares" can be subject to a bewildering array of features as outlined in their prospectus: redemptions, retractions and exchanges are the most common modifiers.

preIssue
A term used to indicate that the preferred share in question is not yet trading on the exchange: it has been announced and the underwriters are taking orders, but the issue has not yet been closed.

This period ends on the listingDate of the actual security, which by definition is the delistingDate of the "preIssue" security.

During the "preIssue" period, the issue may be analyzed by HIMIPref™ if the administrator has set up an instrumentDataRecord for the "preIssue" instrument : the pricingCode for such an instrument is set to PRICING_PREISSUE.

Issues of this type are analyzed with the following characteristics:

Although these issues have their individual attributes calculated on this basis and are considered eligible for trading (unless disallowed by the eligibleForPurchase function) they are not accounted for in the determination of the yieldCurve.

A reorgDataRecord is added to HIMIPref™ to show the conversion of the "preIssue" instrument to an issue with a pricingCode of PRICING_NORMAL; this reorgDataRecord has the following characteristics:

premium
The amount by which the price under consideration (market price, redemption price, etc.) exceeds the issue price. An instrument issued at $25 and redeemable at $26 has a redemption premium of $1. The opposite of "premium" is discount.

"Premium" can also refer to the difference in yield or price due to a particular factor or factors, from the price or yield which would be considered normal in the absence of such conditions.

premiumCreditClass2InfoDecay
An optimizable parameter with the identifier PARAMETER_CURVE_PREMIUM_CREDIT_CLASS_2_INFODECAY used as the dampingFactor in the calculation of averagePremiumCreditClass2, trendPremiumCreditClass2 and volatilityPremiumCreditClass2 from yieldCurvePremiumCreditClass2.

This parameter is reported in the analyticalParametersReportBox.

See also yieldCurveAveragesRecord.

premiumCreditClass3InfoDecay
An optimizable parameter with the identifier PARAMETER_CURVE_CREDIT_CLASS_3_INFODECAY used as the dampingFactor in the calculation of averagePremiumCreditClass3, trendPremiumCreditClass3 and volatilityPremiumCreditClass3 from yieldCurvePremiumCreditClass3.

This parameter is reported in the analyticalParametersReportBox.

See also yieldCurveAveragesRecord.

premiumCreditClassHighInfoDecay
An optimizable parameter with the identifier PARAMETER_CURVE_PREMIUM_CREDIT_CLASS_HIGH_INFODECAY used as the dampingFactor in the calculation of averagePremiumCreditClassHigh, trendPremiumCreditClassHigh and volatilityPremiumCreditClassHigh from yieldCurvePremiumCreditClassHigh.

This parameter is reported in the analyticalParametersReportBox.

See also yieldCurveAveragesRecord.

premiumCreditClassLowInfoDecay
An optimizable parameter with the identifier PARAMETER_CURVE_PREMIUM_CREDIT_CLASS_LOW_INFODECAY used as the dampingFactor in the calculation of averagePremiumCreditClassLow, trendPremiumCreditClassLow and volatilityPremiumCreditClassLow from yieldCurvePremiumCreditClassLow.

This parameter is reported in the analyticalParametersReportBox.

See also yieldCurveAveragesRecord.

premiumCumulativeDividendsInfoDecay
An optimizable parameter with the identifier PARAMETER_CURVE_PREMIUM_CUMULATIVEDIVIDENDS_INFODECAY used as the dampingFactor in the calculation of averagePremiumCumulativeDividends, trendPremiumCumulativeDividends and volatilityPremiumCumulativeDividends from yieldCurvePremiumCumulativeDividends

This parameter is reported in the analyticalParametersReportBox.

See also yieldCurveAveragesRecord.

premiumFloatingRateInfoDecay
An optimizable parameter with the identifier PARAMETER_CURVE_FLOATINGRATE_INFODECAY used as the dampingFactor in the calculation of yieldCurvePremiumFloatingRate, trendPremiumFloatingRate, volatilityPremiumFloatingRate and averagePremiumFloatingRate.

This parameter is reported in the analyticalParametersReportBox.

See also yieldCurveAveragesRecord.

premiumInterestIncomeInfoDecay
An optimizable parameter with the identifier PARAMETER_CURVE_PREMIUM_INTERESTINCOME_INFODECAY used as the dampingFactor in the calculation of averagePremiumInterestIncome, trendPremiumInterestIncome and volatilityPremiumInterestIncome from yieldCurvePremiumInterestIncome

See also yieldCurveAveragesRecord.

This parameter is reported in the analyticalParametersReportBox.

premiumLiquidityInfoDecay
An optimizable parameter with the identifier PARAMETER_CURVE_PREMIUM_LIQUIDITY_INFODECAY used as the dampingFactor in the calculation of averagePremiumLiquidity, trendPremiumLiquidity and volatilityPremiumLiquidity from yieldCurvePremiumLiquidity.

This parameter is reported in the analyticalParametersReportBox.

See also yieldCurveAveragesRecord.

premiumRetractibleInfoDecay
An optimizable parameter with the identifier PARAMETER_CURVE_PREMIUM_RETRACTIBLE_INFODECAY used as the dampingFactor in the calculation of averagePremiumRetractible, trendPremiumRetractible and volatilityPremiumRetractible from yieldCurvePremiumRetractible

This parameter is reported in the analyticalParametersReportBox.

premiumSplitShareCorpInfoDecay
An optimizable parameter with the identifier PARAMETER_CURVE_PREMIUM_SPLITSHARECORP_INFODECAY used as the dampingFactor in the calculation of averagePremiumSplitShareCorp, trendPremiumSplitShareCorp and volatilityPremiumSplitShareCorp from yieldCurvePremiumSplitShareCorp.

This parameter is reported in the analyticalParametersReportBox.

presentValue
(i) A field in a cash flow entry defined as:

This value may be reported in a cashFlowDiscountingAnalysisBox.

(ii) This term can also be used as the sum of each of the "present value" fields contained in the cashFlowEntry records contained within a cash flow discounting table.

This value may be reported in a cashFlowDiscountingAnalysisBox and the durationCalculationBox.

presentValueCurveAsk
A calculated value determined by the application of the yieldCurve to the curveAskTable to determine the present value of the cashFlowEntries contained therein.

This value is used in the subsequent calculation of meanPresentValue.

presentValueCurveBid
A calculated value determined by the application of the yieldCurve to the curveBidTable to determine the present value of the cashFlowEntries contained therein.

This value is used in the subsequent calculation of meanPresentValue.

preTaxAmount
A field in a futurePaymentRecord specifying the dollar value of the transaction that gave rise to this bookkeeping record. For example, if the futurePaymentRecord represents payment of taxes, the "preTaxAmount" will record the amount of income on which the tax is payable. This value is reported by the futurePaymentsReportBox.
prevDividendRecorded
A boolean value recorded during the calculation of flatBidPrice / flatAskPrice. If "true" it indicates that the values of prevExDate and prevPayDate were recovered from the dividendRecord with the ex-date immediately prior to the calculation date.

If "false" the implication is that the calculation date lies between the listingDate of the security and the first ex-date and requires that nextDividendRecorded be true.

If both "prevDividendRecorded" and nextDividendRecorded are "false", calculations will not be performed and programme execution will halt.

Prev. ex-Date (FlatValue) Report Summary
The ex-date immediately prior to the calculation date used in the calculation of flatBidPrice / flatAskPrice. Either or both of the "Prev. ex-date" or the Next ex-date must be recovered from a dividendRecord - if neither exists, no calculations will proceed.

See also Prev. pay-date (flat value).

Right-clicking this field in the reportSummary displays the flatValueContextMenu.

This value is reported in the flatValueDerivationBox.

previousRatchetYield
A calculated or recovered value used in the calculation of ratchetYield. It is defined as:
  • The prior day's "ratchetYield" if this value is defined, or
  • the currentYield of the instrument according to its second dividend payment, if this value is defined, or
  • the currentYield of the instrument according to its first dividend payment, if this value is defined.

This datum is reported in the ratchetRateCalculationBox.

Prev. pay-date (flat value) Report Summary
The payDate corresponding to the ex-date immediately prior to the calculation date used in the calculation of flatBidPrice / flatAskPrice (Prev. ex-Date (FlatValue)).

Right-clicking this field in the reportSummary displays the flatValueContextMenu.

This value is reported in the flatValueDerivationBox.

price
(i) A defined vector of PSEUDO_PORTFOLIO_INDEX_MEMBERS used to assign prices to each element of the pseudoList.

(ii) A field in a transactionDataRecord indicating the amount paid or received per share, prior to commission for each of the units involved in the transaction. This datum may be viewed on the transactionReport.

PRICE_AMORTIZATION_EXPONENT
A constraint used in the calculation of expectedBid that determines the shape of the amortization curve when amortizing the premium or discount of an issue relative to its maturity price.
PRICE_MOVEMENT_SCALING_PARENT
A methodology of calculating one element of the priceVolatilityScalingFactorComponent vector. The purpose of this methodology is to reduce the importance of rewardComponentTypes of the reward class REWARD_CLASS_PRICEMOVEMENT in the determination of totalRewardBid / totalRewardAsk when the price of the common stock of the issuer is declining, as such an occurance may often point to business problems with the issuer which may in turn lead to credit rating downgrades and fears thereof.

The scaling factor is calculated as:

decline = (parentPrice-spot/parentPrice-average) - PARAMETER_INSTRUMENT_VALUATION_PARENTPRICE_THRESHOLD

If "decline" is less than or equal to zero, then

factor = (1.0 + decline)^PARAMETER_INSTRUMENT_VALUATION_PARENTPRICE_EXPONENT

but if "decline" is greater than zero, then

factor = 1.0

As of 2004-07-21, the value of this methodology had not been tested.

PRICE_MOVEMENT_SCALING_VOLATILITY
A methodology of calculating one element of the priceVolatilityScalingFactorComponent vector.

It is calculated separately for each instrument by the formula:

factor = exp(PARAMETER_INSTRUMENT_VALUATION_VOLATILITYMODIFIER * flatBidPrice-volatility / flatBidPrice-spot)

The maximum value of the exponent in the above calculation is capped at MAX_PRICE_MOVEMENT_SCALING_EXPONENT; the exponent must be non-negative due to the definition of the factors.

The rationale behind this calculation is that rewardComponentTypes of the reward class REWARD_CLASS_PRICEMOVEMENT should have relatively higher importance when evaluating instruments which have had relatively higher historical price volatilities.

PRICE_SCALING_COUNT
The count of methodologies used to calculate the priceVolatilityScalingFactor.

These methodologies are identified as:

and each of these values is referred to as a priceVolatilityScalingFactorComponent.
priceComponentRiskBaseRate
A curve price component calculated by setting all Risk Attributes to false and not calculating the effects of YIELD_CURVE_SHORTTERM and YIELD_CURVE_LONGTERM. The value of the curveMeanPrice is then calculated using solely the yieldCurveBaseRate, discounting the cash flow entries at this fixed rate.

This value is reported on the Report Summary as priceFromBaseRate.

This value is reported in the componentsOfYieldCurvePriceBox.

priceComponentRiskCreditClass2
A curve price component calculated by determining the curveMeanPrice with the value of YIELD_CURVE_PREMIUM_CREDIT_CLASS_2 set to zero. This value is then subtracted from the meanPresentValue and the difference is the value of "priceComponentRiskCreditClass2".

This value is listed on the reportSummary as PV of Credit Spread (Class 2).

This value is reported in the componentsOfYieldCurvePriceBox.

priceComponentRiskCreditClass3
A curve price component calculated by determining the curveMeanPrice with the value of YIELD_CURVE_PREMIUM_CREDIT_CLASS_3 set to zero. This value is then subtracted from the meanPresentValue and the difference is the value of "priceComponentRiskCreditClass3".

This value is listed on the reportSummary as PV of credit spread (3) (Curve).

This value is reported in the componentsOfYieldCurvePriceBox.

priceComponentRiskCreditClassHigh
A curve price component calculated by determining the curveMeanPrice with the value of YIELD_CURVE_PREMIUM_CREDIT_CLASS_HIGH set to zero. This value is then subtracted from the meanPresentValue and the difference is the value of "priceComponentRiskCreditClassHigh".

This value is listed on the reportSummary as PV of Credit Spread (Class HIGH).

This value is reported in the componentsOfYieldCurvePriceBox.

priceComponentRiskCreditClassLow
A curve price component calculated by determining the curveMeanPrice with the value of YIELD_CURVE_PREMIUM_CREDIT_CLASS_LOW set to zero. This value is then subtracted from the meanPresentValue and the difference is the value of "priceComponentRiskCreditClassLow".

This value is listed on the reportSummary as PV of Credit Spread (Class LOW).

This value is reported in the componentsOfYieldCurvePriceBox.

priceComponentRiskCumulativeDividends
A curve price component calculated by determining the curveMeanPrice with the value of YIELD_CURVE_PREMIUM_CUMULATIVEDIVIDENDS set to zero. This value is then subtracted from the meanPresentValue and the difference is the value of "priceComponentRiskCumulativeDividends".

This value is listed on the Report Summary as priceFromCumDividends.

This value is reported in the componentsOfYieldCurvePriceBox.

priceComponentRiskFloatingRate
A curve price component calculated by determining the curveMeanPrice with the value of YIELD_CURVE_PREMIUM_FLOATINGRATE set to zero. This value is then subtracted from the meanPresentValue and the difference is the value of "priceComponentRiskFloatingRate".

This value is listed on the reportSummary as PV of Floating Rate Spread.

This value is reported in the componentsOfYieldCurvePriceBox.

priceComponentRiskInstrumentDisparity
A curve price component calculated by determining the curveMeanPrice with the value of YIELD_CURVE_INSTRUMENTDISPARITY (yieldDisparity) set to zero. This value is then subtracted from the meanPresentValue and the difference is the value of "priceComponentRiskInstrumentDisparity".

This value is listed on the reportSummary as priceDisparity.

priceComponentRiskInterestIncome
A curve price component calculated by determining the curveMeanPrice with the value of YIELD_CURVE_PREMIUM_INTERESTINCOME set to zero. This value is then subtracted from the meanPresentValue and the difference is the value of "priceComponentRiskInterestIncome".

This value is listed on the Report Summary as priceFromInterestType.

This value is reported in the componentsOfYieldCurvePriceBox.

priceComponentRiskLiquidity
A curve price component calculated by determining the curveMeanPrice with the value of YIELD_CURVE_PREMIUM_LIQUIDITY set to zero. This value is then subtracted from the meanPresentValue and the difference is the value of "priceComponentRiskLiquidity".

See priceFromLiquidity.

This value is reported in the componentsOfYieldCurvePriceBox.

priceComponentRiskLongTerm
A curve price component calculated by determining the curveMeanPrice with the value of YIELD_CURVE_LONGTERM set to zero. This value is then subtracted from the meanPresentValue and the difference is the value of "priceComponentRiskLongTerm".

This value is listed on the Report Summary as priceFromLongTerm.

This value is reported in the componentsOfYieldCurvePriceBox.

priceComponentRiskRetractible
A curve price component calculated by determining the curveMeanPrice with the value of YIELD_CURVE_PREMIUM_RETRACTIBLE set to zero. This value is then subtracted from the meanPresentValue and the difference is the value of "priceComponentRiskRetractible".

This value is listed on the Report Summary as Price from Retractibility.

This value is reported in the componentsOfYieldCurvePriceBox.

priceComponentRiskShortTerm
A curve price component calculated by determining the curveMeanPrice with the value of YIELD_CURVE_SHORTTERM set to zero. This value is then subtracted from the meanPresentValue and the difference is the value of "priceComponentRiskShortTerm".

This value is listed on the Report Summary as priceFromShortTerm.

This value is reported in the componentsOfYieldCurvePriceBox.

priceComponentRiskSplitShareCorp
A curve price component calculated by determining the curveMeanPrice with the value of YIELD_CURVE_PREMIUM_SPLITSHARECORP set to zero. This value is then subtracted from the meanPresentValue and the difference is the value of "priceComponentRiskSplitShareCorp".

This value is listed on the Report Summary as Price from SplitShare Status.

This value is reported in the componentsOfYieldCurvePriceBox.

priceComponentsCurveFraction
A vector of CASH_FLOW_TYPE_MEMBERS contained within a cashFlowDiscountingTable. The presentValue of the cash flow entries of each flowType are summed separately divided by the total, this fraction being recorded in the vector.

Values reported in the Report Summary are from the curveBidTable.

Specific members of this vector are:
flowType Fraction
CASHFLOW_DIVIDEND PV of dividends/Total (Curve)
CASHFLOW_INTEREST PV of Interest/Total (Curve)
CASHFLOW_FINALDIVIDEND PV of Final Dividend/Total (Curve)
CASHFLOW_MATURITYVALUE PV of Maturity Value/Total (Curve)
CASHFLOW_OPTIONEFFECT PV of Option Effects/Total (Curve)
CASHFLOW_INCOMETAX PV of Income Tax/Total (Curve)
CASHFLOW_TAXONMATURITY PV of Tax on Maturity/Total (Curve)
CASHFLOW_OPTIONTAX PV of Tax On Exercise/Total (Curve)
CASHFLOW_ADJUSTMENT_FIRSTDIVIDEND

"priceComponentsCurveFraction" for all issues may be displayed on the reportSummary via the "Cash Flow Totals (Fraction)" choice on the reportSummary|QuickReports menu.

priceComponentsCurveValue
A vector of CASH_FLOW_TYPE_MEMBERS contained within a cashFlowDiscountingTable. The presentValue of the cash flow entries of each flowType are summed separately and the total recorded in the vector.

Values reported in the Report Summary are from the curveBidTable.

Specific members of this vector are:
flowType Summation
CASHFLOW_DIVIDEND PV of dividends (Curve)
CASHFLOW_INTEREST PV of Interest (Curve)
CASHFLOW_FINALDIVIDEND PV of Final Dividend (Curve)
CASHFLOW_MATURITYVALUE PV of Maturity Value (Curve)
CASHFLOW_OPTIONEFFECT PV of Option Effects (Curve)
CASHFLOW_INCOMETAX PV of Income Tax (Curve)
CASHFLOW_TAXONMATURITY PV of Tax on Maturity (Curve)
CASHFLOW_OPTIONTAX PV of Tax On Exercise (Curve)
CASHFLOW_ADJUSTMENT_FIRSTDIVIDEND

"priceComponentsCurveValue" for all issues may be displayed on the reportSummary via the "Cash Flow Totals (value)" choice on the reportSummary|QuickReports menu.

priceDataRecord
A record in the marketValues table of the permanentDatabase consisting of the following fields:

For every securityCode defined in the instrument table which has a pricingCode of PRICING_NORMAL, there should be a record in this table for every date from the listingDate up to the delistingDate.

price disparity Report Summary
A calculated value classified as a REWARD_CLASS_PRICEMOVEMENT element of totalRewardBid / totalRewardAsk. The meanPresentValue of the instrument is computed and the "priceDisparity" determined as:.

Right-clicking this field in the reportSummary displays the curveCalculationContextMenu.

priceDisparity-average Report Summary
This is the historical average of priceDisparity-spot. See priceDisparity-trend, priceDisparity-volatility, instrumentAveragesRecord and instrumentPriceDisparityInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

priceDisparity-spot Report Summary
This is the value, computed daily, of priceDisparity. It is the basis of one of the instrument averages attributes - see priceDisparity-average, priceDisparity-trend, priceDisparity-volatility and instrumentPriceDisparityInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

priceDisparity-trend Report Summary
This is the historical trend of priceDisparity-spot. See priceDisparity-average, priceDisparity-volatility, instrumentAveragesRecord and instrumentPriceDisparityInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

priceDisparity-volatility Report Summary
This is the historical volatility of priceDisparity-spot. See priceDisparity-average, priceDisparity-trend, instrumentAveragesRecord and instrumentPriceDisparityInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

Price from Base Rate Report Summary
See priceComponentRiskBaseRate.
Price from Cum Dividends Report Summary
See priceComponentRiskCumulativeDividends.
Price from Interest Type Report Summary
See priceComponentRiskInterestIncome.
Price from Liquidity Report Summary
The name used on the reportSummary to report priceComponentRiskLiquidity.
Price from Long Term Report Summary
See priceComponentRiskLongTerm.
Price from Retractibility Report Summary
See priceComponentRiskRetractible
Price from ShortTerm Report Summary
See priceComponentRiskShortTerm.
Price from SplitShare Status Report Summary
See priceComponentRiskSplitShareCorp
Price Spread - average Report Summary
See spread-average.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox

PRICE_SPREAD_DEFAULT_FRACTION
A constraint used to determine the price spread (as a fraction of the bid price) of an instrument during its preIssue period.
Price Spread - Spot Report Summary
See spread-spot.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox

Price Spread - trend Report Summary
See spread-trend.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox

Price Spread - Volatility Report Summary
See spread-volatility.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox

priceVolatilityScalingFactor
A scaling factor applied to those reward components of the totalRewardBid / totalRewardAsk vectors which are of rewardClass REWARD_CLASS_PRICEMOVEMENT.

It is calculated as the product of each of the PRICE_SCALING_COUNT components of the priceVolatilityScalingFactorComponent vector.

This value is listed on the reportSummary as Volatility Modifier.

priceVolatilityScalingFactorComponent
One of the PRICE_SCALING_COUNT elements of the vector used to calculate the priceVolatilityScalingFactor. For a list of these components, see PRICE_SCALING_COUNT.
PRICING_COMMONSTOCK
A pricingExclusionType which indicates that the security represented by the instrumentDataRecord for which the pricingCode is specified is an equity issue.
PRICING_EXCLUDED_ADJUSTABLERATE
A pricingExclusionType which indicates that the security represented by the instrumentDataRecord for which the pricingCode is specified is not included in the marketValues table since the instrument is an adjustableRate security.
PRICING_EXCLUDED_CONVERTABLE
A pricingExclusionType which indicates that the security represented by the instrumentDataRecord for which the pricingCode is specified is not included in the marketValues table since the instrument is a convertable security which cannot be analyzed within the confines of HIMIPref™.

Although softMaturity is a form of conversion, this is analyzed as if the shares received are immediately converted into cash at a known rate. Additionally, many fixedReset issues are convertable, but these are analyzed as if the issue simply changes to one paying a ratchetYield on the conversion date. Generally, only those shares convertable into equity at a fixed ratio will be flagged with "PRICING_EXCLUDED_CONVERTABLE".

PRICING_EXCLUDED_PARTICIPATING
A pricingExclusionType which indicates that the security represented by the instrumentDataRecord for which the pricingCode is specified is not included in the marketValues table since the instrument is a participating preferred share.
PRICING_EXCLUDED_UNKNOWN
>A pricingExclusionType which indicates that the security represented by the instrumentDataRecord for which the pricingCode is specified is not included in the marketValues table for unknown reasons.
PRICING_EXCLUDED_USD
A pricingExclusionType which indicates that the security represented by the instrumentDataRecord for which the pricingCode is specified is not included in the marketValues table since the instrument is priced in US Dollars.
PRICING_NORMAL
A pricingExclusionType which indicates that the instrumentDataRecord for which the pricingCode is specified has a "normal" relationship with the marketValues table - there should be a priceDataRecord for each day on which the exchange was open between the listingDate and the delistingDate.
PRICING_PREISSUE
A pricingExclusionType which indicates that the instrumentDataRecord for which the pricingCode is specified is not an actual listed instrument, but has been announced and is expected to commence trading on the Toronto Stock Exchange in the near future.

See preIssue for further details of the analysis.

PRICING_UNDEFINED
A pricingExclusionType which indicates that the instrumentDataRecord for which the pricingCode is specified has an undefined relationship to the marketValues table.
pricingCode
A field in an instrumentDataRecord of type pricingExclusionType which specifies the details of how the instrument's market values are recorded in the marketValues table.

This datum is available through the instrumentDetailsBox.

pricingExclusionType
An enumerated type used to specify the pricingCode in an instrumentDataRecord. Possible values for this type (with the numerical value in brackets) are:
primary market
This refers to the initial sale of investments by the company, with proceeds (less dealer fees and expenses) received by the issuing company, in contrast to the secondary market.
priorBought
The number of shares of a particular issue bought in previous iterations during a tradeIteration. Important in the calculation of tradeSize and valueSizeAdjustmentBuy.
prior cash flow effect
A calculated value used in the cost method of option pricing in the calculation of netCashFlowEffect. It is calculated separately for puts and calls and is the sum of all the chronologically earlier net cash flow effects for options of the calculated type.

This value is reported in the optionCashFlowEffectAnalysisBox.

priorSold
The number of shares of a particular issue sold in previous iterations during a tradeIteration. Important in the calculation of tradeSize and valueSizeAdjustmentSell.
projectedDividendAnnualPercentage
A calculated value indicating the rate of floatingRate dividends to be paid according to the appropriate formula and floatingRateIndex.
proportionComponentRiskBaseRate
A curvePriceComponentsProportion defined as:

"proportionComponentRiskBaseRate" = priceComponentRiskBaseRate / meanPresentValue
.

This value is reported on the Report Summary as Fraction from Base Rate.

proportionComponentRiskCreditClass2
A curvePriceComponentsProportion defined as:

"proportionComponentRiskCreditClass2" = priceComponentRiskCreditClass2 / meanPresentValue

This value is listed on the reportSummary as Fraction from credit spread (Class 2).

proportionComponentRiskCreditClass3
A curvePriceComponentsProportion defined as:

"proportionComponentRiskCreditClass3" = priceComponentRiskCreditClass3 / meanPresentValue

This value is listed on the reportSummary as Fraction from credit spread (Class 3).

proportionComponentRiskCreditClassHigh
A curvePriceComponentsProportion defined as:

"proportionComponentRiskCreditClassHigh" = priceComponentRiskCreditClassHigh / meanPresentValue
.

This value is listed on the reportSummary as Fraction from credit spread (Class HIGH)

proportionComponentRiskCreditClassLow
A curvePriceComponentsProportion defined as:

"proportionComponentRiskCreditClassLow" = priceComponentRiskLow / meanPresentValue

This value is listed on the reportSummary as Fraction from credit spread (Class LOW).

proportionComponentRiskCumulativeDividends
A curvePriceComponentsProportion defined as:

"proportionComponentRiskCumulativeDividends" = priceComponentRiskCumulativeDividends / meanPresentValue

This value is listed on the Report Summary as Fraction from Cum Dividends.

proportionComponentRiskError
A curvePriceComponentsProportion defined as:

"proportionComponentRiskError" = Error on Curve Price Analysis / meanPresentValue

This value is listed on the reportSummary as Fraction from Curve Price Error

proportionComponentRiskFloatingRate
A curvePriceComponentsProportion defined as:

"proportionComponentRiskFloatingRate" = priceComponentRiskFloatingRate / meanPresentValue

This value is listed on the reportSummary as Fraction from Floating Rate

proportionComponentRiskInterestIncome
A curvePriceComponentsProportion defined as:

"proportionComponentRiskInterestIncome" = priceComponentRiskInterestIncome / meanPresentValue
.

This value is listed on the Report Summary as Fraction from Interest Type.

proportionComponentRiskInstrumentDisparity
A curvePriceComponentsProportion defined as:

"proportionComponentRiskInstrumentDisparity" = priceComponentRiskInstrumentDisparity / meanPresentValue
.

This value is listed on the Report Summary as Fraction from Price Disparity

proportionComponentRiskLiquidity
A curvePriceComponentsProportion defined as:

"proportionComponentRiskLiquidity" = priceComponentRiskLiquidity / meanPresentValue

This value is listed on the reportSummary as Fraction from Liquidity Premium

proportionComponentRiskLongTerm
A curvePriceComponentsProportion defined as:

"proportionComponentRiskLongTerm" = priceComponentRiskLongTerm / meanPresentValue
.

This value is reported on the Report Summary as Fraction from Long Term.

proportionComponentRiskRetractible
A curvePriceComponentsProportion defined as:

"proportionComponentRiskRetractible" = priceComponentRiskRetractible / meanPresentValue

This value is reported on the Report Summary as Fraction from Retractibility.

proportionComponentRiskShortTerm
A curvePriceComponentsProportion defined as:

"proportionComponentRiskShortTerm" = priceComponentRiskShortTerm / meanPresentValue
.

This value is listed on the Report Summary as Fraction from ShortTerm.

proportionComponentRiskSplitShareCorp
A curvePriceComponentsProportion defined as:

"proportionComponentRiskSplitShareCorp" = priceComponentRiskSplitShareCorp / meanPresentValue

This value is listed on the Report Summary as Fraction from SplitShare Status.

prospectus
A legal document, prepared upon the issuance of a new security, setting forth information that is sufficient (in the eyes of the securities commissions) to enable an investor to determine whether to invest in a particular security. Details of dividends, redemption options, retraction options, for instance, is crucial. In 1997 the Canadian Securities Administrators and the Canadian Depositary for Securities commenced operating the System for Electronic Document Analysis and Retrieval>, an excellent source of documentation which includes prospectuses.
pseudoConvexity
A general term referring to three values calculated in a very simmilar manner:.

These measures are all computed using resources calculated on the pseudoList. The relevent pseudoModifiedDurations for each of three specified prices (the calculation price and two bounding prices) are calculated and the ratio between the change in pseudoModifiedDuration (the pseudoModifiedDurationDifference) and the change in price (the percentPriceDifference ) is defined as the "pseudoConvexity".

pseudoConvexityCalculationBox Image
This dialog box is available through the pseudoConvexityContextMenu or the "pseudoConvexity" sub-menu of the graphContextMenu|attributes context menu and provides the following information:

Clicking the "details" button will show the pseudoModifiedDurationCalculationBox for each of the three pseudoModifiedDuration calculations required for the calculation.

pseudoConvexityContextMenu

This menu is accessible on the reportSummary by right-clicking on the following fields:

The "pseudoConvexityContextMenu" affords the following options:

pseudoConvexityCost
This is a calculated value, an instance of pseudoConvexity, deriving from pseudoModifiedDurationCost. It is empirically derived since a normal closed form of convexity calculation will not properly account for embedded options, which for the purpose of this value are calculated at PSEUDO_PORTFOLIO_INDEX_MEMBERS different price levels using the cost method of option pricing.

Using the pseudoList, and calculating the "pseudoConvexityCost" for element i, we first define

percentModifiedDurationCostDifference[i] = (pseudoModifiedDurationCost[i + 1] - pseudoModifiedDurationCost[i - 1]) / pseudoModifiedDurationCost[i]

and then

"pseudoConvexityCost"[i] = percentModifiedDurationCostDifference / percentPriceDifference[i];

"pseudoConvexityCost" is one of the riskAttributes considered by HIMIPref™.

This value is also used in the subsequent calculation of PENALTY_COMPONENT_PSEUDOCONVEXITY_COST

Also listed as Pseudo-Convexity (Cost Method).

A weighted average for a portfolio for this attribute is reported by the portfolioRiskReportBox.

Pseudo-Convexity (Cost Method) Report Summary Report Summary
See pseudoConvexityCost.

Right-clicking this field in the reportSummary displays the pseudoConvexityContextMenu.

pseudoConvexityPort
This is a calculated value, an instance of pseudoConvexity, deriving from pseudoModifiedDurationPort. It is empirically derived since a normal closed form of convexity calculation will not properly account for embedded options, which for the purpose of this value are calculated at PSEUDO_PORTFOLIO_INDEX_MEMBERS different price levels using the portfolioMethod (ii).

Using the pseudoList, and calculating the "pseudoConvexityPort" for element i, we first define

percentModifiedDurationPortDifference[i] = (pseudoModifiedDurationPort[i + 1] - pseudoModifiedDurationPort[i - 1]) / pseudoModifiedDurationPort[i]

and then

"pseudoConvexityPort"[i] = percentModifiedDurationPortDifference / percentPriceDifference[i]

This value may be displayed on the Report Summary as Pseudo-Convexity (Port Method)

"pseudoConvexityPort" is one of the riskAttributes considered by HIMIPref™.

This value is also used in the subsequent calculation of PENALTY_COMPONENT_PSEUDOCONVEXITY_PORT

A weighted average for a portfolio for this attribute is reported by the portfolioRiskReportBox.

Pseudo-Convexity (Port Method) Report Summary Report Summary
See pseudoConvexityPort.

Right-clicking this field in the reportSummary displays the pseudoConvexityContextMenu.

pseudoConvexityWorst ReportSummary
This is a calculated value, an instance of pseudoConvexity, deriving from pseudoModifiedDurationWorstBid. It is empirically derived since a normal closed form of convexity calculation will not properly account for embedded options, which for the purpose of this value are calculated at PSEUDO_PORTFOLIO_INDEX_MEMBERS different price levels using the portfolio method (2).

Using the pseudoList, and calculating the "pseudoConvexityWorst" for element i, we first define

percentModifiedDurationWorstDifference[i] = (pseudoModifiedDurationWorstBid[i + 1] - pseudoModifiedDurationWorstBid[i - 1]) / pseudoModifiedDurationWorstBid[i]

and then

"pseudoConvexityWorst"[i] = percentModifiedDurationWorstDifference / percentPriceDifference[i];

This value is used in the subsequent calculation of PENALTY_COMPONENT_PSEUDOCONVEXITY_WORST

Right-clicking on this field in the reportSummary will produce the pseudoConvexityContextMenu.

pseudoConvexityCostPenalty
An optimizableParameter with the identifier PARAMETER_PENALTY_PSEUDOCONVEXITY_COST used when calculating the penaltyComponents
pseudoConvexityPortPenalty
An optimizableParameter with the identifier PARAMETER_PENALTY_PSEUDOCONVEXITY_PORT used when calculating the penaltyComponents
pseudoConvexityWorstPenalty
An optimizableParameter with the identifier PARAMETER_PENALTY_PSEUDOCONVEXITY_WORST used when calculating the penaltyComponents
pseudoList
A vector of PSEUDO_PORTFOLIO_INDEX_MEMBERS members used in the calculation of pseudoModifiedDuration and pseudoConvexity. Each element of the vector is analyzed to determine a particular measurement of yield with price intervals of 1% of the actual bid price between each member of the vector. These data are analyzed to determine various analytical values:
Data from "pseudoList" pseudoModifiedDuration pseudoConvexity
bid All All
costBidYield pseudoModifiedDurationCost pseudoConvexityCost
bidYieldToWorst pseudoModifiedDurationWorstBid pseudoConvexityWorst
portBidYield pseudoModifiedDurationPort pseudoConvexityPort
pseudoModifiedDuration
The generic term for any of three measures:

These measures are all computed using resources calculated on the pseudoList. The relevent yields for each of three specified prices (the calculation price and two bounding prices) are calculated and the ratio between the change in yield (percentYieldDifference) and the change in price (percentPriceDifference) is defined as the "pseudoModifiedDuration".

pseudoModifiedDurationCalculationBox Image
A report box accessible via the pseudoModifiedDurationContextMenu and through the pseudoConvexityCalculationBox.

For the instrument in question it shows the following fields:

Clicking the "Details" button of the "pseudoModifiedDurationCalculationBox" will show three instances of the pseudoPortfolioReportBox, one for the each of the instrument's base, higher and lower prices.

pseudoModifiedDurationContextMenu

This menu is accessable on the reportSummary by right-clicking on the following fields:

.

It affords the following choices:

pseudoModifiedDurationCost
A calculated variable determined for each instrument and one instance of the general term pseudoModifiedDuration.

The pseudoList vector is checked to ensure that the costBidYield has been determined for each of its PSEUDO_PORTFOLIO_INDEX_MEMBERS members. If not, the "pseudoModifiedDurationCost" for the instrument is set to "undefined".

If all members have been calculated, then the (PSEUDO_PORTFOLIO_INDEX_MEMBERS-2) percentPriceDifference and the costBidYieldDifference vectors are calculated. Then

"pseudoModifiedDurationCost" = - percentPriceDifference / costBidYieldDifference

is calculated for the (PSEUDO_PORTFOLIO_INDEX_MEMBERS-2) relevent elements.

This resultant vector is used in the further calculation of pseudoConvexityCost.

This calculation is considered necessary since a standard calculation of modified duration will be inaccurate due the influence of embedded options which are here accounted for according to the cost method of option pricing.

Note that only issues with a "pseudoModifiedDurationCost" in excess of YIELD_CURVE_PSEUDOMODIFIEDDURATION_MINIMUM are considered when calculating the self-consistent yieldCurve.

"pseudoModifiedDurationCost" is one of the riskAttributes considered by HIMIPref™. See also PARAMETER_PORTFOLIO_MINCOSTBIDPSEUDOMODIFIEDDURATIONBUY

Also listed as Pseudo-Modified Duration (Cost Method).

These calculations are shown in the pseudoModifiedDurationCalculationBox.

This value is listed on the reportSummary as Pseudo-Modified Duration (Cost Method)

This value is also important in the calculation of tradeSize via the procedure eligibleForPurchase.

A weighted average for a portfolio for this attribute is reported by the portfolioRiskReportBox.

Pseudo-Modified Duration (Cost Method) Report Summary Report Summary
See pseudoModifiedDurationCost.

Right-clicking this field in the reportSummary will display the pseudoModifiedDurationContextMenu.

pseudoModifiedDurationDifference
A calculated variable which may be based on either pseudoModifiedDurationPort or pseudoModifiedDurationCost. The relevent measure is calculated for the central three members of the pseudoList and

pseudoModifiedDurationDifference = ( PMD(H) - PMD(L) ) / PMD(B)

where:
.

This value is reported in the pseudoConvexityCalculationBox.

pseudoModifiedDurationPort
A calculated variable determined for each instrument and one instance of the general term pseudoModifiedDuration.

The pseudoList vector is checked to ensure that the portBidYield has been determined for each of its PSEUDO_PORTFOLIO_INDEX_MEMBERS members. If not, the "pseudoModifiedDurationPort" for the instrument is set to "undefined".

If all members have been calculated, then the (PSEUDO_PORTFOLIO_INDEX_MEMBERS-2) percentPriceDifference and the portBidYieldDifference vectors are calculated. Then

"pseudoModifiedDurationPort" = - percentPriceDifference / portBidYieldDifference

is calculated for the (PSEUDO_PORTFOLIO_INDEX_MEMBERS-2) relevent elements.

This resultant vector is used in the further calculation of pseudoConvexityPort.

This calculation is considered necessary since a standard calculation of modified duration will be inaccurate due the influence of embedded options which are here accounted for according to the portfolioMethod.

"pseudoModifiedDurationPort" is one of the riskAttributes considered by HIMIPref™.

This value is listed on the reportSummary as Pseudo-Modified Duration (Port Method)

A weighted average for a portfolio for this attribute is reported by the portfolioRiskReportBox.

Pseudo-Modified Duration (Port Method) Report Summary Report Summary
See pseudoModifiedDurationPort.

Right-clicking this field in the reportSummary will display the pseudoModifiedDurationContextMenu.

pseudoModifiedDurationWorstBid Report Summary Report Summary
A calculated variable determined for each instrument and one instance of the general term pseudoModifiedDuration.

The pseudoList vector is checked to ensure that the bidYieldToWorst has been determined for each of its PSEUDO_PORTFOLIO_INDEX_MEMBERS members. If not, the "pseudoModifiedDurationWorstBid" for the instrument is set to "undefined".

If all members have been calculated, then the (PSEUDO_PORTFOLIO_INDEX_MEMBERS-2) percentPriceDifference and the worstBidYieldDifference vectors are calculated. Then

"pseudoModifiedDurationWorstBid" = - percentPriceDifference / worstBidYieldDifference

is calculated for the (PSEUDO_PORTFOLIO_INDEX_MEMBERS-2) relevent elements.

This resultant vector is used in the further calculation of pseudoConvexityWorst.

This calculation is considered necessary since a standard calculation of modified duration will be inaccurate due the influence of embedded options which are here accounted for by presuming that the sequence of possible events which is worst for the holder has a 100% chance of occurence.

This value is also used in the procedure eligibleForPurchase during the calculation of tradeSize.

"pseudoModifiedDurationWorstBid" is one of the riskAttributes considered by HIMIPref™. See also PARAMETER_PORTFOLIO_MINWORSTBIDPSEUDOMODIFIEDDURATIONBUY.

Right-clicking this field in the reportSummary will display the pseudoModifiedDurationContextMenu.

A weighted average for a portfolio for this attribute is reported by the portfolioRiskReportBox.

PSEUDO_PORTFOLIO_INDEX_MEMBERS
A constraint which determines the length of the pseudoList vector. It will (except in certain experimental situations) have a value of 5, since three measures of duration are required to compute convexity and three measures of yield required for duration.
pseudoPortfolioReportBox Image
This dialog box is accessible from the pseudoModifiedDurationCalculationBox, portYieldContextMenu and the portDurationContextMenu on the reportSummary, or the graphContextMenu|attributes context menu of the graphDocument and displays the following information for each element of the option calculation list (if applicable to the calculation):as well as the valuesaccording to context.

This box also provides a link (via the button labelled "cashflows" to either the cashFlowDiscountingAnalysisBox or the durationCalculationBox, depending upon context.

put
A type of option which gives the holder the right, but not the obligation, to sell securities at a specified price (the strikePrice) at a specified time in the future. In the preferred share universe, many issues will have "puts" as embedded options.
putCallInfo
A table contained in the permanentDatabase which contains optionDataRecords.
put probability
Used in each of the portfolio method, cost method and curve method of calculation, the "put probability" is the probability that an embedded option for retraction will be exercised on or before the date attached to the option entry in the optionCalculationList. See exercise probability for details on the calculation.
PV of Credit Spread (Class 2) Report Summary
The name used on the reportSummary to report priceComponentRiskCreditClass2.
PV of credit spread (3) (Curve) Report Summary
The name used on the reportSummary to report priceComponentRiskCreditClass3.
PV of Credit Spread (Class HIGH) Report Summary
The name used on the reportSummary to report priceComponentRiskCreditClassHigh.
PV of Credit Spread (Class LOW) Report Summary
The name used on the reportSummary to report priceComponentRiskCreditClassLow.
PV of dividends (Curve) Report Summary
A member of the priceComponentsCurveValue vector representing the Present Value of all dividend entries contained in the curveBidTable. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_DIVIDEND.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PV of dividends/Total (Curve) Report Summary
A member of the priceComponentsCurveFraction vector representing the Present Value of all dividend entries contained in the curveBidTable divided by the total present value of all the entries. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_DIVIDEND.
PV of Final Dividend (Curve) Report Summary
A member of the priceComponentsCurveValue vector representing the Present Value of the final dividend entry (which is not necessarily a full dividend, or considered payable on a regular payment date) contained in the curveBidTable. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_FINALDIVIDEND.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PV of Final Dividend/Total (Curve) Report Summary
A member of the priceComponentsCurveFraction vector representing the Present Value of the final dividend entry (which is not necessarily a full dividend, or considered payable on a regular payment date) contained in the curveBidTable divided by the total present value of all the entries. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_FINALDIVIDEND.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PV of First Dividend Adjustment Report Summary
A member of the priceComponentsCurveValue vector representing the Present Value of the first dividend paid on the issue (which may be either positive or negative) contained in the curveBidTable. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_ADJUSTMENT_FIRSTDIVIDEND.

Note that this value will always be zero if the calculation date occurs after the first ex-Date.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PV of First Dividend Adjustment/total Report Summary
A member of the priceComponentsCurveFraction vector representing the Present Value of the adjustment to the first dividend paid on the issue (which may be either positive or negative) contained in the curveBidTable divided by the total present value of all the entries. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_ADJUSTMENT_FIRSTDIVIDEND.

Note that this value will always be zero if the calculation date occurs after the first ex-Date.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PV of Floating Rate Spread Report Summary
The name used on the reportSummary to report priceComponentRiskFloatingRate.
PV of Income Tax (Curve) Report Summary
A member of the priceComponentsCurveValue vector representing the Present Value of all income tax entries contained in the curveBidTable. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_INCOMETAX.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PV of Income Tax/Total (Curve) Report Summary
A member of the priceComponentsCurveFraction vector representing the Present Value of all income tax entries contained in the curveBidTable divided by the total present value of all the entries. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_INCOMETAX.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PV of Interest (Curve) Report Summary
A member of the priceComponentsCurveValue vector representing the Present Value of all interest entries contained in the curveBidTable. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_INTEREST.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PV of Interest/Total (Curve) Report Summary
A member of the priceComponentsCurveFraction vector representing the Present Value of all interest entries contained in the curveBidTable divided by the total present value of all the entries. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_INTEREST.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PV of Maturity Value (Curve) Report Summary
A member of the priceComponentsCurveValue vector representing the Present Value of the maturity value contained in the curveBidTable. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_MATURITYVALUE.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PV of Maturity Value/Total (Curve) Report Summary
A member of the priceComponentsCurveFraction vector representing the Present Value of the maturity value contained in the curveBidTable divided by the total present value of all the entries. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_MATURITYVALUE.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PV of Option Effects (Curve) Report Summary
A member of the priceComponentsCurveValue vector representing the Present Value of all entries representing option effects contained in the curveBidTable. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_OPTIONEFFECT.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PV of Option Effects/Total (Curve) Report Summary
A member of the priceComponentsCurveFraction vector representing the Present Value of all entries representing option effects contained in the curveBidTable divided by the total present value of all the entries. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_OPTIONEFFECT.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PV of Tax On Exercise (Curve) Report Summary
A member of the priceComponentsCurveValue vector representing the Present Value of all entries representing tax on option exercise contained in the curveBidTable. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_OPTIONTAX.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

This value is reported by the tradingFrictionAnalysisBox.

PV of Tax On Exercise/Total (Curve) Report Summary
A member of the priceComponentsCurveFraction vector representing the Present Value of all entries representing tax on option exercise contained in the curveBidTable divided by the total present value of all the entries. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_OPTIONTAX.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PV of Tax on Maturity (Curve) Report Summary
A member of the priceComponentsCurveValue vector representing the Present Value of entries representing tax that will be payable upon maturity contained in the curveBidTable. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_TAXONMATURITY.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PV of Tax on Maturity/Total (Curve) Report Summary
A member of the priceComponentsCurveFraction vector representing the Present Value of entries representing tax that will be payable upon maturity contained in the curveBidTable divided by the total present value of all the entries. The identifier (and flowType of the cash flow entries summed) is CASHFLOW_TAXONMATURITY.

Right-clicking on this field in the reportSummary will display the cashFlowDiscountingContextMenu.

PVtaxOnSaleAsk
This calculated value seeks to quantify the present value of capital gains tax that will be payable if the instrument is sold at the ask price and is used in the subsequent calculation of capitalGainFrictionAsk. It is defined as:

PVtaxOnSaleAsk = capitalGainAsk * effectiveTaxRate * discountingFactor

where effectiveTaxRate is determined according to the portfolio's tax situation

and discountingFactor is determined from the current yield curve, discounting until the taxPayDate

Note that "PVtaxOnSaleAsk" will always be greater than PVTaxOnSaleBid since capitalGainBid will always be less than capitalGainAsk, while effectiveTaxRate and discountingFactor will always be positive.

PVtaxOnSaleBid
This calculated value seeks to quantify the present value of capital gains tax that will be payable if the instrument is sold at the bid price and is used in the subsequent calculation of capitalGainFrictionBid. It is defined as:

PVtaxOnSaleBid = capitalGainBid * effectiveTaxRate * discountingFactor

where effectiveTaxRate is determined according to the portfolio's tax situation

and discountingFactor is determined from the current yield curve, discounting until the taxPayDate

Note that "PVtaxOnSaleBid" will always be less than PVTaxOnSaleAsk since capitalGainBid will always be less than capitalGainAsk, while effectiveTaxRate and discountingFactor will always be positive.

This value is reported by the tradingFrictionAnalysisBox.

quantitative investing
Quantitative investing examines potential investments through the application of generalized rules to arrive at an unequivocal indication of whether or not a particular trade is attractive. This is usually done nowadays through use of computers to examine how well these rules have worked in the past.

The rule of thumb which states bank stocks should be bought when their dividend yield exceeds 60% of the yield of a 10-year bond is an example (albeit a simple one) of quantitative investing.

One might expect this phrase to be contrasted with qualitative investing, but this term is not used. The phrase "Quantitative investing" is usually used to indicate a high degree of reliance on complex rules with the assistance of computers.

quotation
The pair of prices representing the bid and offer.

The "quotation" is listed on the tradeEvaluationReportBox, the riskMeasurementCalculationBox, the tradingFrictionAnalysisBox, the portfolioReportBox and the pickupCalculationBox.

ratchetFloatingRate
An instrument described as "ratchet Floating Rate" is one that pays dividends based on two variables
  • The index yield (which is usually the Canadian Prime Rate, and
  • The percentage of this yield paid

The second of these variables is generally determined by the market price averaged over a trailing period. For example, the prospectus dated December 10, 1997 for the BCE Inc. Cumulative Redeemable First Preferred Shares, Series Y (BCE.PR.Y on the Toronto Exchange) states:

From December 1, 2002, floating adjustable cumulative preferred cash dividends payable monthly on the twelfth day of each month commencing with the month of January 2003, with the annual floating dividend rate for the first month equal to 80% of Prime. The dividend rate will float in relation to changes in Prime and will be adjusted upwards or downwards on a monthly basis whenever the Calculated Trading Price of the Series Y Preferred Shares is $24.875 or less or $25.125 or more respectively. The maximum monthly adjustment for changes related to the Calculated Trading Price will be ±4.00% of Prime. However, the annual floating dividend rate applicable in a month will in no event be less than 50% of Prime or greater than Prime.

HIMIPref™ computes projected future dividends in accordance with the procedure outlined in ratchetYield.

ratchetPriceDelta
A calculated value used in the subsequent calculation of ratchetYield. It is defined as:

"ratchetPriceDelta" = differenceFromPar / curveMeanPrice
ratchetRateCalculationBox Image
A dialog box available through the dividendRateContextMenu on the reportSummary and the "Floating Rate Calculation" selection on the graphContextMenu|attributes context menu. This box reports the following information regarding the calculation of ratchetYield:
ratchetYield
"ratchetYield" is the projected dividend rate to be paid on a ratchetFloatingRate instrument. It is calculated for all instruments which have the FLOATING_RATE_RATCHET flag in the formula field of their instrumentFloatingRateDataRecord.

The calculation proceeds as follows:

The calculation of "ratchetYield" is reported in the ratchetRateCalculationBox.

ratchetYield-average Report Summary
This is the historical average of ratchetYield-spot. See ratchetYield-trend, ratchetYield-volatility, instrumentAveragesRecord and ratchetYieldInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

ratchetYieldDelta
A calculated value used in the subsequent calculation of ratchetYield.It is defined as:

"ratchetYieldDelta" = - ratchetPriceDelta / yieldCurveBaserate
ratchetYieldInfoDecay
An optimizableParameter with the identifier PARAMETER_INSTRUMENT_RATCHETYIELD_INFODECAY that is used as the dampingFactor when computing the exponential moving average of ratchetYield-spot to derive ratchetYield-average, ratchetYield-trend and ratchetYield-volatility.

This parameter is reported in the analyticalParametersReportBox.

ratchetYield-spot Report Summary
This is the value, computed daily, of the ratchetYield. It is the basis of one of the instrument averages attributes - see ratchetYield-average, ratchetYield-trend, ratchetYield-volatility and ratchetYieldInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

ratchetYield-trend Report Summary
This is the historical trend of ratchetYield-spot. See ratchetYield-average, ratchetYield-volatility, instrumentAveragesRecord and ratchetYieldInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

ratchetYield-volatility Report Summary
This is the historical volatility of ratchetYield-spot. See ratchetYield-average, ratchetYield-trend, instrumentAveragesRecord and ratchetYieldInfoDecay.

Right-clicking this field in the reportSummary displays the instrumentAveragesContextMenu.

This datum may be displayed on the instrumentAveragesReportBox.

rate overlap
This is the term used for a condition which must be avoided during the computation of the yield curve when attempting changes to the credit class premia. Specifically, this condition is checked when attempting changes to:

All permissable combinations must be positive (except 1H, which must be negative) and ranked in the following increasing order:

  • 1H
  • 1 (0 by definition)
  • 1L
  • 2H
  • 2
  • 2L
  • 3H
  • 3
  • 3L

Note that creditClass1 [1] is defined by construction: an instrument eligible for analysis which has both credit class 2 and credit class 3 risk attributes set to FALSE.

raw cash flow effect
A calculated value used in the calculation of cost method of option pricing and the curve method of option pricing. In the former case, it is defined as:

When calculating according the curve method of option pricing, the value averagePriceIfExercised may be substituted by replacementCostCurve, if this value is higher for a call, or lower for a put.

"raw cash flow effect" is reported in the optionCashFlowEffectAnalysisBox.

record date
The date on which the registrar's books are examined (at the close of business) and a determination made of shareholders made for purposes of allocation of benefits. Most usually, this benefit will be a dividend or interest payment, but reorganization is also an important activity.

The "record date" is one of the fields of a dividend record.

The "record date" is also one of the fields of the reorganization database.

This datum may be reported in the dividendsBox.

recordID
A field in a systemConstantsRecord which provides a unique identifier for the set of optimizableParameters and constraints specified in that record.

See portfolioDataRecord.

recursions
The number of times the optionCalculationList had to be recalculated before a stable self-consistent maturity price was found.

This datum is reported in the maturityDetailsBox.

redeem
An issue is redeemed when the issuer returns the invested cash to the investor, sometimes with a premium. If the date of this action was known and fixed at the time of issue, this date may be known as the maturity date. If there are varying dates (and usually varying premia) on which the issuer may, at its option, redeem the issue, the issue is referred to as redeemable. If there is a date on which the investor may demand redemption, at the investor's option, the issue is referred to a retractible.

A "redemption" is one example of a reorganization.

redeemable
An issue is redeemable (referred to as callable in the bond markets) if the issuer has the right (specified in the prospectus) to return the issue price of the instrument on certain dates, sometimes with a premium payable as well. These dates and premia are specified at the time of issue of the instrument. There may be multiple dates or periods allowed for potential redemption, usually with premia that decline to $0 (that is, ONLY the initial investment is returned).
registrar
The firm, usually a Trust Company, which is entrusted by the issuer with the responsibility of keeping an up-to-date record of the shares outstanding, holders and holdings of particular issue.
regressionResultBox Image
A dialog box available via the "Regression" selection on the graphMenu|View popup menu and through the performanceInstrumentRiskGroupAnalysis process. It presents the results of a multilinear regression performed on the observed data. When performed via the graphMenu|View popup menu, only those points actually drawn on the plot will be included in the regression - any points previously removed via the "Remove point from graph" selection on the graphContextMenu|attributes context menu will not be included.

Data reported in the "regressionResultBox" are:

  • Title of graph, x-axis label and y-axis label
  • Intercept and Standard Error of intercept
  • Regression Coefficient(s) and Standard Error(s)
  • Regression Sum of Squares
  • R Squared
  • F Statistic
  • Rejection Threshold : the user-input value of the variance allowed, in terms of standard deviation, above which points included in the first regression are removed from consideration for the second regression
  • Rejection Count : The number of points rejected prior to the second regression
  • Observation Count : The number of observation included in the second regression.

Statistical terms are those used in standard textbooks: see Norman Draper & Harry Smith, Applied Regression Analysis, Second Edition, John Wiley & Sons 1981, ISBN 0-471-02995-5.

REORG_DISCONTINUED
An indicator in the reorgtype field of the reorganization database that indicates that the transaction specified by the record is a discontinuation of analysis by HIMIPref™ due to factors such as continuing low volume and volatile pricing that make analysis of the instrument a futile exercise. This is treated by the system identically to REORG_REDEMPTION, with the redemption price being set to the last available bid price.
REORG_NAMECHANGE
An indicator in the reorgtype field of the reorganization database that indicates that the transaction specified by the record is a name change, which can sometimes be as trivial as a change in ticker symbol.
REORG_REDEMPTION
An indicator in the reorgtype field of the reorganization database that indicates that the transaction specified by the record is a redemption. In this case the value of newcode will be set to SECURITY_CODE_CASH, the value of newshares will be set to zero and the value of newcash set to the redemption price.
REORG_PREISSUESETTLEMENT
An indicator in the reorgtype field of the reorganization database that indicates that the transaction specified by the record is the listing of a security which has previously been analyzed using the procedure specified by PRICING_PREISSUE.
REORG_TERMCHANGE
An indicator in the reorgtype field of the reorganization database that indicates that the transaction specified by the record is a change in the terms of the issue, for example an increase in the dividend rate, which may in some cases not even involve changing the ticker symbol.
reorg
This table is contained in the permanentDatabase and is used in HIMIPref™ to record information about reorganizations that have affected the universe examined.

It is comprised of reorgDataRecords.

reorganization
The process in which an issue changes its characteristics, usually according to the terms of the prospectus. "Reorganizations" include

Information about "reorganizations" is recorded in the reorg database.

reorgDataRecord
A record in the reorg table of the permanentDatabase recording reorganizations that have affected the universe examined by HIMIPref™.

It may be used to create a reorgTransactionRecord.

It is comprised of the following fields:

reorgTransactionRecord
A temporary data structure derived from a reorgDataRecord used in the course of simulations to indicate how a particular reorganization has affected the activePortfolio. It may then be used to create a transactionDataRecord.

It is comprised of the following fields:

reorgtype
A field in the reorg database specifying the kind of transaction referred to by the record. Types of reorganizations recognized by HIMIPref™ (and their numeric codes in parentheses) are:
reorg Value Date
The date on which a reorganization takes effect. By convention, this date will be equal to the delisting date of the issue.
replacementCostCurve
This is a calculated value used in the curve method of option pricing. It is derived by applying the yieldCurve from the calculation date to the stubDiscountingBid cash flow discounting table to determine the value of the cash flows therein as of the exercise date.

"replacementCostCurve" is reported in the optionCashFlowEffectAnalysisBox.

reportField
A value used within HIMIPref™, either supplied or calculated, that may be reported on the reportSummary, portfolioEvaluationReport or graphDocument.

There are a total of REPORT_FIELD_TYPE_MEMBERS distinct "reportFields"

"reportFields" may be selected via the fieldsMenu.

reportFieldSettings
The general term for four character strings used for recording user preferences regarding the initial display of reports. These character strings are each of length REPORT_FIELD_TYPE_MEMBERS, and are specifically:
  • reportSummaryFieldSettings : binary, indicating whether the corresponding reportField is referred to on the reportSummary
  • reportEvaluationFieldSettings : binary, indicating whether the corresponding reportField is referred to on the portfolioEvaluationReport
  • tradeOptimizationFieldSettings : internal use only
  • reportDecimalPlaceSettings : specifies the number of decimal places to be displayed initially when the corresponding field is selected
REPORT_FIELD_TYPE_MEMBERS
A constant indicating the number of reportFields defined by HIMIPref™.
reportSummary Image
This report displays analytical information calculated by HIMIPref™. Over 250 attributes may be shown on the main report document (which may be selected from the fieldsMenu) and most of these are clickable, allowing investigation into the details of how these values are calculated. "Clickable" values are signified by a change in text colour to magenta when the mouse hovers over the text.

The report may be sorted on any column, via the columnHeadingsContextMenu and "Help" is ubiquitous, being included for every column heading and menu.

The "reportSummary" is accessed via the mainMenu|Reports popup menu and is controlled by the reportSummaryMenu.

reportSummary|Fields
This item is accessible via the reportSummaryMenu and allows display of the fieldsMenu.
reportSummary|File
A popup menu accessable through the reportSummaryMenu. The following choices are available:
  • Print : Prints the reportSummary with the currently defined columns. A standard printing dialog box will be displayed.
reportSummary|Highlights
A popup menu accessable through the reportSummaryMenu. Rows in the reportSummary may be highlighted according the the attributes of the reported instrument according the the selection:
reportSummaryMenu
This menu is displayed when viewing the reportSummary.

The following choices are displayed:

reportSummary|QuickReports
A popup menu accessable through the reportSummaryMenu. The following choices are available:
requiredPickUp
Also referred to a pickupOptimal.

An optimizable parameter which sets the "hurdle" for determining whether a trade will be an improvement through the calculation of totalRequiredPickup. It is not sufficient for one issue to be "better" than another for a trade to be indicated: the use of this parameter allows for the considerations that there are known costs to a trade and only expected returns - and the calculation of expected returns is a stochastic process. Prudence thus demands a "safety margin" to be built into trade determination. Additionally, one would not wish to execute a trade whenever the calculations indicate a probable return of a nickel if historical data also indicate a high probability of this return increasing to a dime in the near future.

This value is reported in the bestTradesReportBox and the tradeEvaluationReportBox

restrictedYieldToMaturity
A calculated value used in the subsequent calculation of YTM (Port Method) at Bid and YTM (Port Method) at Ask.

For each element of the optionCalculationList, the termToMaturity is compared with the optimizableParameter portYieldMinimumTerm. If the former is less than the latter, then

"restrictedYieldToMaturity" = yieldToMaturity * termToMaturity / portYieldMinimumTerm

This restriction was found to be necessary as portfolio yield was otherwise highly sensitive to small changes in the termToMaturity of very near-term elements in the optionCalculationList (one way of restating this is to note that the first possible exercise had a very large pseudoModifiedDuration).

This value is reported on the pseudoPortfolioReportBox

retractible Report Summary
An issue is retractible if the investor has the right on a given date (or in a given period) to demand the redemption for his shares, provided such date or period comes after the date for which the determination is made. If this redemption will be for cash, the retraction is hard; if for common shares of the issuing company, the retraction is soft.

Soft retractions are usually equivalent to investing the issue price of the shares in the common at a 5% discount to the common's market value.

An issue is also considered retractible if it has a maturity date, or mandatory redemption, at some point in the future.

The question of whether or not an issue is retractible is considered a risk attribute of the yield curve.

An issue that is not "retractible" is referred to as perpetual.

A "retraction" is one example of a reorganization.

Note: When this datum is reported as a number, "true" is equal to 1.0; "false" is equal to 0.0.

A weighted average for a portfolio for this attribute is reported by the portfolioRiskReportBox.

retraction
The act of exercising a put embedded option. See retractible.
reversionParameter
An optimizableParameter that does not measure the effect of the absolute value of the attribute in question on the valuation of the instrument in question, but rather assigns a valuation based on the potential for this attribute to revert to its historical mean. See instrumentReversionParameter and curveReversionParameter.
REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION
A member of the rewardComponentClass enumerated type, this class of rewardComponents groups elements whose values is determined in accordance with how the price of the instrument of interest might be expected to change as the yieldCurve and related risk premia revert to historical relationships. The following rewardComponentTypes are members of this class:
REWARD_CLASS_PRICEMOVEMENT_DISPARITY
A member of the