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 rewardComponentClass enumerated type, this class of rewardComponents groups elements whose values is determined in accordance to the instrument's relationship with the yield curve, on either a spot or historical basis. The following rewardComponentTypes are members of this class:
REWARD_CLASS_PRICEMOVEMENT_MISCELLANEOUS
A member of the rewardComponentClass enumerated type, this class of rewardComponents groups elements whose values is determined in a manner not easily grouped with elements. The following rewardComponentTypes are members of this class:
REWARD_CLASS_PRICEMOVEMENT_YIELDREVERSION
A member of the rewardComponentClass enumerated type, this class of rewardComponents groups elements whose values is determined by the degree by which a measure of yield for a particular element can be predicted (according to historical simulations) to revert to its historical average. The following rewardComponentTypes are members of this class:
REWARD_CLASS_UNDEFINED
A rewardComponentClass used in the course of calculations to indicate that the structure or value in question has not yet been fully defined.
REWARD_CLASS_YIELD
One of the reward classes of rewardComponentTypes which includes those components which contribute to the totalRewardBid / totalRewardAsk through their expected long-term yield.

The sums of these rewardComponentsBid / rewardComponentsAsk are listed on the reportSummary as Ask Valuation - Sum of Yield Components / Bid Valuation - sum of Yield Components. The following rewardComponentTypes are members of this class:

rewardComponent
One of REWARD_COMPONENT_COUNT identifiers used in the rewardComponentsBid / rewardComponentsAsk vectors to identify each entry. The "rewardComponents" are:
"rewardComponent" integer value rewardComponentClass
REWARD_COMPONENT_REVERSION_CURRENTYIELD 0 REWARD_CLASS_PRICEMOVEMENT_YIELDREVERSION
REWARD_COMPONENT_REVERSION_PORTYIELD 1 REWARD_CLASS_PRICEMOVEMENT_YIELDREVERSION
REWARD_COMPONENT_REVERSION_COSTYIELD 2 REWARD_CLASS_PRICEMOVEMENT_YIELDREVERSION
REWARD_COMPONENT_REVERSION_YIELDTOWORST 3 REWARD_CLASS_PRICEMOVEMENT_YIELDREVERSION
REWARD_COMPONENT_REVERSION_PRICEDISPARITY 4 REWARD_CLASS_PRICEMOVEMENT_DISPARITY
REWARD_COMPONENT_REVERSION_YIELDDISPARITY 5 REWARD_CLASS_PRICEMOVEMENT_DISPARITY
REWARD_COMPONENT_REVERSION_FLATPRICE 6 REWARD_CLASS_PRICEMOVEMENT_MISCELLANEOUS
REWARD_COMPONENT_SPOT_CURRENTYIELD 7 REWARD_CLASS_YIELD
REWARD_COMPONENT_SPOT_PORTYIELD 8 REWARD_CLASS_YIELD
REWARD_COMPONENT_SPOT_COSTYIELD 9 REWARD_CLASS_YIELD
REWARD_COMPONENT_SPOT_YIELDTOWORST 10 REWARD_CLASS_YIELD
REWARD_COMPONENT_SPOT_PRICEDISPARITY 11 REWARD_CLASS_PRICEMOVEMENT_DISPARITY
REWARD_COMPONENT_SPOT_YIELDDISPARITY 12 REWARD_CLASS_PRICEMOVEMENT_DISPARITY
REWARD_COMPONENT_CURVEREVERSION_BASERATE 13 REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION
REWARD_COMPONENT_CURVEREVERSION_SHORTRATE 14 REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION
REWARD_COMPONENT_CURVEREVERSION_LONGRATE 15 REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_INTERESTINCOME 16 REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CUMULATIVEDIVIDENDS 17 REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_SPLITSHARECORP 18 REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_RETRACTIBLE 19 REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION
REWARD_COMPONENT_SPOT_CURVEYIELD 20 REWARD_CLASS_YIELD
REWARD_COMPONENT_REVERSION_CURVEYIELD 21 REWARD_CLASS_PRICEMOVEMENT_YIELDREVERSION
REWARD_COMPONENT_SPOT_DIVIDENDCAPTURE 22 REWARD_CLASS_PRICEMOVEMENT_MISCELLANEOUS
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_LIQUIDITY 23 REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_2 24 REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_3 25 REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_FLOATINGRATE 26 REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_HIGH 27 REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_LOW 28 REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION
rewardComponentClass
A system of organizing the reward component types into classes based on the underlying value that they are measuring. The classes are:

The sums of the values of the constituents of each "rewardComponentClass" may be shown on the reportSummary.

The classes correspond to the following switches in the calculation:

For a listing of which elements belong to which "reward class", see rewardComponentsBid or rewardComponentsAsk.

REWARD_COMPONENT_COUNT
The total number of entries in each of the rewardComponentsBid / rewardComponentsAsk vectors.
REWARD_COMPONENT_CURVEREVERSION_BASERATE
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the proportionComponentRiskBaseRate, yieldCurveBaseRate and averageBaseRate.

See also PARAMETER_CURVE_BASERATE_REVERSIONSPEED, curveReversion and curveReversionParameter.

These values are listed on the reportSummary as Bid valuation - Curve base rate Reversion / Ask valuation - curve baserate reversion.

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

REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CUMULATIVEDIVIDENDS
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the proportionComponentRiskCumulativeDividends, yieldCurvePremiumCumulativeDividends and averagePremiumCumulativeDividends.

See also PARAMETER_CURVE_CUMULATIVEDIVIDENDS_REVERSIONSPEED, curveReversion and curveReversionParameter.

These values are reported on the reportSummary as Bid Valuation - curve Cum Div. Premium Reversion / Ask valuation - curve Cum. Div. Prem. reversion.

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

REWARD_COMPONENT_CURVEREVERSION_LONGRATE
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the proportionComponentRiskLongTerm, yieldCurveLongTerm and averageLongTermRate.

See also PARAMETER_CURVE_LONGTERM_REVERSIONSPEED, curveReversion and curveReversionParameter.

These values are listed on the reportSummary as Bid valuation - Curve long rate Reversion / Ask valuation - curve longrate reversion.

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

REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_2
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the proportionComponentRiskCreditClass2, yieldCurvePremiumCreditClass2 and averagePremiumCreditClass2.

See also PARAMETER_CURVE_CREDITCLASS2_REVERSIONSPEED, curveReversion and curveReversionParameter.

These values are listed on the reportSummary as Bid valuation - Curve Credit Class 2 Premium Reversion / Ask valuation - Curve Credit Class 2 Premium Reversion.

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

REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_3
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the proportionComponentRiskCreditClass3, yieldCurvePremiumCreditClass3 and averagePremiumCreditClass3.

See also PARAMETER_CURVE_CREDITCLASS3_REVERSIONSPEED, curveReversion and curveReversionParameter.

These values are listed on the reportSummary as Bid valuation - Curve Credit Class 3 Premium Reversion / Ask valuation - Curve Credit Class 3 Premium Reversion.

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

REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_HIGH
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the proportionComponentRiskCreditClassHigh, yieldCurvePremiumCreditClassHigh and averagePremiumCreditClassHigh.

See also PARAMETER_CURVE_CREDITCLASSHIGH_REVERSIONSPEED, curveReversion and curveReversionParameter.

These values are listed on the reportSummary as Bid valuation - Curve Credit Class HIGH Premium Reversion / Ask valuation - Curve Credit Class High Premium Reversion.

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

REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_LOW
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the proportionComponentRiskCreditClassLow, yieldCurvePremiumCreditClassLow and averagePremiumCreditClassLow.

See also PARAMETER_CURVE_CREDITCLASSLOW_REVERSIONSPEED, curveReversion and curveReversionParameter.

These values are listed on the reportSummary as Bid valuation - Curve Credit Class LOW Premium Reversion / Ask valuation - Curve Credit Class Low Premium Reversion.

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

REWARD_COMPONENT_CURVEREVERSION_PREMIUM_FLOATINGRATE
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the proportionComponentRiskFloatingRate, yieldCurvePremiumFloatingRate and averagePremiumFloatingRate.

See also PARAMETER_CURVE_FLOATINGRATE_REVERSIONSPEED, curveReversion and curveReversionParameter.

These values are listed on the reportSummary as Bid valuation - Curve Floating Rate Premium Reversion / Ask valuation - Curve Floating Rate Premium Reversion.

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

REWARD_COMPONENT_CURVEREVERSION_PREMIUM_INTERESTINCOME
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the proportionComponentRiskInterestIncome, yieldCurvePremiumInterestIncome and averagePremiumInterestIncome.

See also PARAMETER_CURVE_INTERESTINCOME_REVERSIONSPEED, curveReversion and curveReversionParameter.

These values are reported on the reportSummary as Bid valuation - Curve interest Premium Reversion / Ask valuation - curve Interest Prem. reversion.

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

REWARD_COMPONENT_CURVEREVERSION_PREMIUM_LIQUIDITY
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the proportionComponentRiskLiquidity, yieldCurvePremiumLiquidity and averageLongRate.

See also PARAMETER_CURVE_LIQUIDITY_REVERSIONSPEED, curveReversion and curveReversionParameter.

These values are listed on the reportSummary as Bid valuation - Liquidity Premium Reversion / Ask valuation - Liquidity Premium Reversion.

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

REWARD_COMPONENT_CURVEREVERSION_PREMIUM_RETRACTIBLE
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the proportionComponentRiskRetractible, yieldCurvePremiumRetractible and averagePremiumRetractible.

See also PARAMETER_CURVE_RETRACTIBLE_REVERSIONSPEED, curveReversion and curveReversionParameter.

These values are listed on the reportSummary as Bid valuation - curve Retractible Prem. Reversion / Ask valuation - curve retractible prem. reversion.

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

REWARD_COMPONENT_CURVEREVERSION_PREMIUM_SPLITSHARECORP
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the proportionComponentRiskSplitShareCorp, yieldCurvePremiumSplitShareCorp and averagePremiumSplitShareCorp. It is a member of the REWARD_CLASS_PRICEMOVEMENT reward class.

See also PARAMETER_CURVE_SPLITSHARE_REVERSIONSPEED, curveReversion and curveReversionParameter.

These values are listed on the reportSummary as Bid valuation - curve Split Share Prem. Reversion / Ask valuation - curve split share prem reversion.

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

REWARD_COMPONENT_CURVEREVERSION_SHORTRATE
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the proportionComponentRiskShortTerm, yieldCurveShortTerm and averageShortTermRate.

See also PARAMETER_CURVE_SHORTTERM_REVERSIONSPEED, curveReversion and curveReversionParameter.

These values are listed on the reportSummary as Bid valuation - Curve short rate Reversion / Ask valuation - curve shortrate reversion.

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

REWARD_COMPONENT_REVERSION_COSTYIELD
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the relationship between costBidYield-spot / costAskYield-spot and costBidYield-average / costAskYield-average.

See also PARAMETER_INSTRUMENT_COSTYIELD_REVERSIONSPEED.

These values are listed on the report summary as Bid valuation - cost yield Reversion / Ask valuation - cost yield reversion.

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

REWARD_COMPONENT_REVERSION_CURRENTYIELD
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the relationship between currentYieldBid-spot and currentYieldBid-average.

See also PARAMETER_INSTRUMENT_CURRENTYIELD_REVERSIONSPEED.

These values are reported on the reportSummary as Bid Valuation - current yield Reversion / Ask Valuation - current yield Reversion

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

REWARD_COMPONENT_REVERSION_CURVEYIELD
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the relationship between curveBidYield-spot / curveAskYield-spot and curveBidYield-average / curveAskYield-average.

See also PARAMETER_INSTRUMENT_CURVEYIELD_REVERSIONSPEED.

These values are on the reportSummary as Bid Valuation - Curve yield reversion / Ask Valuation - Curve Yield Reversion.

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

REWARD_COMPONENT_REVERSION_FLATPRICE
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the relationship between flatBidPrice-spot / flatAskPrice-spot and flatBidPrice-average / flatAskPrice-average.

See also PARAMETER_INSTRUMENT_FLATPRICE_REVERSIONSPEED.

These values are listed on the reportSummary as Bid valuation - Flat price Reversion / Ask valuation - flat price reversion.

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

REWARD_COMPONENT_REVERSION_PORTYIELD
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the relationship between portBidYield-spot / portAskYield-spot and portBidYield-average / portAskYield-average.

See also PARAMETER_INSTRUMENT_PORTYIELD_REVERSIONSPEED.

These values are reported on the reportSummary Bid valuation - port yield Reversion / Ask valuation - port yield reversion.

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

REWARD_COMPONENT_REVERSION_PRICEDISPARITY
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the relationship between priceDisparity-spot and priceDisparity-average.

See also PARAMETER_INSTRUMENT_PRICEDISPARITY_REVERSIONSPEED.

These values are listed on the reportSummary as Bid valuation - price disparity Reversion / Ask valuation - price disparity reversion.

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

REWARD_COMPONENT_REVERSION_YIELDDISPARITY
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the relationship between yieldDisparity-spot and yieldDisparity-average.

See also PARAMETER_INSTRUMENT_YIELDDISPARITY_REVERSIONSPEED.

These values are listed on the reportSummary as Bid valuation - yield disparity Reversion / Ask valuation - yield disparity reversion.

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

REWARD_COMPONENT_REVERSION_YIELDTOWORST
This is the rewardComponentType for the component of rewardComponentsBid / rewardComponentsAsk that quantifies expected return based on the relationship between bidYieldToWorst-spot / askYieldToWorst-spot and bidYieldToWorst-average / askYieldToWorst-average.

See also PARAMETER_INSTRUMENT_YIELDTOWORST_REVERSIONSPEED.

These values are listed in the reportSummary as Bid valuation - yield to worst Reversion / Ask valuation - yield to worst reversion.

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

rewardComponentsAsk
A calculated vector of REWARD_COMPONENT_COUNT entries, used in the subsequent calculation of totalRewardAsk.

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

Each element is calculated as the product of four values:
rewardComponentType AnnualPercentageScalingFactor Analytical Value Optimizable Parameter instrumentValuationScalingFactor NOTE: rewardClass NOTE: reportSummary title
REWARD_COMPONENT_REVERSION_CURRENTYIELD 100.00 ytwModifiedDuration * (currentYieldBid-average - currentYieldBid-spot) PARAMETER_INSTRUMENT_CURRENTYIELD_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask Valuation - current yield Reversion
REWARD_COMPONENT_REVERSION_PORTYIELD 100.00 pseudoModifiedDurationPort * (portAskYield - portAskYield-spot) PARAMETER_INSTRUMENT_PORTYIELD_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - port yield reversion
REWARD_COMPONENT_REVERSION_COSTYIELD 100.00 pseudoModifiedDurationCost * (costAskYield-average - costAskYield-spot) PARAMETER_INSTRUMENT_COSTYIELD_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - cost yield reversion
REWARD_COMPONENT_REVERSION_YIELDTOWORST 100.00 ytwModifiedDuration * (yieldToWorst-average - yieldToWorst-spot) PARAMETER_INSTRUMENT_YIELDTOWORST_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - yield to worst reversion
REWARD_COMPONENT_REVERSION_PRICEDISPARITY 100.00 / ask price priceDisparity-average - priceDisparity-spot PARAMETER_INSTRUMENT_PRICEDISPARITY_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - price disparity reversion
REWARD_COMPONENT_REVERSION_YIELDDISPARITY 100.00 ytwModifiedDuration * (yieldDisparity-average - yieldDisparity-spot) PARAMETER_INSTRUMENT_YIELDDISPARITY_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - yield disparity reversion
REWARD_COMPONENT_REVERSION_FLATPRICE 100.00 / ask price flatAskPrice-average - flatAskPrice-spot PARAMETER_INSTRUMENT_FLATPRICE_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - flat price reversion
REWARD_COMPONENT_SPOT_CURRENTYIELD 100.00 currentYieldBid PARAMETER_INSTRUMENT_SPOT_CURRENTYIELD instrumentValuationYieldScalingFactor REWARD_CLASS_YIELD Ask valuation - current yield spot
REWARD_COMPONENT_SPOT_PORTYIELD 100.00 portAskYield PARAMETER_INSTRUMENT_SPOT_PORTYIELD instrumentValuationYieldScalingFactor REWARD_CLASS_YIELD Ask valuation - port yield spot
REWARD_COMPONENT_SPOT_COSTYIELD 100.00 costAskYield PARAMETER_INSTRUMENT_SPOT_COSTYIELD instrumentValuationYieldScalingFactor REWARD_CLASS_YIELD Ask valuation - cost yield spot
REWARD_COMPONENT_SPOT_YIELDTOWORST 100.00 askYieldToWorst PARAMETER_INSTRUMENT_SPOT_YIELDTOWORST instrumentValuationYieldScalingFactor REWARD_CLASS_YIELD Ask valuation - yield to worst spot
REWARD_COMPONENT_SPOT_PRICEDISPARITY 100.00 / ask price priceDisparity PARAMETER_INSTRUMENT_SPOT_PRICEDISPARITY priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - price disparity spot
REWARD_COMPONENT_SPOT_YIELDDISPARITY 100.00 ytwModifiedDuration * yieldDisparity PARAMETER_INSTRUMENT_SPOT_YIELDDISPARITY priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - yield disparity spot
REWARD_COMPONENT_CURVEREVERSION_BASERATE 100.00 ytwModifiedDuration * (averageBaseRate - base rate ) PARAMETER_CURVE_BASERATE_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - curve baserate reversion
REWARD_COMPONENT_CURVEREVERSION_SHORTRATE 100.00 ytwModifiedDuration * proportionComponentRiskShortTerm * (averageShortTermRate - yieldCurveShortTerm ) PARAMETER_CURVE_SHORTTERM_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - curve shortrate reversion
REWARD_COMPONENT_CURVEREVERSION_LONGRATE 100.00 ytwModifiedDuration * proportionComponentRiskLongTerm * (averageLongTermRate - yieldCurveLongTerm ) PARAMETER_CURVE_LONGTERM_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - curve longrate reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_INTERESTINCOME 100.00 ytwModifiedDuration * (averagePremiumInterestIncome - yieldCurvePremiumInterestIncome )
or 0 if not applicable
PARAMETER_CURVE_INTERESTINCOME_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - curve Interest Prem. reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CUMULATIVEDIVIDENDS 100.00 ytwModifiedDuration * (averagePremiumCumulativeDividends - yieldCurvePremiumCumulativeDividends )
or 0 if not applicable
PARAMETER_CURVE_CUMULATIVEDIVIDENDS_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - curve Cum. Div. Prem. reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_SPLITSHARECORP 100.00 ytwModifiedDuration * (averagePremiumSplitShareCorp - yieldCurvePremiumSplitShareCorp )
or 0 if not applicable
PARAMETER_CURVE_SPLITSHARE_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - curve split share prem reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_RETRACTIBLE 100.00 ytwModifiedDuration * (averagePremiumRetractible - yieldCurvePremiumRetractible )
or 0 if not applicable
PARAMETER_CURVE_RETRACTIBLE_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - curve retractible prem. reversion
REWARD_COMPONENT_SPOT_CURVEYIELD 100.00 curveAskYield PARAMETER_INSTRUMENT_SPOT_CURVEYIELD instrumentValuationYieldScalingFactor REWARD_CLASS_YIELD Ask valuation - curve yield spot
REWARD_COMPONENT_REVERSION_CURVEYIELD 100.00 ytwModifiedDuration * ( curveAskYield-average - curveAskYield-spot PARAMETER_INSTRUMENT_CURVEYIELD_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask Valuation - Curve Yield Reversion
REWARD_COMPONENT_SPOT_DIVIDENDCAPTURE 100.00 / ask price accruedDividendZeroBased PARAMETER_INSTRUMENT_DIVIDENDCAPTURE priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - dividend Capture spot
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_LIQUIDITY 100.00 ytwModifiedDuration * (averagePremiumLiquidity - yieldCurvePremiumLiquidity ) * liquidityMeasure PARAMETER_CURVE_LIQUIDITY_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - Liquidity Premium Reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_2 100.00 ytwModifiedDuration * (averagePremiumCreditClass2 - yieldCurvePremiumCreditClass2 )
or 0 if not applicable
PARAMETER_CURVE_CREDITCLASS2_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - Curve Credit Class 2 Premium Reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_3 100.00 ytwModifiedDuration * (averagePremiumCreditClass3 - yieldCurvePremiumCreditClass3 )
or 0 if not applicable
PARAMETER_CURVE_CREDITCLASS3_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - Curve Credit Class 3 Premium Reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_FLOATINGRATE 100.00 ytwModifiedDuration * (averagePremiumFloatingRate - yieldCurvePremiumFloatingRate )
or 0 if not applicable
PARAMETER_CURVE_FLOATINGRATE_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - Curve Floating Rate Premium Reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_HIGH 100.00 ytwModifiedDuration * (averagePremiumCreditClassHigh - yieldCurvePremiumCreditClassHigh )
or 0 if not applicable
PARAMETER_CURVE_CREDITCLASSHIGH_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - Curve Credit Class High Premium Reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_LOW 100.00 ytwModifiedDuration * (averagePremiumCreditClassLow - yieldCurvePremiumCreditClassLow )
or 0 if not applicable
PARAMETER_CURVE_CREDITCLASSLOW_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Ask valuation - Curve Credit Class Low Premium Reversion

All components of "rewardComponentsAsk" may be displayed on the reportSummary via the "Instrument Valuation Details" choice on the reportSummary|QuickReports menu.

rewardComponentsBid
A calculated vector of REWARD_COMPONENT_COUNT entries, used in the subsequent calculation of totalRewardBid.

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

Each element is calculated as the product of four values:
rewardComponentType AnnualPercentageScalingFactor Analytical Value Optimizable Parameter instrumentValuationScalingFactor NOTE: rewardClass NOTE: reportSummary title
REWARD_COMPONENT_REVERSION_CURRENTYIELD 100.00 ytwModifiedDuration * (currentYield-average - currentYield-spot) PARAMETER_INSTRUMENT_CURRENTYIELD_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid Valuation - current yield Reversion
REWARD_COMPONENT_REVERSION_PORTYIELD 100.00 pseudoModifiedDurationPort * (portBidYield - portBidYield-spot) PARAMETER_INSTRUMENT_PORTYIELD_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - port yield Reversion
REWARD_COMPONENT_REVERSION_COSTYIELD 100.00 pseudoModifiedDurationCost * (costBidYield-average - costBidYield-spot) PARAMETER_INSTRUMENT_COSTYIELD_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - cost yield Reversion
REWARD_COMPONENT_REVERSION_YIELDTOWORST 100.00 ytwModifiedDuration * (yieldToWorst-average - yieldToWorst-spot) PARAMETER_INSTRUMENT_YIELDTOWORST_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - yield to worst Reversion
REWARD_COMPONENT_REVERSION_PRICEDISPARITY 100.00 / bid price priceDisparity-average - priceDisparity-spot PARAMETER_INSTRUMENT_PRICEDISPARITY_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - price disparity Reversion
REWARD_COMPONENT_REVERSION_YIELDDISPARITY 100.00 ytwModifiedDuration * (yieldDisparity-average - yieldDisparity-spot) PARAMETER_INSTRUMENT_YIELDDISPARITY_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - yield disparity Reversion
REWARD_COMPONENT_REVERSION_FLATPRICE 100.00 / bid price flatBidPrice-average - flatBidPrice-spot PARAMETER_INSTRUMENT_FLATPRICE_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - Flat price Reversion
REWARD_COMPONENT_SPOT_CURRENTYIELD 100.00 currentYieldBid PARAMETER_INSTRUMENT_SPOT_CURRENTYIELD instrumentValuationYieldScalingFactor REWARD_CLASS_YIELD Bid valuation - current yield Spot
REWARD_COMPONENT_SPOT_PORTYIELD 100.00 portBidYield PARAMETER_INSTRUMENT_SPOT_PORTYIELD instrumentValuationYieldScalingFactor REWARD_CLASS_YIELD Bid valuation - port yield spot
REWARD_COMPONENT_SPOT_COSTYIELD 100.00 costBidield PARAMETER_INSTRUMENT_SPOT_COSTYIELD instrumentValuationYieldScalingFactor REWARD_CLASS_YIELD Bid valuation - cost yield spot
REWARD_COMPONENT_SPOT_YIELDTOWORST 100.00 bidYieldToWorst PARAMETER_INSTRUMENT_SPOT_YIELDTOWORST instrumentValuationYieldScalingFactor REWARD_CLASS_YIELD Bid valuation - yield to worst spot
REWARD_COMPONENT_SPOT_PRICEDISPARITY 100.00 / bid price priceDisparity PARAMETER_INSTRUMENT_SPOT_PRICEDISPARITY priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - price disparity spot
REWARD_COMPONENT_SPOT_YIELDDISPARITY 100.00 ytwModifiedDuration * yieldDisparity PARAMETER_INSTRUMENT_SPOT_YIELDDISPARITY priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - yield disparity spot
REWARD_COMPONENT_CURVEREVERSION_BASERATE 100.00 ytwModifiedDuration * (averageBaseRate - base rate ) PARAMETER_CURVE_BASERATE_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - Curve base rate Reversion
REWARD_COMPONENT_CURVEREVERSION_SHORTRATE 100.00 ytwModifiedDuration * proportionComponentRiskShortTerm * (averageShortTermRate - yieldCurveShortTerm ) PARAMETER_CURVE_SHORTTERM_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - Curve short rate Reversion
REWARD_COMPONENT_CURVEREVERSION_LONGRATE 100.00 ytwModifiedDuration * proportionComponentRiskLongTerm * (averageLongTermRate - yieldCurveLongTerm ) PARAMETER_CURVE_LONGTERM_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - Curve long rate Reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_INTERESTINCOME 100.00 ytwModifiedDuration * (averagePremiumInterestIncome - yieldCurvePremiumInterestIncome )
or 0 if not applicable
PARAMETER_CURVE_INTERESTINCOME_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - Curve interest Premium Reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CUMULATIVEDIVIDENDS 100.00 ytwModifiedDuration * (averagePremiumCumulativeDividends - yieldCurvePremiumCumulativeDividends )
or 0 if not applicable
PARAMETER_CURVE_CUMULATIVEDIVIDENDS_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid Valuation - curve Cum Div. Premium Reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_SPLITSHARECORP 100.00 ytwModifiedDuration * (averagePremiumSplitShareCorp - yieldCurvePremiumSplitShareCorp )
or 0 if not applicable
PARAMETER_CURVE_SPLITSHARE_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - curve Split Share Prem. Reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_RETRACTIBLE 100.00 ytwModifiedDuration * (averagePremiumRetractible - yieldCurvePremiumRetractible )
or 0 if not applicable
PARAMETER_CURVE_RETRACTIBLE_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - curve Retractible Prem. Reversion
REWARD_COMPONENT_SPOT_CURVEYIELD 100.00 curveBidYield PARAMETER_INSTRUMENT_SPOT_CURVEYIELD instrumentValuationYieldScalingFactor REWARD_CLASS_YIELD Bid valuation - curve yield spot
REWARD_COMPONENT_REVERSION_CURVEYIELD 100.00 ytwModifiedDuration * (curveBidYield-average - curveBidYield-spot) PARAMETER_INSTRUMENT_CURVEYIELD_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid Valuation - Curve yield reversion
REWARD_COMPONENT_SPOT_DIVIDENDCAPTURE 100.00 / bid price Accrued Dividend (Zero-Based) PARAMETER_INSTRUMENT_DIVIDENDCAPTURE priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - dividend Capture spot
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_LIQUIDITY 100.00 ytwModifiedDuration * (averagePremiumLiquidity - yieldCurvePremiumLiquidity ) * liquidityMeasure PARAMETER_CURVE_LIQUIDITY_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - Liquidity Premium Reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_2 100.00 ytwModifiedDuration * (averagePremiumCreditClass2 - yieldCurvePremiumCreditClass2 )
or 0 if not applicable
PARAMETER_CURVE_CREDITCLASS2_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - Curve Credit Class 2 Premium Reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_3 100.00 ytwModifiedDuration * (averagePremiumCreditClass3 - yieldCurvePremiumCreditClass3 )
or 0 if not applicable
PARAMETER_CURVE_CREDITCLASS3_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - Curve Credit Class 3 Premium Reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_FLOATINGRATE 100.00 ytwModifiedDuration * (averagePremiumFloatingRate - yieldCurvePremiumFloatingRate )
or 0 if not applicable
PARAMETER_CURVE_FLOATINGRATE_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - Curve Floating Rate Premium Reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_HIGH 100.00 ytwModifiedDuration * (averagePremiumCreditClassHigh - yieldCurvePremiumCreditClassHigh )
or 0 if not applicable
PARAMETER_CURVE_CREDITCLASSHIGH_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - Curve Credit Class HIGH Premium Reversion
REWARD_COMPONENT_CURVEREVERSION_PREMIUM_CREDITCLASS_LOW 100.00 ytwModifiedDuration * (averagePremiumCreditClassLow - yieldCurvePremiumCreditClassLow )
or 0 if not applicable
PARAMETER_CURVE_CREDITCLASSLOW_REVERSIONSPEED priceVolatilityScalingFactor REWARD_CLASS_PRICEMOVEMENT Bid valuation - Curve Credit Class LOW Premium Reversion

All components of "rewardComponentsBid" may be displayed on the reportSummary via the "Instrument Valuation Details" choice on the reportSummary|QuickReports menu.

REWARD_COMPONENT_SPOT_CURRENTYIELD
The rewardComponentType for that element of rewardComponentsBid / rewardComponentsAsk that is dependent upon the value of current yield bid. See also PARAMETER_INSTRUMENT_SPOT_CURRENTYIELD.

These values are listed on the reportSummary as Bid valuation - current yield Spot / Ask valuation - current yield spot.

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

REWARD_COMPONENT_SPOT_CURVEYIELD
The rewardComponentType for that element of rewardComponentsBid / rewardComponentsAsk that is dependent upon the value of curveBidYield / curveAskYield. See also PARAMETER_INSTRUMENT_SPOT_CURVEYIELD.

These values are listed on the reportSummary as Bid valuation - curve yield spot / Ask valuation - curve yield spot.

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

REWARD_COMPONENT_SPOT_COSTYIELD
The rewardComponentType for that element of rewardComponentsBid / rewardComponentsAsk that is dependent upon the value of costBidYield.

See also PARAMETER_INSTRUMENT_SPOT_COSTYIELD.

These values are reported on the reportSummary as Bid valuation - cost yield spot / Ask valuation - cost yield spot.

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

REWARD_COMPONENT_SPOT_DIVIDENDCAPTURE
The rewardComponentType for that element of rewardComponentsBid / rewardComponentsAsk that is dependent upon the value of accruedDividendFlatValue.

See also PARAMETER_INSTRUMENT_DIVIDENDCAPTURE.

These values are listed on the reportSummary as Bid valuation - dividend Capture spot / Ask valuation - dividend Capture spot.

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

REWARD_COMPONENT_SPOT_PORTYIELD
The rewardComponentType for that element of rewardComponentsBid / rewardComponentsAsk that is dependent upon the value of portBidYield.

See also PARAMETER_INSTRUMENT_SPOT_PORTYIELD.

These values are listed on the reportSummary as Bid valuation - port yield spot / Ask valuation - port yield spot.

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

REWARD_COMPONENT_SPOT_PRICEDISPARITY
The rewardComponentType for that element of rewardComponentsBid / rewardComponentsAsk that is dependent upon the value of priceDisparity.

See also PARAMETER_INSTRUMENT_SPOT_PRICEDISPARITY.

These values are listed on the reportSummary as Bid valuation - price disparity spot / Ask valuation - price disparity spot.

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

REWARD_COMPONENT_SPOT_YIELDDISPARITY
The rewardComponentType for that element of rewardComponentsBid / rewardComponentsAsk that is dependent upon the value of yieldDisparity.

See also PARAMETER_INSTRUMENT_SPOT_YIELDDISPARITY.

These values are listed on the reportSummary as Bid valuation - yield disparity spot / Ask valuation - yield disparity spot.

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

REWARD_COMPONENT_SPOT_YIELDTOWORST
The rewardComponentType for that element of rewardComponentsBid / rewardComponentsAsk that is dependent upon the value of bidYieldToWorst / askYieldToWorst.

See also PARAMETER_INSTRUMENT_SPOT_YIELDTOWORST.

The title used on the reportSummary is Bid valuation - yield to worst spot / Ask valuation - yield to worst spot.

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

rewardComponentSuperclasses
A grouping of the rewardComponentClasses which provides a very general division of the rewardComponents. There are two superclasses:
SuperClass Included rewardComponentClasses
REWARD_SUPERCLASS_YIELD REWARD_CLASS_YIELD
REWARD_SUPERCLASS_PRICEMOVEMENT REWARD_CLASS_PRICEMOVEMENT_CURVEREVERSION
REWARD_CLASS_PRICEMOVEMENT_YIELDREVERSION
REWARD_CLASS_PRICEMOVEMENT_DISPARITY
REWARD_CLASS_PRICEMOVEMENT_MISCELLANEOUS
reward component type
A set of REWARD_COMPONENT_COUNT identifiers which refer to each component of totalRewardBid and totalRewardAsk.
rewardDecreases
When analyzing a trade, the individual elements of rewardComponentsBid are compared to those of rewardComponentsAsk. The differences between the two which indicate a decrease in valuation should the trade be performed are summed to the calculated variable "rewardDecreases" which is subsequently used in the calculation of rewardDecreasesValuation.
rewardDecreasesValuation
A calculated value subsequently used in the calculation of bidToOfferPickup and offerToBidPickup.

When analyzing a trade, the individual elements of rewardComponentsBid are compared to those of rewardComponentsAsk. The differences between the two which indicate a decrease in valuation should the trade be performed are summed to the calculated variable rewardDecreases. Then



The intent behind this calculation is to discourage trade in which there is significant inconsistency amongst the reward indicators as to whether a trade should be performed. To the extent that PARAMETER_TRADING_REWARD_INCONSISTENCY is non-zero, trades in which there is more consistency amongst the indicators will be encouraged.

This value is reported in the pickupCalculationBox.

rewardInconsistencyAdjust
An optimizableParameter with the identifer PARAMETER_TRADING_REWARD_INCONSISTENCY used in the calculation of rewardDecreasesValuation.

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

This parameter is reported in the analyticalParametersReportBox.

REWARD_SUPERCLASS_PRICEMOVEMENT
One of the rewardComponentSuperclasses of the reward classes of rewardComponentTypes which includes those components which contribute to the totalRewardBid / totalRewardAsk through their expected price fluctuations relative to other issues in the universe.

The measures classRewardPriceMovementBid & classRewardPriceMovementAsk are evaluated using solely rewardComponentType of this class.

The sums of these rewardComponentsAsk / rewardComponentsBid are listed on the reportSummary as Ask Valuation - sum of Price Components / Bid Valuation - sum of Price Components. The following rewardClasses are members of this class:

REWARD_SUPERCLASS_YIELD
One of the rewardComponentSuperclasses of the reward classes of rewardComponentTypes which includes those components which contribute to the totalRewardBid / totalRewardAsk through their measured yields.

The measures classRewardYieldBid & classRewardYieldAsk are evaluated using solely rewardComponentType of this class.

The sums of these rewardComponentsAsk / rewardComponentsBid are listed on the reportSummary as Ask Valuation - sum of Yield Components / Bid Valuation - sum of Yield Components. The following rewardClasses are members of this class:

rideCashPresentValue ReportSummary
HIMIPref™ 2006 An intermediate value used in the calculation of yieldCurveRide
rideFutureValue ReportSummary
HIMIPref™ 2006 An intermediate value used in the calculation of yieldCurveRide
rideGain Report Summary
HIMIPref™ 2006 An intermediate value used in the calculation of yieldCurveRide
rideTotalValue Report Summary
HIMIPref™ 2006 An intermediate value used in the calculation of yieldCurveRide
Risk Attributes
Every instrument issued has particular covenants and terms set out in its prospectus. The attributes which are quantified in HIMIPref™ as being indicative of the relative riskiness of issues are:
Axis Name Attribute Binary? Risk Multiplier Constraint
RISK_AXIS_RETRACTIBLE retractibility True PARAMETER_RISK_RETRACTIBLE PARAMETER_PORTFOLIO_MAXWEIGHT_RETRACTIBLE
RISK_AXIS_SPLITSHARECORP split share corporation True PARAMETER_RISK_SPLITSHARECORP PARAMETER_PORTFOLIO_MAXWEIGHT_SPLITSHARECORP
RISK_AXIS_CUMULATIVEDIVIDENDS cumulative dividends True PARAMETER_RISK_CUMULATIVEDIVIDENDS PARAMETER_PORTFOLIO_MAXWEIGHT_CUMULATIVEDIVIDENDS
RISK_AXIS_PAYMENTSAREDIVIDENDS interest income True PARAMETER_RISK_PAYMENTSAREDIVIDENDS PARAMETER_PORTFOLIO_MAXWEIGHT_INTERESTPAY
RISK_AXIS_CREDITCLASS2 Credit Class 2 True PARAMETER_RISK_CREDITCLASS2 PARAMETER_PORTFOLIO_MAXWEIGHT_CREDITCLASS2
PARAMETER_PORTFOLIO_MAXWEIGHT_ISSUERCLASS2
RISK_AXIS_MACAULAYDURATION_PORTBID macaulayDurationPortBid False PARAMETER_RISK_MACAULAYDURATION_PORTBID
RISK_AXIS_PSEUDOMODIFIEDDURATION_PORTBID pseudoModifiedDurationPort False PARAMETER_RISK_PSEUDOMODIFIEDDURATION_PORTBID
RISK_AXIS_PSEUDOCONVEXITY_PORT pseudoConvexityPort False PARAMETER_RISK_PSEUDOCONVEXITY_PORT
RISK_AXIS_MACAULAYDURATION_COSTBID macaulayDurationCostBid False PARAMETER_RISK_MACAULAYDURATION_COSTBID
RISK_AXIS_PSEUDOMODIFIEDDURATION_COSTBID pseudoModifiedDurationCost False PARAMETER_RISK_PSEUDOMODIFIEDDURATION_COSTBID
RISK_AXIS_PSEUDOCONVEXITY_COST pseudoConvexityCost False PARAMETER_RISK_PSEUDOCONVEXITY_COST
RISK_AXIS_PSEUDOMODIFIEDDURATION_WORSTBID pseudoModifiedDurationWorstBid False PARAMETER_RISK_PSEUDOMODIFIEDDURATION_WORSTBID
RISK_AXIS_CREDITCLASS3 Credit Class 3 True PARAMETER_RISK_CREDITCLASS3 PARAMETER_PORTFOLIO_MAXWEIGHT_CREDITCLASS3
PARAMETER_PORTFOLIO_MAXWEIGHT_ISSUERCLASS3
RISK_AXIS_FLOATINGRATE Floating Rate True PARAMETER_RISK_FLOATINGRATE PARAMETER_PORTFOLIO_MAXWEIGHT_FLOATINGRATE
RISK_AXIS_CREDITCLASSHIGH Credit Class High True PARAMETER_RISK_CREDITCLASSHIGH
RISK_AXIS_CREDITCLASSLOW Credit Class Low True PARAMETER_RISK_CREDITCLASSLOW
RISK_AXIS_YTWMODIFIEDDURATION ytwModifiedDuration False PARAMETER_RISK_YTWMODIFIEDDURATION

Note that there are RISK_MEASUREMENT_AXIS_TYPE_MEMBERS risk axes.

These values are reported by the riskMeasurementCalculationBox.

A weighted average for a portfolio for each risk axis is reported by the portfolioRiskReportBox.

Correlations between the binary "Risk Attributes" can be determined through a heterogenietyAnalysis.

riskAxis
One of RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions (riskMeasurementAxisTypes) in which risk is measured in the determination of riskDistance.The "risk axes" and their associated numeric equivalents are:
riskMeasurementAxisType ordinal value
RISK_AXIS_RETRACTIBLE 0
RISK_AXIS_SPLITSHARECORP 1
RISK_AXIS_CUMULATIVEDIVIDENDS 2
RISK_AXIS_PAYMENTSAREDIVIDENDS 3
RISK_AXIS_CREDITCLASS2 4
RISK_AXIS_MACAULAYDURATION_PORTBID 5
RISK_AXIS_PSEUDOMODIFIEDDURATION_PORTBID 6
RISK_AXIS_PSEUDOCONVEXITY_PORT 7
RISK_AXIS_MACAULAYDURATION_COSTBID 8
RISK_AXIS_PSEUDOMODIFIEDDURATION_COSTBID 9
RISK_AXIS_PSEUDOCONVEXITY_COST 10
RISK_AXIS_PSEUDOMODIFIEDDURATION_WORSTBID 11
RISK_AXIS_CREDITCLASS3 12
RISK_AXIS_FLOATINGRATE 13
RISK_AXIS_CREDITCLASSHIGH 14
RISK_AXIS_CREDITCLASSLOW 15
RISK_AXIS_YTWMODIFIEDDURATION 16

Data regarding "risk axes" are reported in the riskMeasurementCalculationBox.

A weighted average for a portfolio for each "risk axis" is reported by the portfolioRiskReportBox.

RISK_AXIS_CREDITCLASS2
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "Credit Class 2".

The position of an instrument on this axis is defined as 1 if the instrument is creditClass2; 0 if not.

See also riskAttributes.

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

RISK_AXIS_CREDITCLASS3
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "Credit Class 3".

The position of an instrument on this axis is defined as 1 if the instrument is creditClass3; 0 if not.

See also riskAttributes.

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

RISK_AXIS_CREDITCLASSHIGH
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "Credit Class High".

The position of an instrument on this axis is defined as 1 if the instrument is creditClassHigh; 0 if not.

See also riskAttributes.

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

RISK_AXIS_CREDITCLASSLOW
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "Credit Class Low".

The position of an instrument on this axis is defined as 1 if the instrument is creditClassLow; 0 if not.

See also riskAttributes.

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

RISK_AXIS_CUMULATIVEDIVIDENDS
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "Cum. Dividends".

The position of an instrument on this axis is defined as 1 if the instrument has cumulative dividends; 0 if not.

See also riskAttributes.

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

RISK_AXIS_FLOATINGRATE
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "Floating Rate".

The position of an instrument on this axis is defined as 1 if the instrument is Floating Rate; 0 if not.

See also riskAttributes.

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

RISK_AXIS_MACAULAYDURATION_COSTBID
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "Macaulay Duration (Cost Bid)".

The position of an instrument on this axis is defined as the value of its Macaulay Duration (Cost Method) at Bid.

See also riskAttributes.

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

RISK_AXIS_MACAULAYDURATION_PORTBID
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "Macaulay Duration (Port Bid)".

The position of an instrument on this axis is defined as the value of its Macaulay Duration (Port Method) at Bid.

See also riskAttributes.

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

RISK_AXIS_PAYMENTSAREDIVIDENDS
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "Payments are Dividends".

The position of an instrument on this axis is defined as 1 if the instrument pays dividends; 0 if not.

See also riskAttributes.

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

RISK_AXIS_PSEUDOCONVEXITY_COST
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "PseudoConvexity (Cost)".

The position of an instrument on this axis is defined as its pseudoConvexityCost.

See also riskAttributes.

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

RISK_AXIS_PSEUDOCONVEXITY_PORT
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "PseudoConvexity (Port)".

The position of an instrument on this axis is defined as its pseudoConvexityPort.

See also riskAttributes.

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

RISK_AXIS_PSEUDOMODIFIEDDURATION_COSTBID
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "PseudoModifiedDuration (Cost Bid)".

The position of an instrument on this axis is defined as its pseudoModifiedDurationCost.

See also riskAttributes.

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

RISK_AXIS_PSEUDOMODIFIEDDURATION_PORTBID
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "PseudoModifiedDuration (Port Bid)".

The position of an instrument on this axis is defined as its pseudoModifiedDurationPort.

See also riskAttributes.

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

RISK_AXIS_PSEUDOMODIFIEDDURATION_WORSTBID
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "PseudoModifiedDuration (Worst Bid)".

The position of an instrument on this axis is defined as its pseudoModifiedDurationWorstBid.

See also riskAttributes.

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

RISK_AXIS_RETRACTIBLE
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "retractible".

The position of an instrument on this axis is defined as 1 if the instrument is retractible in the future as determined at calculation date; 0 if not.

See also riskAttributes.

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

RISK_AXIS_SPLITSHARECORP
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "Split Share Corp.".

The position of an instrument on this axis is defined as 1 if the instrument is Split Share Corporation in the future as determined at calculation date; 0 if not.

See also riskAttributes.

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

RISK_AXIS_YTWMODIFIEDDURATION
One of the RISK_MEASUREMENT_AXIS_TYPE_MEMBERS dimensions used in measuring riskDistance. Its descriptor is "Modified Duration (YTW)".

The position of an instrument on this axis is defined as its ytwModifiedDuration.

See also riskAttributes.

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

Risk Characteristics
A vector giving the percentage weight of each of the risk attributes in a given portfolio.
riskCreditClass2
An optimizable parameter with the identifer PARAMETER_RISK_CREDITCLASS2 that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute Credit Class 2.

It is constrained to be non-negative, greater than both riskCreditClassHigh and riskCreditClassLow, and less than riskCreditClass3.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

riskCreditClass3
An optimizable parameter with the identifer PARAMETER_RISK_CREDITCLASS3 that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute Credit Class 2.

It is constrained to be non-negative and to be greater than riskCreditClass2 (and, therefore, greater than riskCreditClassHigh and riskCreditClassLow.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

riskCreditClassHigh
An optimizable parameter with the identifer PARAMETER_RISK_CREDITCLASSHIGH that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute Credit Class 2.

It is constrained to be non-negative and less than riskCreditClass2 (and, therefore, less than riskCreditClass3.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

riskCreditClassLow
An optimizable parameter with the identifer PARAMETER_RISK_CREDITCLASSLOW that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute Credit Class 2.

It is constrained to be non-negative and less than riskCreditClass2 (and, therefore, less than riskCreditClass3.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

riskCreditHoldings
A calculated value used in the subsequent determination of riskUp, riskDown and riskDistance.

This value must be calculated whenever the tradeRawRisk for any of the following elements is non-zero:

This value is defined as:

This value is reported on the riskMeasurementCalculationBox.

riskCreditTrade
A calculated value used in the subsequent determination of riskUp, riskDown and riskDistance.

This value must be calculated whenever the tradeRawRisk for any of the following elements is non-zero:

This value is defined as:

This value is reported on the riskMeasurementCalculationBox.

riskCumulativeDividends
An optimizable parameter with the identifer PARAMETER_RISK_CUMULATIVEDIVIDENDS that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute cumulative dividends.

It is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

riskDistance
This is a calculated value used subsequently in the calculation of totalRequiredPickup and is dependant upon the relative values of riskUp and riskDown.

The risk distance attempts to quantify the degree of similarity between two issues: issues that are very similar in risk profile will have a smaller "riskDistance" between them than issues that will react very differently under various market scenarios. Note that the factors inherent in the calculation of riskUp and riskDown are optimized through simulation. Note also that riskDown, the reduction of risk through trading, is only valid and calculated when trading by the portfolio method, in which trades which increase the similiarity of the risk profile of the portfolio to that of the index are considered risk-decreasing. When optimizing by the issue method, all components of the "risk distance" are added to riskUp.

Values of "riskDistance" for all trades examined may be viewed on the tradeReport via the "View|Risk Distances" selection on the tradeMenu.

"Risk Distances" are also reported in the tradeEvaluationReportBox.

The calculation of "riskDistance" is shown in the riskMeasurementCalculationBox.

RISK_DISTANCE_EXPONENT
A constraint used in the determination of riskUp / riskDown which governs the geometry of the riskDistance calculation.

This value is reported by the riskMeasurementCalculationBox.

riskDown
This value is calculated only when considering trades according to the portfolio method and becomes a component of riskDistance.

If

then "riskDown" is incremented by
(tradeWeight * tradeRawRisk[i] * riskMultiplier[i])^RISK_DISTANCE_EXPONENT

If the proposed trade will change the sign of holdingsRiskDifference[i], then total risk is divided proportionately between riskUp and "riskDown".

This value is reported by the riskMeasurementCalculationBox.

riskFloatingRate
An optimizable parameter with the identifer PARAMETER_RISK_FLOATINGRATE that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute floatingRate.

It is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

riskMacaulayDurationCost
An optimizable parameter with the identifer PARAMETER_RISK_MACAULAYDURATION_COSTBID that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute macaulayDurationCostBid.

It is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

riskMacaulayDurationPort
An optimizable parameter with the identifer PARAMETER_RISK_MACAULAYDURATION_PORTBID that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute macaulayDurationPortBid.

It is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

riskMeasurementAxisType
A type of riskAttribute. See riskAxis.
RISK_MEASUREMENT_AXIS_TYPE_MEMBERS
This is a constraint which specifies the number of riskAttributes examined by the system in the calculation of riskDistance.
riskMeasurementCalculationBox Image
A dialog box accessible by clicking the "Risk Measurement Details" selection on the tradeReportContextMenu.The following identifying data is reported:

The data specific to the specified trade is then reported: each line reports a particular riskAttribute and is presented as:

Following these data, the following items are reported:

riskMultiplier
One of RISK_MEASUREMENT_AXIS_TYPE_MEMBERS optimizable parameters used in the calculation of riskUp and riskDown during trade analysis. Each risk axis has its own parameter:
risk axis risk multiplier
RISK_AXIS_RETRACTIBLE PARAMETER_RISK_RETRACTIBLE
RISK_AXIS_SPLITSHARECORP PARAMETER_RISK_SPLITSHARECORP
RISK_AXIS_CUMULATIVEDIVIDENDS PARAMETER_RISK_CUMULATIVEDIVIDENDS
RISK_AXIS_PAYMENTSAREDIVIDENDS PARAMETER_RISK_PAYMENTSAREDIVIDENDS
RISK_AXIS_CREDITCLASS2 PARAMETER_RISK_CREDITCLASS2
RISK_AXIS_CREDITCLASSHIGH PARAMETER_RISK_CREDITCLASSHIGH
RISK_AXIS_CREDITCLASSLOW PARAMETER_RISK_CREDITCLASSLOW
RISK_AXIS_MACAULAYDURATION_PORTBID PARAMETER_RISK_MACAULAYDURATION_PORTBID
RISK_AXIS_PSEUDOMODIFIEDDURATION_PORTBID PARAMETER_RISK_PSEUDOMODIFIEDDURATION_PORTBID
RISK_AXIS_PSEUDOCONVEXITY_PORT PARAMETER_RISK_PSEUDOCONVEXITY_PORT
RISK_AXIS_MACAULAYDURATION_COSTBID PARAMETER_RISK_MACAULAYDURATION_COSTBID
RISK_AXIS_PSEUDOMODIFIEDDURATION_COSTBID PARAMETER_RISK_PSEUDOMODIFIEDDURATION_COSTBID
RISK_AXIS_PSEUDOCONVEXITY_COST PARAMETER_RISK_PSEUDOCONVEXITY_COST
RISK_AXIS_PSEUDOMODIFIEDDURATION_WORSTBID PARAMETER_RISK_PSEUDOMODIFIEDDURATION_WORSTBID
RISK_AXIS_YTWMODIFIEDDURATION PARAMETER_RISK_YTWMODIFIEDDURATION
RISK_AXIS_CREDITCLASS3 PARAMETER_RISK_CREDITCLASS3
RISK_AXIS_FLOATINGRATE PARAMETER_RISK_FLOATINGRATE
RISK_AXIS_CREDITCLASSHIGH PARAMETER_RISK_CREDITCLASSHIGH
RISK_AXIS_CREDITCLASSLOW PARAMETER_RISK_CREDITCLASSLOW
RISK_AXIS_YTWMODIFIEDDURATION PARAMETER_RISK_YTWMODIFIEDDURATION

These values are reported by the riskMeasurementCalculationBox

riskPaymentsAreDividends
An optimizable parameter with the identifer PARAMETER_RISK_PAYMENTSAREDIVIDENDS that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute interest income.

It is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

riskPerformanceBox Image
A dialog box produced by the performanceInstrumentRiskGroupAnalysis process. This report presents information regarding the relationship between the riskAttributes considered by HIMIPref™ and the performance of individual issues over the specified period. Data presented are:
riskPseudoConvexityCost
An optimizable parameter with the identifer PARAMETER_RISK_PSEUDOCONVEXITY_COST that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute pseudoConvexityCost.

It is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

riskPseudoConvexityPort
An optimizable parameter with the identifer PARAMETER_RISK_PSEUDOCONVEXITY_PORT that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute pseudoConvexityPort.

It is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

riskPseudoModifiedDurationPort
An optimizable parameter with the identifer PARAMETER_RISK_PSEUDOMODIFIEDDURATION_COSTBID that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute pseudoModifiedDurationCost.

It is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

riskPseudoModifiedDurationPort
An optimizable parameter with the identifer PARAMETER_RISK_PSEUDOMODIFIEDDURATION_PORTBID that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute pseudoModifiedDurationPort.

It is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

riskPseudoModifiedDurationWorst
An optimizable parameter with the identifer PARAMETER_RISK_PSEUDOMODIFIEDDURATION_WORSTBID that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute pseudoModifiedDurationWorstBid.

It is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

riskRetractible
An optimizable parameter with the identifer PARAMETER_RISK_RETRACTIBLE that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute retractibility.

It is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox, the riskMeasurementCalculationBox and the riskMeasurementCalculationBox.

riskRewardAnalysisBox Image
A dialog box accessible through the valuationContextMenu or the graphContextMenu|attributes context menu which shows the details of calculation of each of the rewardComponentsBid / rewardComponentsAsk rewardComponents. See these referenced definitions for details of each calculation.

This dialog box is also accessible via the following choices on the tradeReportContextMenu:

  • Sold Instrument Bid Valuation
  • Sold Instrument Ask Valuation
  • Bought Instrument Bid Valuation
  • Bought InstrumentAsk Valuation
  • Sold Instrument Penalties (shows penaltyComponents only)
  • Bought Instrument Penalties (shows penaltyComponents only)

The button "Analytical Values" displays the riskRewardAnalyticalValuesBox for detail of the "Analytical Value" factor.

riskRewardAnalyticalValuesBox Image
A dialog box accessible through the riskRewardAnalysisBox.

This report shows the values of the rewardComponentsBid / rewardComponentsAsk "Analytical Values" of the factors specified in rewardComponentsBid / rewardComponentsAsk, which have their products shown in the riskRewardAnalysisBox.

riskRewardDataType
A structure internal to the programme that is comprised of instrumentAveragesRecords, yieldCurveAveragesRecords and instrumentSpotValues records.

This structure records all the fundamental attribute values necessary within HIMIPref™.

riskSplitShareCorp
An optimizable parameter with the identifer PARAMETER_RISK_SPLITSHARECORP that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute split share corporation.

It is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

riskUp
This is a calculated value used in the subsequent determination of riskDistance. Each component, i, of the tradeRawRisk vector is examined. If

then "riskUp" is incremented by
tradeWeight * (tradeRawRisk[i] * riskMultiplier[i])^RISK_DISTANCE_EXPONENT

If the proposed trade will change the sign of holdingsRiskDifference[i], then total risk is divided proportionately between "riskUp" and riskDown.

This value is reported by the riskMeasurementCalculationBox.

riskYTWModifiedDuration
An optimizable parameter with the identifer PARAMETER_RISK_YTWMODIFIEDDURATION that is used in the calculation of riskDistance, being of the type riskMultiplier. It operates on the risk attribute ytwModifiedDuration.

It is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox and the riskMeasurementCalculationBox.

runningYield
See currentYield.
schedule
A field in a taxRateScheduleRecord which identifies to which sequence the particular record belongs. Each uniquely identified sequence must consist of one or more records with an identical "schedule" value and a series of fromDate and toDate values that together span completely the period for which the "schedule" is expected to be required.

It corresponds to the taxScheduleID field of a portfolioDataRecord.

This datum may be displayed in the taxRateScheduleBox.

scheduleID
A field in a taxRateScheduleNamesRecord corresponding to the schedule field of a taxRateScheduleRecord.
scheduleName
A field in a taxRateScheduleNamesRecord that records the name by which a particular taxRateSchedule may be referred to in, for example, the taxRateScheduleSelectionBox.
secondary market
This refers to dealings between investors, with the issuing company not being involved directly, on contrast to the primary market.
securities commissions
Security regulation in Canada is performed by provincial securities commissions, which define just what a security is, determine when a prospectus must be issued to investors in the security, approve the prospectus and engage in enforcement action. The largest such commission in Canada is the Ontario Securities Commission
security code Report Summary
A "security code" is assigned to each instrument in the HIMIPref™ universe. Sometimes an instrument may have more than one security code during its existence - for instance, fixed-floaters may change security codes when they become floating rate, for reasons of computational expediency - but never more than one that is applicable at any given time.

The "security code" is the key element for identifation in the databases which refer to instrument characteristics:

It is also a field in a futurePaymentRecord and a transactionDataRecord identifying the security involved in the transaction giving rise to the record.

Note that CUSIP numbers are not satisfactory, as these numbers are often recycled.

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

This value may also be accessed via the transactionReport, the instrumentDetailsBox, the durationCalculationBox, the pseudoModifiedDurationCalculationBox, the pseudoConvexityCalculationBox, the componentsOfYieldCurvePriceBox, the creditRatingHistoryBox, the multipleTradeReportBox, the futurePaymentsReportBox and the maturityDetailsBox.

SECURITY_CODE_CASH
A reserved securityCode used to indicate that the field is referring to cashAndEquivalents rather than to an actual preferredShare.
System for Electronic Document Analysis and Retrieval (SEDAR)
An electronic "filing cabinet" for securities information filed with the various securities commissions in Canada, maintained (in part) by their umbrella organization, the Canadian Securities Administrators. The website is an excellent source of prospectuses.
segmentation
This refers to the preference for certain investors for certain attributes of their investments. For example, a pension fund may prefer (or allocate a fixed percentage of its portfolio to) long term bonds, while other entities may prefer other investments according to their business needs. Segmentation is usually used to refer to maturity preferences, but can refer to others, such as credit ratings or industry groups.
self-consistent maturity date
This is the date of the element in the option calculation list which is marked as the final maturity. The calculation assumes that the market price of the issue will approach the ultimate maturity price of the issue over time, and the selfConsistentMaturityPrice which is determined using this assumption must be equal to this value if the calculation is to be presumed valid. The selection of the "selfConsistentMaturityDate" will affect the rate of the approact to this price.

If, for instance, we have an issue which may be called at $25.00 commencing in 30 years, the first recursion's ultimate maturity price will be the current bidprice of the instrument, which will here be assumed to be $27.00, and the "selfConsistentMaturityDate" will be thirty years hence (unless constrained to be less by MATURITY_CALCULATION_LIMIT_YEARS). However, since it will be to the issuer's advantage to call the shares prior to this call period, the final maturity will probably be considered a certain exercise of the call option and the second recursion will then presume a long-term target price for the issue of the "self-consistent maturity price" of $25.00 as the ultimateMaturityPrice and the date of this call as the second recursions "selfConsistentMaturityDate".

self-consistent maturity price
This is the maturityPrice of the element in the option calculation list which is marked as the final maturity. The calculation assumes that the market price of the issue will approach the ultimate maturity price of the issue over time, and the "self-consistent maturity price" which is determined using this assumption must be equal to this value if the calculation is to be presumed valid.

If, for instance, we have an issue which may be called at $25.00 throughout, the first recursion's ultimate maturity price will be the current bidprice of the instrument, which will here be assumed to be $27.00. However, since it will be to the issuer's advantage to call the shares prior to this call period, the final maturity will probably be considered a certain exercise of the call option at a price of $25.00. The maturity price for the first recursion will not be self-consistent, so the second recursion will then presume a long-term target price for the issue of the "self-consistent maturity price" of $25.00 as the ultimateMaturityPrice.

sellSize
The number of shares to be sold in a particular trade, as determined by the algorithm specified in trade size.

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

sellValuationAsk
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 sold at its ask price.

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

sellValuationBid = totalRewardBid [of the instrument sold]


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

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

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

sellValue = sellSize * bid price (of issue sold)

This value is used in the subsequent calculation of cashChange.

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

If portfolioCashValue is defined:
sellWeight = sellValue / portfolioCashValue
and if portfolioCashValue is undefined:
sellValue = undefined
share exchange
A "share exchange" is a reorganization in which shares of an issue may be exchanged for shares of another issue. This is sometimes in accordance with the prospectus, most commonly when holders have a choice of exchanging their fixed floater issue, about to begin paying a floating rate, for a fixed-rate issue with a known dividend rate until the next date for possible exchanges. Occasionally, share exchanges will be offered by the issuer on a voluntary basis which is not mentioned in the prospectus - e.g., if an issue with a low dividend rate is approaching a retraction date, the issuer may choose to offer a new issue with a market-rate on a "share-exchange" basis, to avoid having to pay cash for the old issue.
shares
A field in a futurePaymentRecord specifying the number of shares involved in the transaction that gave rise to this accounting entry. This value is reported by the futurePaymentsReportBox.

(ii) A field in a reorgTransactionRecord recording the number of shares held by the activePortfolio that were affected by a reorganization.

See also holdings - Units.

short
A verb, noun or adjective. To go short a position means to sell the issue prior to purchasing it - in order to obtain stock to deliver to the buyer, the short-seller must borrow it. The borrowed position is generally collaterallized with cash - retail investors will generally collatteralize with 150% of the the position's value, institutional ones with 105%. Additionally, institutional borrowers will be paid interest at some level below the market overnight rate, while retail borrowers generally have to lend the money for free.
shortDecayInfoDecay
An optimizableParameter with the identifier PARAMETER_CURVE_SHORTDECAY_INFODECAY that is used as the dampingFactor when computing the exponential moving average of yieldCurveDecayShort, which is stored as averageDecayShort. See also trendDecayShort and volatilityDecayShort.

This parameter is reported in the analyticalParametersReportBox.

Short Name Report Summary
The short name of an issue is a 20-character string which attempts to provide an abbreviated form of the issue's legal name. The short names used in HIMIPref™ will generally, but not always, be those reported by the Toronto Stock Exchange. These "short names" are recorded in the "shortName" field of an instrumentDataRecord. See also long name.

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

This value may also be accessed via the transactionReport, the instrumentDetailsBox, the portfolioReportBox and the cashFlowDiscountingAnalysisBox.

shortTermRateInfoDecay
An optimizable parameter with the identifier PARAMETER_CURVE_SHORTTERMRATE_INFODECAY which defines the degree of damping in the exponential moving average of the yieldCurveShortTerm component of the yield curve. This average is referred to as averageShortTermRate; see also trendShortTermRate and volatilityShortTermRate.

This parameter is reported in the analyticalParametersReportBox.

simulation
In order to determine proper values of the optimizable parameters, simulations against actual price and volume data are performed. There are two methods of simulation, Issue Method and Portfolio Method. In either case, the values of the optimizable parameters are varied in accordance with a maximum slope algorithm until the best combination of those parameters for the particular settings of the simulation's constraints is found, as determined by the simulation score.

Essentially, the system seeks to recreate trade recommendations in the simulation while constrained by actual experience of dividends, closing quotations, tradeable values and reorganizations, performing each day's calculation uninfluenced by knowledge of later-dated data.

Bookkeeping for amounts accrued but not yet due (in the portfolioMethod) are recorded by futurePaymentRecords for such effects as dividend payments and taxes.

SIMULATION_PARAMETER_SELECTION_FASTSLOWBONUS
A constraint used to favour the selection of optimizableParameters by the maximumSlopeAlgorithm in the course of simulations that will result in a more efficient use of computational resources than would be the case if no bias was applied.
simulation score
A numerical value calculated for a single simulation, which seeks to quantify the effectiveness of the set of optimizable parameters which were in effect for that run.

In the portfolio method

  • The performance of the simulated portfolio relative to the index is determined.
  • An initial weighting for each month is computed by the formula:

    weight = SIMULATION_SCORE_WEIGHT_ANNUALINFODECAY ^ time

    where time is the difference, in years, between the beginning of the month in question and the end-date of the simulation.
  • The weight for each month in which the simulated portfolio underperformed the index is multiplied by SIMULATION_SCORE_WEIGHT_UNDERPERFORMANCE
  • The weight for each month in which the index return was negative is multiplied by SIMULATION_SCORE_WEIGHT_DOWNMONTH
  • The "simulation score" is 100 times the weighted average of the relative performance.

In the issue method

  • The annualized relative relative of the instrument purchased less that of the instrument sold is determined, over the period during which the trade was "open"
  • An initial weight is assigned to this value of:

    weight = SIMULATION_SCORE_WEIGHT_ANNUALINFODECAY ^ time

    where time is the difference, in years, between the closing of the trade and the end of the simulation.
  • The weight for each trade in which the purchased instrument underperformed the instrument sold is multiplied by SIMULATION_SCORE_WEIGHT_UNDERPERFORMANCE
  • The weight for each trade in which the instrument sold return was negative is multiplied by SIMULATION_SCORE_WEIGHT_DOWNMONTH.
  • If the relative annualized performance exceeds TRADE_OPTIMIZATION_RELATIVE_ANNUALIZED_MAX the weight is reset to 0.
  • The weighted average and weighted standard deviation of the relative returns are calculated.
  • The "trade score" is:

    trade score = (number of trades) * (weighted relative return) / (weighted standard deviation)
SIMULATION_SCORE_WEIGHT_ANNUALINFODECAY
A constraint used in the calculation of simulationScores which is intended to give greater weight in score calculation to results from later periods of the simulation.
SIMULATION_SCORE_WEIGHT_DOWNMONTH
A constraint used in the calculation of simulationScores which gives a greater weight in the calculation to those monthly results in which the index return was negative.
SIMULATION_SCORE_WEIGHT_UNDERPERFORMANCE
A constraint used in the calculation of simulationScores which gives a greater weight in the calculation to those monthly results in which the simulated portfolio underperformed the index.
soft maturity
A final maturity with the maturityFlag MATURITYTYPE_SOFTMATURITY indicating that the issue is (presumed to be) exchanged for common shares of the issuer, or (typically) that the issuer has called the issue for cash in order to avoid this occurance.
soft retraction
A retraction in which the issuer issues common shares in exchange for the redeemed instrument, instead of exchanging it for cash (hard retraction).
"Sold" Longname Report Summary
A field used when examining results from issueMethod simulations. Administrative use only.
"Sold" Return Report Summary
A field used when examining results from issueMethod simulations. Administrative use only.
"Sold" Shortname Report Summary
A field used when examining results from issueMethod simulations. Administrative use only.
"Sold" Ticker Report Summary
A field used when examining results from issueMethod simulations. Administrative use only.
split share corporation Report Summary Report Summary
A split share corporation is an investment vehicle set up to execute a particular investment strategy, generally one that is expected to generate some investment income. Typically, the corporation will issue three classes of shares:
  • Preferred shares, with terms sufficient to make these shares attractive on the preferred share market, in a quantity which should make the cash flow of the corporation net to zero
  • Capital Appreciation shares, which will increase in value according to the price of the underlying investment(s), and
  • Common shares, generally held entirely by the investment manager/promoter, which confer control of the corporation.

The question of whether an issuer is a split share corporation or not is considered to be a risk attribute of the issue.

This data is stored as a boolean field on an instrumentDataRecord.

Note: When this datum is reported as a number, "true" is equal to 1.0; "false" is equal to 0.0.

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.

spotValue
A field in the instrumentAveragesRecord table of the volatileDatabase. There are INSTRUMENT_VALUATION_REVERSION_TYPE_MEMBERS stored as "spotValues", most of which duplicate values stored elsewhere under different names in the system. These "spotValues" and their alternate designations are:
"spotValue" Alternate designation
volume-spot
spread-spot
currentYieldBid-spot currentYield
portBidYield-spot portBidYield
portAskYield-spot
costBidYield-spot costBidYield
costAskYield-spot costAskYield
bidYieldToWorst-spot bidYieldToWorst
priceDisparity-spot
yieldDisparity-spot yield disparity
flatBidPrice-spot Current Bid (FlatValue)
flatAskPrice-spot
curveBidYield-spot
curveAskYield-spot
ratchetYield-spot
parentPrice-spot
askYieldToWorst-spot askYieldToWorst
spread-average
This is the historical average of spread-spot. See spread-trend, spread-volatility, instrumentAveragesRecord and instrumentPriceSpreadInfoDecay.

Reported on reportSummary as Price Spread - average

spread-spot
This is the value, computed daily, of the ask price of the issue less the bid price. It is the basis of one of the instrument averages attributes - see spread-average, spread-trend, spread-volatility and instrumentPriceSpreadInfoDecay.

Reported on reportSummary as Price Spread - Spot.

spread-trend
This is the historical trend of spread-spot. See spread-average, spread-volatility, instrumentAveragesRecord and instrumentPriceSpreadInfoDecay.

Reported on the reportSummary as Price Spread - trend

spread-volatility
This is the historical volatility of spread-spot. See spread-average, spread-trend, instrumentAveragesRecord and instrumentPriceSpreadInfoDecay.

Reported on reportSummary as Price Spread - Volatility

strikePrice
A field in an optionDataRecord that specifies the exercisePrice of the subject option.

Note that many puts are defined in the prospectus as being conversions into a specified value (usually the parValue of the instrument) of the issuer's common stock at a fraction (usually 95%) of the prevailing market price. In such cases, the "strikePrice" will be calculated on the assumption that the conversion rate into cash is 1% worse than the conversion rate into stock, in order to allow for fees and expenses. Thus, a put which allows conversion into $25.00 market value of common at 95% of market value will be valued as a conversion into cash at 96% - the figure is therefor $25.00 / 0.96 = $26.04.

This datum is reported in the embeddedOptionsBox.

stubDiscountingAsk
An instance of a cashFlowDiscountingTable used in the curve method of option pricing. It is created from the costAskDiscountingTable by:
stubDiscountingBid
An instance of a cashFlowDiscountingTable used in the curve method of option pricing. It is created from the costBidDiscountingTable by:
swap
A trade in which the entire holding of one position is sold and the proceeds reinvested in a single issue.
swap value
All trades recommended in the issue method of portfolio optimization are swaps. The "swap value" considered when determining whether an issue is liquid enough to be considered is:
systemConstantsID
A field in a portfolioDataRecord used to specify the systemConstantsRecord (where it coresponds to identifier) which should be used by the portfolio in question. A "systemConstantsID" is a unique identifier for the systemConstantsRecord. This datum is displayed on the portfolioListReport, where right-clicking it will produce the portfolioListReportContextMenu|systemConstantsID context menu.
systemConstantsRecord
A record contained in the systemConstantsTable table of the permanentDatabase to record the values of the optimizableParameters and some constraints that correspond to a particular systemConstantsID. In the course of simulations, temporary records are also stored in the systemConstantsTable table of the volatileDatabase.

Fields in this record are:

Field Name Field Identifier
recordID
credit
baseRateInfoDecay PARAMETER_CURVE_BASERATE_INFODECAY
shortTermRateInfoDecay PARAMETER_CURVE_SHORTTERMRATE_INFODECAY
longTermRateInfoDecay PARAMETER_CURVE_LONGTERMRATE_INFODECAY
premiumInterestIncomeInfoDecay PARAMETER_CURVE_PREMIUM_INTERESTINCOME_INFODECAY
shortDecayInfoDecay PARAMETER_CURVE_SHORTDECAY_INFODECAY
longDecayInfoDecay PARAMETER_CURVE_LONGDECAY_INFODECAY
premiumCumulativeDividendsInfoDecay PARAMETER_CURVE_PREMIUM_CUMULATIVEDIVIDENDS_INFODECAY
premiumSplitShareCorpInfoDecay PARAMETER_CURVE_PREMIUM_SPLITSHARECORP_INFODECAY
premiumRetractibleInfoDecay PARAMETER_CURVE_PREMIUM_RETRACTIBLE_INFODECAY
premiumCreditClass2InfoDecay PARAMETER_CURVE_PREMIUM_CREDIT_CLASS_2_INFODECAY
premiumCreditClassHighInfoDecay PARAMETER_CURVE_PREMIUM_CREDIT_CLASS_HIGH_INFODECAY
premiumCreditClassLowInfoDecay PARAMETER_CURVE_PREMIUM_CREDIT_CLASS_LOW_INFODECAY
instrumentVolumeInfoDecay PARAMETER_INSTRUMENT_VOLUME_INFODECAY
instrumentPriceSpreadInfoDecay PARAMETER_INSTRUMENT_SPREAD_INFODECAY
instrumentCurrentYieldBidInfoDecay PARAMETER_INSTRUMENT_CURRENTYIELDBID_INFODECAY
instrumentPortBidYieldInfoDecay PARAMETER_INSTRUMENT_PORTBIDYIELD_INFODECAY
instrumentPortAskYieldInfoDecay PARAMETER_INSTRUMENT_PORTASKYIELD_INFODECAY
instrumentCostBidYieldInfoDecay PARAMETER_INSTRUMENT_COSTBIDYIELD_INFODECAY
instrumentCostAskYieldInfoDecay PARAMETER_INSTRUMENT_COSTASKYIELD_INFODECAY
instrumentPriceDisparityInfoDecay PARAMETER_INSTRUMENT_PRICEDISPARITY_INFODECAY
instrumentYieldDisparityInfoDecay PARAMETER_INSTRUMENT_YIELDDISPARITY_INFODECAY
instrumentFlatBidPriceInfoDecay PARAMETER_INSTRUMENT_FLATBIDPRICE_INFODECAY
instrumentFlatAskPriceInfoDecay PARAMETER_INSTRUMENT_FLATASKPRICE_INFODECAY
instrumentBidYieldToWorstInfoDecay PARAMETER_INSTRUMENT_BIDYIELDTOWORST_INFODECAY
instrumentCurrentYieldReversionSpeed PARAMETER_INSTRUMENT_CURRENTYIELD_REVERSIONSPEED
instrumentPortYieldReversionSpeed PARAMETER_INSTRUMENT_PORTYIELD_REVERSIONSPEED
instrumentCostYieldReversionSpeed PARAMETER_INSTRUMENT_COSTYIELD_REVERSIONSPEED
instrumentYieldToWorstReversionSpeed PARAMETER_INSTRUMENT_YIELDTOWORST_REVERSIONSPEED
instrumentPriceDisparityReversionSpeed PARAMETER_INSTRUMENT_PRICEDISPARITY_REVERSIONSPEED
instrumentYieldDisparityReversionSpeed PARAMETER_INSTRUMENT_YIELDDISPARITY_REVERSIONSPEED
instrumentFlatPriceReversionSpeed PARAMETER_INSTRUMENT_FLATPRICE_REVERSIONSPEED
instrumentCurrentYieldValuation PARAMETER_INSTRUMENT_SPOT_CURRENTYIELD
instrumentPortYieldValuation PARAMETER_INSTRUMENT_SPOT_PORTYIELD
instrumentCostYieldValuation PARAMETER_INSTRUMENT_SPOT_COSTYIELD
instrumentYieldToWorstValuation PARAMETER_INSTRUMENT_SPOT_YIELDTOWORST
instrumentPriceDisparityValuation PARAMETER_INSTRUMENT_SPOT_PRICEDISPARITY
instrumentYieldDisparityValuation PARAMETER_INSTRUMENT_SPOT_YIELDDISPARITY
curveBaseRateReversionSpeed PARAMETER_CURVE_BASERATE_REVERSIONSPEED
curveShortTermReversionSpeed PARAMETER_CURVE_SHORTTERM_REVERSIONSPEED
curveLongTermReversionSpeed PARAMETER_CURVE_LONGTERM_REVERSIONSPEED
curveInterestIncomeReversionSpeed PARAMETER_CURVE_INTERESTINCOME_REVERSIONSPEED
curveCumulativeDividendsReversionSpeed PARAMETER_CURVE_CUMULATIVEDIVIDENDS_REVERSIONSPEED
curveSplitShareReversionSpeed PARAMETER_CURVE_SPLITSHARE_REVERSIONSPEED
curveRetractibleReversionSpeed PARAMETER_CURVE_RETRACTIBLE_REVERSIONSPEED
curveLiquidityReversionSpeed PARAMETER_CURVE_LIQUIDITY_REVERSIONSPEED
riskRetractible PARAMETER_RISK_RETRACTIBLE
riskSplitShareCorp PARAMETER_RISK_SPLITSHARECORP
riskCumulativeDividends PARAMETER_RISK_CUMULATIVEDIVIDENDS
riskPaymentsAreDividends PARAMETER_RISK_PAYMENTSAREDIVIDENDS
riskCreditClass2 PARAMETER_RISK_CREDITCLASS2
riskCreditClassHigh PARAMETER_RISK_CREDITCLASSHIGH
riskCreditClassLow PARAMETER_RISK_CREDITCLASSLOW
riskMacaulayDurationPort PARAMETER_RISK_MACAULAYDURATION_PORTBID
riskPseudoModifiedDurationPort PARAMETER_RISK_PSEUDOMODIFIEDDURATION_PORTBID
riskPseudoConvexityPort PARAMETER_RISK_PSEUDOCONVEXITY_PORT
riskMacaulayDurationCost PARAMETER_RISK_MACAULAYDURATION_COSTBID
riskPseudoModifiedDurationWorst PARAMETER_RISK_PSEUDOMODIFIEDDURATION_WORSTBID
riskPseudoModifiedDurationCost PARAMETER_RISK_PSEUDOMODIFIEDDURATION_COSTBID
riskPseudoConvexityCost PARAMETER_RISK_PSEUDOCONVEXITY_COST
riskYTWModifiedDuration PARAMETER_RISK_YTWMODIFIEDDURATION
pickupOptimal PARAMETER_PICKUP_OPTIMAL
maxWeight PARAMETER_PORTFOLIO_MAXWEIGHT
maxWeightRetractible PARAMETER_PORTFOLIO_MAXWEIGHT_RETRACTIBLE
maxWeightIssuerClass2 PARAMETER_PORTFOLIO_MAXWEIGHT_ISSUERCLASS2
maxWeightIssuerClass3 PARAMETER_PORTFOLIO_MAXWEIGHT_ISSUERCLASS3
maxWeightCreditClass3 PARAMETER_PORTFOLIO_MAXWEIGHT_CREDITCLASS3
maxWeightFloatingRate PARAMETER_PORTFOLIO_MAXWEIGHT_FLOATINGRATE
maxWeightSplitShareCorp PARAMETER_PORTFOLIO_MAXWEIGHT_SPLITSHARECORP
maxWeightInterestPay PARAMETER_PORTFOLIO_MAXWEIGHT_INTERESTPAY
minWeight PARAMETER_PORTFOLIO_MINWEIGHT
maxWeightCumulativeDividends PARAMETER_PORTFOLIO_MAXWEIGHT_CUMULATIVEDIVIDENDS
maxWeightCreditClass2 PARAMETER_PORTFOLIO_MAXWEIGHT_CREDITCLASS2
tradingMaxDays PARAMETER_TRADING_MAXDAYS
issuanceCost PARAMETER_SYSTEM_ISSUANCECOST
minCostBidPseudoModifiedDurationBuy PARAMETER_PORTFOLIO_MINCOSTBIDPSEUDOMODIFIEDDURATIONBUY
minWorstBidPseudoModifiedDurationBuy PARAMETER_PORTFOLIO_MINWORSTBIDPSEUDOMODIFIEDDURATIONBUY
minYTWModifiedDurationBuy PARAMETER_PORTFOLIO_MINYTWMODIFIEDDURATIONBUY
volumeAveragingCap PARAMETER_SYSTEM_VOLUMEAVERAGINGCAP
instrumentCurveBidYieldInfoDecay PARAMETER_INSTRUMENT_CURVEBIDYIELD_INFODECAY
instrumentCurveAskYieldInfoDecay PARAMETER_INSTRUMENT_CURVEASKYIELD_INFODECAY
instrumentCurveYieldReversionSpeed PARAMETER_INSTRUMENT_CURVEYIELD_REVERSIONSPEED
instrumentCurveYieldValuation PARAMETER_INSTRUMENT_SPOT_CURVEYIELD
optionDoubtPenalty PARAMETER_PENALTY_OPTIONDOUBT
issueConcentrationPenalty PARAMETER_PENALTY_ISSUECONCENTRATION
dividendCapture PARAMETER_INSTRUMENT_DIVIDENDCAPTURE
premiumLiquidityInfoDecay PARAMETER_CURVE_PREMIUM_LIQUIDITY_INFODECAY
riskCreditClass3 PARAMETER_RISK_CREDITCLASS3
riskFloatingRate PARAMETER_RISK_FLOATINGRATE
curveCreditClass2ReversionSpeed PARAMETER_CURVE_CREDITCLASS2_REVERSIONSPEED
curveCreditClass3ReversionSpeed PARAMETER_CURVE_CREDITCLASS3_REVERSIONSPEED
curveCreditClassHighReversionSpeed PARAMETER_CURVE_CREDITCLASSHIGH_REVERSIONSPEED
curveCreditClassLowReversionSpeed PARAMETER_CURVE_CREDITCLASSLOW_REVERSIONSPEED
curveFloatingRateReversionSpeed PARAMETER_CURVE_FLOATINGRATE_REVERSIONSPEED
premiumCreditClass3InfoDecay PARAMETER_CURVE_CREDIT_CLASS_3_INFODECAY
premiumFloatingRateInfoDecay PARAMETER_CURVE_FLOATINGRATE_INFODECAY
ratchetYieldInfoDecay PARAMETER_INSTRUMENT_RATCHETYIELD_INFODECAY
instrumentValuationVolatilityModifier PARAMETER_INSTRUMENT_VALUATION_VOLATILITYMODIFIER
valueSizeAdjust PARAMETER_TRADING_VALUESIZEADJUST
rewardInconsistencyAdjust PARAMETER_TRADING_REWARD_INCONSISTENCY
parentPriceInfoDecay PARAMETER_INSTRUMENT_PARENTPRICE_INFODECAY
parentPriceExponent PARAMETER_INSTRUMENT_VALUATION_PARENTPRICE_EXPONENT
parentPriceThreshold PARAMETER_INSTRUMENT_VALUATION_PARENTPRICE_THRESHOLD
credit PARAMETER_RATING_SOURCE
identifier N/A
instrumentAskYieldToWorstInfoDecay PARAMETER_INSTRUMENT_ASKYIELDTOWORST_INFODECAY
tradeScoreCap PARAMETER_TRADING_TRADESCORECAP
frictionConversionCap PARAMETER_TRADING_FRICTIONCONVERSIONCAP
pseudoConvexityPortPenalty PARAMETER_PENALTY_PSEUDOCONVEXITY_PORT
pseudoConvexityCostPenalty PARAMETER_PENALTY_PSEUDOCONVEXITY_COST
pseudoConvexityWorstPenalty PARAMETER_PENALTY_PSEUDOCONVEXITY_WORST
description PARAMETER_DESCRIPTION

Most fields of the "systemConstantsRecord" are reported in the analyticalParametersReportBox.

systemConstantsSelectionBox Image
A dialog box accessible from the portfolioInputBox that allows the selection of a particular systemConstantsRecord.

A list box showing the description of each available systemConstantsRecord is shown; to select a record, highlight the desired description and click "OK".

Other buttons available:

systemConstantsTable
A table containing systemConstantsRecords that is contained in both the permanentDatabase (for records used for actual portfolios) and in the volatileDatabase (for records used in a simulation). These records contain the values for both optimizableParameters and constraints used in HIMIPref™.
SYSTEM_CONSTANTS_UNDEFINED
A control constant corresponding to the systemConstantsID field of a systemConstantsRecord, indicating that no record is being referred to by the variable having this value.
tax
Funds which are presumed to be payable to the government by the beneficiary of a transaction as a result of that transaction.

A specific example is capital gains tax. See taxRateDataRecord.

TAX_CALCULATION_EFFECT_AFTERTAX
A setting of the taxCalculationEffectType that indicates that, in the performanceCalculation, tax accruals (transactions of the transactionEnumerationType TRANSACTION_TYPE_CAPITALGAINSACCRUAL and TRANSACTION_TYPE_INCOMETAXACCRUAL) should be treated as investment returns.
TAX_CALCULATION_EFFECT_PRETAX_FAST
A setting of the taxCalculationEffectType that indicates that, in the performanceCalculation, tax accruals (transactions of the transactionEnumerationType TRANSACTION_TYPE_CAPITALGAINSACCRUAL and TRANSACTION_TYPE_INCOMETAXACCRUAL) should be:
  • treated as withdrawals of cash from the portfolio
  • In a tradeDate evaluation, the tradeDate of the "withdrawal" should be reset to the day before the valueDate.
  • In a valueDate evaluation, they will be considered effective on the calculated taxDueDate
TAX_CALCULATION_EFFECT_PRETAX_SLOW
A setting of the taxCalculationEffectType that indicates that, in the performanceCalculation, tax accruals (transactions of the transactionEnumerationType TRANSACTION_TYPE_CAPITALGAINSACCRUAL and TRANSACTION_TYPE_INCOMETAXACCRUAL) should:
  • treated as withdrawals of cash from the portfolio
  • In a tradeDate evaluation, these withdrawals should be considered to be effective on the date of the transaction that gave rise to them.
  • In a valueDate evaluation, they will be considered effective on the calculated taxDueDate
taxCalculationEffectType
An enumerated type used in a performanceCalculation. It may take any of the following values:

Transactions of the transactionEnumerationType TRANSACTION_TYPE_CAPITALGAINSACCRUAL and TRANSACTION_TYPE_INCOMETAXACCRUAL will have a valueDate equal to the taxPayDate of the year following and a tradeDate equal to the tradeDate of the transaction that gave rise to the accrual. If the "taxCalculationEffectType" is TAX_CALCULATION_EFFECT_AFTERTAX, these accruals will be treated in the same manner as investment returns; otherwise these entries will be treated as cash withdrawals.

If the "taxCalculationEffectType" is TAX_CALCULATION_EFFECT_PRETAX_SLOW and the performance calculation is done on a tradeDate basis, such "withdrawals" will arise whenever a capitalGain or capitalLoss is realized, necessitating a valuation of the portfolio on that day.

If the taxCalculationEffectType is TAX_CALCULATION_EFFECT_PRETAX_FAST and the performanceCalculation is done on a tradeDate basis, the tradeDate of the withdrawals will be reset to the day before the value date.

TAX_CALCULATION_EFFECT_UNDEFINED
A taxCalculationEffectType that indicates that selection of this detail of the performanceCalculation has not yet been made.
taxDueDate
The precise date on which tax on the transaction considered will become payable, usually the TAX_DUE_DAY of the TAX_DUE_MONTH of the following calendar year.
TAX_DUE_DAY
A constraint defining the day of the TAX_DUE_MONTH of a particular year on which capital gains tax becomes payable.
TAX_DUE_MONTH
A constraint defining the month of a particular year when capital gains tax becomes payable.
tax effect of option exercise
A calculated value used in the cost method of option pricing and inserted as a cash flow entry into the costBidDiscountingTable / costAskDiscountingTable. The date of the cash flow entry is defined with the cash flow date of TAX_DUE_DAY of the TAX_DUE_MONTH of the year following presumed exercise, while the cash flow amount is defined as:

"taxEffectOfOptionExercise" = - capitalChange * effectiveCapitalGainTaxRate * exerciseProbability

where
"capitalChange" = exercisePrice - current Bid Price
taxIdentifier
A field in an instrumentAveragesRecord and yieldCurveAveragesRecord which records the identifier of the taxRateDataRecord which was used in the calculation of the instrumentAveragesRecord.This value is reported by the tradingFrictionAnalysisBox.
tax-loss selling
The sale of instrument motivated largely by a desire to realize a capital loss for tax purposes. This can be a valuable tool to defer taxes, provided equivalent investments are available. See friction for an example.
taxPayDate
A calculated variable used in the subsequent calculation of PVtaxOnSaleBid, a component of capitalGainFrictionBid. It is the date on which capital gains tax for the trade being considered becomes payable.

The value date of the trade is determined and the "taxPayDate" is on the TAX_DUE_DAY of the TAX_DUE_MONTH of the subsequent year.

This value is reported by the tradingFrictionAnalysisBox.

This value may set the valueDate of a transactionDataRecord with transactionEnumerationType of TRANSACTION_TYPE_CAPITALGAINSACCRUAL or TRANSACTION_TYPE_INCOMETAXACCRUAL. See taxCalculationEffectType.

taxRateCapGain
A field contained in a taxRateDataRecord record. It specifies the capital gains tax rate that will be payable on capital gains.
taxRateCapLoss
A field contained in a taxRateDataRecord record. It specifies the capital gains tax rate that will be recoverable on capital losses. Note that such recoveries, which will mitigate the financial effects of losses experienced, can be applied only against capital gains tax which would otherwise be payable.
taxRateDataRecord
A record contained in the taxRateTable of the permanentDatabase. Its purpose is to provide HIMIPref™ with a means to specify tax rates to be used for analytical purposes, given a specific identifier. It contains the following fields:

See also taxRateScheduleRecord.

These data may be displayed in the taxRateDialogBox.

taxRateDialogBox Image
A dialog box accessible via the "Tax Rate" pop-up on the mainMenu|Reports|activePortfolio pop-up menu or the "Current Tax Rates" selection on the portfolioListReportContextMenu|taxScheduleID

The following data from the relevent taxRateDataRecord are displayed:

taxRateDividend
A field contained in a taxRateDataRecord record. It specifies the tax rate payable on dividend income.
taxRateForAccruals
This is the taxRateDataRecord defined by the taxRateSchedule for the activePortfolio. It is used in the course of simulations to determine the accruals necessary on income and capital gains.

It differs from the taxRateForTrading in that the taxRateForTrading can have its rates adjusted to reflect the instantaneous tax situation of the account reflected, for use when determining trades. The "taxRateForAccruals" is dependent only upon the taxRateSchedule.

taxRateForTrading
This is a taxRateDataRecord originally defined by the taxRateSchedule for the activePortfolio. The taxRateCapGain and taxRateCapLoss fields may be adjusted (to 0) if the account has a capitalLoss and therefore trades may be executed that will trigger a capital gain without such trades requiring a outlay of cash to taxes in and of themselves. Note that in a simulation, the tax effect of these trades will reduce the capitalLoss previously accrued, as accruals are made according to the taxRateForAccruals.
taxRateInterest
A field contained in a taxRateDataRecord record. It specifies the tax rate payable on interestIncome.
taxRateQueryProcess
A process called internally when it is necessary for the user to define which taxRateDataRecord identifier is to be used within that process.
taxRateSchedule
A table in the permanentDatabase containing taxRateScheduleRecords. Its purpose is to allow HIMIPref™ to identify a unique taxRateDataRecord for any given combination of a schedule identifier and date.

Data from the "taxRateSchedule" table may be displayed in the taxRateScheduleBox.

taxRateScheduleBox Image
A dialog box accessible via the portfolioListReportContextMenu|taxScheduleID, which shows data for a single schedule from the taxRateSchedule table.

The following information is displayed:

taxRateScheduleNames
A table contained within the permanentDatabase comprised of taxRateScheduleNamesRecords.
taxRateScheduleNamesRecord
A record in the taxRateScheduleNames table of the permanentDatabase used to correllate scheduleNames with schedules of a taxRateScheduleRecord.

Fields comprising this record are:

taxRateScheduleRecord
A record in the taxRateSchedule table of the permanentDatabase. The purpose of this record is to allow HIMIPref™ to identify a unique taxRateDataRecord for any given combination of a schedule identifier and date. It consists of the following fields:

These data may be displayed by the taxRateScheduleBox.

taxRateScheduleSelectionBox Image
A dialog box displayed during the taxRateQueryProcess that allows the selection of a particular taxRateSchedule from a display of the scheduleNames. The data returned is the scheduleID.
taxRateTable
A table contained in the permanent Database that records information regarding the combinations of tax rates that may or have been payable on investment transactions. It is comprised of taxRateDataRecords.
tax Schedule ID
A field in a portfolioDataRecord which identifies the particular schedule in the taxRateSchedule should be used when determining which taxRateDataRecord is applicable for a particular account and date. This value is reported in the portfolioListReport; right-clicking it will produce the portfolioListReportContextMenu|taxScheduleID

This data is also reported in the taxRateScheduleBox.

term-to-maturity
(i) The time until the instrument becomes due. An instrument due to be redeemed on October 1, 20xx, has a term-to-maturity of one month on September 1, 20xx.

(ii) In the calculation of exercise probability of an embedded option, the time in years from the calculation date to the ultimateMaturityDate.

"Term-to-maturity" is reported in the optionCashFlowEffectAnalysisBox

termToExercise
A calculated value used in the subsequent calculation of exercise probability of an embedded option equal to the time in years from the calculation date to the exercise date of the option being considered.

"termToExercise" is reported in the optionCashFlowEffectAnalysisBox

Ticker Report Summary
The symbol used by the Stock Exchange to refer to the stock. While ticker symbols are unique at any given moment in time (on a single give exchange), they may be reused - for example, CM.PR.E was used for an issue with listing date of December 2, 1986 and a delisting date of November 3, 1997 (it was redeemed). This ticker is now in use for an issue which was listed on the TSE on September 19, 2003.

The "ticker" symbol of an instrument is recorded in the eponymous field of an instrumentDataRecord.

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

This value may also be accessed via the instrumentDetailsBox, the durationCalculationBox, the pseudoModifiedDurationCalculationBox, the pseudoConvexityCalculationBox, the componentsOfYieldCurvePriceBox, the creditRatingHistoryBox, the bestTradesReportBox, the tradeEvaluationReportBox, the pickupCalculationBox, the riskMeasurementCalculationBox, the tradingFrictionAnalysisBox, the transactionReport and the maturityDetailsBox.

toDate
(i) A field contained in a taxRateScheduleRecord. Its purpose is to define the ending 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. Its purpose is to define the ending date (inclusive) of the period for which the benchmark interest rate is effective. This datum is available in the ratchetRateCalculationBox.

(iii) A field contained within a creditRatingDataRecord, specifying the last date on which the record is effective. This datum is available through the creditRatingHistoryBox.

totalBuyCommission
A calculated value used in the subsequent calculation of perShareBuyCommission when considering a trade. It is calculated as:

totalBuyCommission = calculatedCommission + lowVolumePenalty
totalDollarDuration
A calculated value used in the calculation of macaulayDuration. It is equal to the sum of the dollarDuration field in all the cashFlowEntries of a cashFlowDiscountingTable.

This value may be reported in a durationCalculationBox.

totalFrictionAsk
A calculated value used in the subsequent calculation of offerToBidPickup. This value seeks to quantify the total cost of selling an issue. It is defined as:

totalFrictionAsk = capitalGainFrictionAsk + commissionFriction

"totalFrictionAsk" will always be greater than totalFrictionBid since capitalGainFrictionAsk will always be greater than capitalGainFrictionBid.

This value is reported in the pickupCalculationBox.

totalFrictionBid
A calculated value used in the subsequent calculation of bidToOfferPickup. This value seeks to quantify the total cost of selling an issue. It is defined as:

totalFrictionBid = capitalGainFrictionBid + commissionFriction

"totalFrictionBid" will always be less than totalFrictionAsk since capitalGainFrictionBid will always be less than capitalGainFrictionAsk.

This value is reported in the pickupCalculationBox.

totalPenaltyBuys
A calculated value used in subsequent calculations of buyValuationAsk and buyValuationBid. It is the sum of those elements of the penaltyComponents vector which are applicable to purchases. It is enforced to be non-positive.

This value is reported in the pickupCalculationBox.

totalPenaltySells
A calculated value used in subsequent calculations of sellValuationBid and sellValuationAsk. It is the sum of those elements of the penaltyComponents vector which are applicable to sales. It is enforced to be non-positive.

This value is reported in the pickupCalculationBox.

totalPresentValue
A field reported by the cashFlowDiscountingAnalysisBox, equal to the sum of all presentValue fields in the cashFlowEntries comprising the analysis.

Note that the presentValue of the flows will be equal to the bid or ask price when using the portfolioMethod or costMethod and a uniform rate has been calculated in order to ensure this equality. When the curveMethod is examined, these presentValue entries will have been calculated via a discountingFactor based on the yieldCurve and the total will be different from the actual bid or ask by an amount approximately equal to the priceDisparity.

totalRequiredPickup
A calculated value equal to:

"totalRequiredPickup" = requiredPickUp * riskDistance


The value is used in the determination of the tradeScore.

This value is reported in the tradeEvaluationReportBox.

totalRewardAsk
A calculated value used in subsequent calculations of buyValuationAsk. If all REWARD_COMPONENT_COUNT components of the rewardComponentsAsk vector are defined then it is provisionally set to:



If both "totalRewardAsk" and totalRewardBid have been thus calculated, but the latter exceeds the former by less than VALUATION_SPREAD_MINIMUM, then

reset totalRewardAsk = totalRewardBid - VALUATION_SPREAD_MINIMUM


If the value has been determined to be incalculable, but the value of totalRewardBid has been calculated, then:

reset totalRewardAsk = totalRewardBid - VALUATION_SPREAD_MAXIMUM

This value seeks to quantify the future returns available when the instrument is currently valued at its ask price.

This value is examined during the calculation of tradeSize by the procedure eligibleForPurchase.

This value is reported in the pickupCalculationBox.

The calculation of this value is shown in the riskRewardAnalysisBox.

totalRewardBid
A calculated value used in subsequent calculations of sellValuationBid. If all components of the rewardComponentsAsk vector are defined then it is provisionally set to:



If the value has been determined to be incalculable, but the value of totalRewardAsk has been calculated, then:

reset totalRewardBid = totalRewardAsk + VALUATION_SPREAD_MAXIMUM

This value seeks to quantify the future returns available when the instrument is currently valued at its bid price.

This value is examined during the calculation of tradeSize by the procedure eligibleForPurchase.

This value is reported in the pickupCalculationBox.

The calculation of this value is shown in the riskRewardAnalysisBox.

totalSellCommission
A calculated value used in the subsequent calculation of perShareSellCommission when considering a trade. It is equal to the calculated commission on the sell size.
tradeable value
The tradeable value of an issue is defined by the formula:

This is the value of shares which, for trade determination purposes in simulations are assumed to be saleable at the bid price or purchaseable at the ask.

Trade Closure Report Summary
A field used when examining results from issueMethod simulations. Administrative use only.
tradeConfirmationDocument Image
This document is used to produce trade confirmations for transmission to interested parties and to process these trades so that they are reflected in the holdings and transactions tables. Trades are specified via the tradeInputProcess. This document is controlled by the tradeConfirmationMenu and is accessible via the "Process Trade" selection of the mainMenu|Admin menu.

The following information is required to specify a transaction:

The above information may be input to the system via the tradeConfirmationMenu|input menu.

tradeConfirmationMenu
The menu used to control processes on the tradeConfirmationDocument. The following choices are available:
  • File
    • Delete : Clears the transaction from memory without affecting files
    • Print : Prints the confirmation. This choice will not be enabled until the trade has been applied.
    • Apply : This choice will not be enabled unless
      • The trade is valid.
      • The trade has not previously been applied.
      This selection will write a transactionDataRecord specifying the trade and update the holdings table of the userDatabase
    • Exit : Closes the document without any further processing.
  • Input : tradeConfirmationMenu|input
  • Help
tradeConfirmationMenu|input
A popup menu accessible via the tradeConfirmationMenu which gives access to the various procedures and files required to characterize a trade.

The following selections are available:

tradeDate
(i) A method of portfolio evaluation in which trades which have been executed but not yet settled are accounted for as having changed the portfolio. See valueDate, portfolioEvaluationReport and performanceCalculation

(ii) A field in a transactionDataRecord indicating the date on which the portfolio became committed to executing the transaction.

This value is reported in the multipleTradeReportBox, the pickupCalculationBox, the riskMeasurementCalculationBox, the tradingFrictionAnalysisBox, the transactionReport and the tradeEvaluationReportBox.

tradeDesirability
A calculated value derived from tradeDesirabilityUnrestricted as the lesser value of that value and tradeScoreCap.

Values of "tradeDesirability" for all trades examined may be viewed on the tradeReport via the "View|Trade Desirability" selection on the tradeMenu.

The best three trades ranked by "tradeDesirability" may be displayed in the bestTradesReportBox (which will report "tradeDesirability" via the "by tradeDesirability" selection on the tradeMenu|Reports|BestTrades popup menu.

This value is also reported by the tradeEvaluationReportBox.

tradeDesirabilityUnrestricted
A calculated value which attempts to rank the possible trades by comparing the available improvement inherent in the trade to that which is required, i.e.
tradeDesirability = 100 * bidToOfferPickup / totalRequiredPickup

Note that in contrast to tradeScoreUnrestricted, there is no scaling in this measure and no information is inherent it regarding how close the trade might be if it is not, in fact, desirable at bid to full-offer prices.

This value is used in the further determination of tradeDesirability

Values of "tradeDesirabilityUnrestricted" are reported in the bestTradesReportBox and the tradeEvaluationReportBox.

tradeEvaluationReportBox Image
This dialog box is accessable via the tradeReportContextMenu. The following data is reported:
tradeFeasible
A calculated boolean value intrinsic to a possible trade, used when determining the colour of the appropriate cell on the tradeReport and when selecting trades for the bestTradesReportBox

This value is true if either buySize or sellSize is non-zero.

tradeInputProcess
The process whereby a trade is specified prior to printing the tradeConfirmationDocument and updating the holdings and transactions tables with the input information, commenced by clicking the "Input|Input Single Trade" selection on the tradeConfirmationMenu.

The following steps are performed in sequence:

tradeIteration
When a portfolio trading according to the portfolioMethod is determined to have an executable trade recommended by HIMIPref™, the system will then iterate the analysis. After determination of the "best" trade in each iteration, then:
  • the trade is applied to the portfolio
  • The shares presumed to have been bought are added to priorBought
  • The shares presumed to be sold are added to priorSold
and trade analysis repeated. The adjustments are important in the calculation of tradeSize and valueSizeAdjust.

Trades are considered for recommendation if:

Considered trades are ranked according to:

Trade Latest Date Report Summary
A field used when examining issueMethod simulations. Administrative use only.
tradeMenu
The menu controlling the tradeReport. Options accessible via this menu are:
tradeMenu|Reports|BestTrades
This menu, accessible from the tradeMenu offers the following selections, which will display the best trades reported on the tradeReport, "best" being defined according to the selection:

The data for these trades is displayed on the bestTradesReportBox.

tradeMenu|View
This popup menu, accessible from the tradeMenu, changes the values reported on the main grid of the tradeReport.
  • Trade Scores : displays tradeScores on document
  • Risk Distances : Displays riskDistances
  • Trade Desirability : Displays tradeDesirability
  • Weighted Trade Desirability : Displays weightedTradeDesirability
  • Net ValueSizeAdjustment : Displays netValueSizeAdjustment
  • Scrolling Behaviour
    • Scroll Bar Shaft Click
      • Horizontal : Allows the user to set the change in the view position resultant from a click on the horizontal scroll bar shaft.
      • Vertical : Allows the user to set the change in the view position resultant from a click on the vertical scroll bar shaft.
    • Scroll Bar Arrow Click
      • Horizontal : Allows the user to set the change in the view position resultant from a click on the horizontal scroll bar arrow.
      • Vertical : Allows the user to set the change in the view position resultant from a click on the vertical scroll bar arrow.
  • Help : Displays this glossary item.
TRADE_OPTIMIZATION_RELATIVE_ANNUALIZED_MAX
A constraint applied during the calculation of simulationScore to remove trades identified in an issueMethod simulation in which the absolute value of the relative performance of the two issues exceeds this parameter.

These outliers will be due to special cases (redemption calls, extreme volatility, etc) and inclusion of these results will distort the analytical results.

tradeRawRisk
This is a vector of RISK_MEASUREMENT_AXIS_TYPE_MEMBERS length, used in the subsequent determination of riskDistance via calculations for riskUp and riskDown. The components of this vector are listed in the definition of riskAttributes.

The value of each component of this vector is determined by subtracting the values of the applicable risk attribute of the instrument sold from the value for the instrument purchased. Note that when cash is being invested, the value for the instrument sold will be indeterminate and each component will be 0.

In some cases, individual elements of the risk vector for either of the instruments will be indeterminate (e.g. pseudoModifiedDurationPort) and the corresponding element of the "tradeRawRisk" vector will be 0.

These values are reported by the riskMeasurementCalculationBox.

tradeReport Image
This is the document on which all the trade calculations are displayed. The appearence of this document may be manipulated via the associated tradeMenu.

The "trade report" is accessible via the "Trade Report" selection on the mainMenu|Reports popup menu.

Trades for which tradeFeasible is true are reported in black; if this calculated value is false, they are reported in green.

Right-clicking on any element of the "trade report" will activate the tradeReportContextMenu.

Note: "normal" settings are "View|Weighted Trade Desirability" with "Sorting|Descending Desirability Average", a combination which has been found very useful when scanning the report for executable trades.

tradeReportContextMenu
A context menu available through right-clicking on any element in the tradeReport. It allows the following choices:
TRADE_RISK_ASYMETTRY
A constraint used in the calculation of riskDistance. As this (non-negative) constraint increases, trades which reduce a portfolio's risk (relative to the index, as defined by the holdingsRiskDifference vector) will be more strongly favoured.

This value is reported by the riskMeasurementCalculationBox.

tradeScore
A constrained equivalent of tradeScoreUnrestricted. If the optimizableParameter tradeScoreCap is defined and is less than the value of tradeScoreUnrestricted, then "tradeScore" is set to this lesser value.

Values of "tradeScore" for all trades examined may be viewed on the tradeReport via the "View|Trade Scores" selection on the tradeMenu.

The best three trades ranked by "tradeScore" may be displayed in the bestTradesReportBox (which will report the "tradeScore") via the "by tradeScore" selection on the tradeMenu|Reports|BestTrades popup menu.

This value is also reported in the tradeEvaluationReportBox.

tradeScoreUnrestricted
An indicator of the degree to which a trade is calculated to be an improvement to the portfolio. In swaps and portfolio trades of partial positions, it is calculated as:

tradeScore = 100 * (totalRequiredPickup - offerToBidPickup) / (bidToOfferPickup - offerToBidPickup)

and in situations in which the investment is being made solely from cash it is set equal to tradeDesirability.

Thus, a "tradeScoreUnrestricted" in excess of 100 indicates that the trade is an improvement even when selling at the bid and purchasing at the offer; whereas a "tradeScoreUnrestricted" of 0 indicates that the trade should be performed only if the portfolio can sell at the offer and purchase at the bid. The scale is open ended, allowing a quick indication of just how close or far away a given trade is at the given price levels.

This value is used in the further calculation of tradeScore. The value of "tradeScoreUnrestricted" is reported in the bestTradesReportBox and the tradeEvaluationReportBox.

tradeScoreCap
An optimizableParameter with the identifier PARAMETER_TRADING_TRADESCORECAP used in the calculation of tradeScore to limit the tradeScoreUnrestricted (and also in the calculation of tradeDesirability to limit the value of tradeDesirabilityUnrestricted) that would otherwise be used in subsequent calculations.

The value of this parameter is constrained to be greater than 100.0.

This parameter is reported in the analyticalParametersReportBox.

tradeScoreUnrestricted
This is the raw value of the tradeScore calculation. If PARAMETER_TRADING_TRADESCORECAP is undefined, or if this value is greater than the calculated value, then tradeScore and "tradeScoreUnrestricted" will be identical.
TRADE_SELL_COMMENTS
A constant defining the number of tradeSizeCalculationNotes that may be generated by HIMIPref™ when calculating tradeSize.
trade size
The size of a trade in the portfolio method (and in the issue method when desired swap issues is non-zero) is determined by a series of steps, controlled by the procedure calculateTradeSize
tradeSizeCalculationNotes
There is a total of TRADE_SELL_COMMENTS possible comments that may be made in the course of a tradeSize calculation to assist in understanding the results of the calculation:
Numeric Value Text Is eligibleForPurchaseCode procedure particulars
0 Max weight on buy side exceeded for full sale. No
1 Max weight on buy side exceeded for half sale. No
2 Max weight on buy side exceeded. No
3 Buy weight exceeds maximum to avoid small remaining holdings No adjustSellForSmallRemainder Increases sell size; applied when remaining holdings of issue sold will be less than effectiveMinWeight
4 Unrestricted buy would have less than min weight on buy side No adjustForSmallFinalBuyPosition Reduces both sellSize and buySize to 0; applied when sum of current and contemplated holdings of issue bought will be less than effectiveMinWeight
5 Unrestricted buy would exceed maxWeight for yield curve component No adjustForMaxWeightSector If
  • Existing weight of issue bought is already greater than the maximum : reduce sellSize and buySize to 0
  • Existing weight OK, but additional weight will exceed maximum : reduce buySize to acceptable figure, recompute sellSize
  • Existing weight of issue bought is already lower than the minimum : reduce reduce sellSize and buySize to 0
  • Existing weight OK, but weight sold will reduce to below minimum : reduce sellSize to acceptable figure, recompute buySize
6 Max weight of bought instrument already held No calculateTradeSize If the result of calculateMaxWeightBuy is less than priorBought in a tradeIteration : reduce buySize and sellSize to 0
7 Buy adjusted due to non-prime-issuer concentration. No adjustForIssuerConcentration
  • If current issuer concentration exceeds maximum : reset buySize and sellSize to 0
  • If current concentration OK, but purchase will exceed maximum : reduce buySize, recalculate sellSize
8 Trade adjusted due to low volume on instrument bought No adjustForTradingVolume If the total of current and priorBought (in a tradeIteration) exceeds maxDaysToTrade * volume-average (of the issue purchased), reduce buySize, recalculate sellSize
9 pseudoModifiedDuration (Cost) of buy side less than minimum setting Yes calculateTradeSize If pseudoModifiedDurationCost is less than minCostBidPseudoModifiedDurationBuy, buySize and sellSize are set to 0.
10 Trade adjusted due to low volume on instrument sold No adjustForTradingVolume If the total of current and priorSold (in a tradeIteration) exceeds maxDaysToTrade * volume-average (of the issue sold), reduce sellSize, recalculate buySize; show comment only if #3 has not been applied
11 Trade adjusted due to small size No adjustForSmallSize If buySize is 0, sellSize is non-zero, and the sale is not explicitly to raise cash, set the sellSize to 0
12 Trade eliminated due to small size No eliminateSmallTrades If the total weight of the purchase and sale is less than double effectiveMinWeight and holdings of the issue sold are not eliminated, reset sellSize and buySize to 0
13 Trade eliminated : calculation of pseudoModifiedDuration (Cost) of buy side incalculable Yes calculateTradeSize If pseudoModifiedDurationCost is incalculable, buySize and sellSize are set to 0.
14 pseudoModifiedDuration (Worst) of buy side less than minimum setting Yes calculateTradeSize If pseudoModifiedDurationWorstBid is less than minWorstBidPseudoModifiedDurationBuy, buySize and sellSize are set to 0.
15 Trade eliminated : calculation of pseudoModifiedDuration (Worst) of buy side incalculable Yes calculateTradeSize If pseudoModifiedDurationWorstBid is incalculable, buySize and sellSize are set to 0.
16 Trade eliminated : calculation of ModifiedDuration (YTW) of buy side incalculable Yes calculateTradeSize If ytwModifiedDuration is incalculable, buySize and sellSize are set to 0.
17 ModifiedDuration (YTW) of buy side less than minimum setting Yes calculateTradeSize If YTWModifiedDuration is less than minYTWModifiedDurationBuy, buySize and sellSize are set to 0.
18 Trade eliminated - buy side is credit class UNRATED Yes calculateTradeSize If the creditClass of the instrument purchased is not defined, buySize and sellSize are set to 0.
19 Buy eliminated - sell side became purely cash in other adjustments No eliminateCashPseudoTrades If sellSize is 0 and purpose of trade is not to spend cash, set buySize to 0
20 Sell eliminated - buy side became purely cash in other adjustments No eliminateCashPseudoTrades If buySize is 0 and purpose of trade is not to raise cash, set sellSize to 0
21 Trade eliminated - max weight for sector must be 1.0 for issue method! No adjustForMaxWeightSector Essentially a debugging note: since the issueMethod only considers swaps, the systemConstantsRecord cannot impose portfolio composition constraints.
22 Trade under minWeight allowed since size maximum determined by sell-side volume No eliminateSmallTrades A small trade, which would otherwise lead to comments ## 12, 23 or 24, will have this comment set if comment #10 is already noted.
23 Small trade allowed since sell-side eliminated No eliminateSmallTrades If the sum of the buy weight and the sell weight is less than double effectiveMinWeight and comment #10 does not apply and the portfolio is selling its entire holdings of the issue sold and more than half the proceeds of the sale are being reinvested, this comment is made.
24 Small trade selling all eliminated since insufficient cash reinvested No eliminateSmallTrades If the sum of the buy weight and the sell weight is less than double effectiveMinWeight and comment #10 does not apply and the portfolio is selling its entire holdings of the issue sold and less than half the proceeds of the sale are being reinvested, then buySize and sellSize are both set to 0 and this comment is made.
25 Valuation of instrument is incalculable Yes calculateTradeSize If totalRewardAsk or totalRewardBid of either the purchased or sold instrument is incalculable, buySize and sellSize are set to 0.

These notes are shown on the multipleTradeReportBox and the tradeEvaluationReportBox. See also eligibleForPurchaseCode for partial reporting (those indicated with "Yes") on the reportSummary.

Trade Start Report Summary
A reporting field used when examining results from issueMethod simulations. Administrative use only.
tradeWeight
A measure of the importance of the trade to the holdings of the portfolio. When optimizing according to the issue method when desired swap issues is equal to zero (i.e., when performing a theoretical calculation) the value of "tradeWeight" is set to 1.0. In the portfolio method and in the issue method when desired swap issues is non-zero (i.e., when performing a calculation for an actual trading portfolio) it is

tradeWeight = (buyWeight + sellWeight) / 2

This value is reported in the riskMeasurementCalculationBox.

tradingFrictionAnalysisBox Image
A dialog box accessible via the "Trade Friction Details" selection on the tradeReportContextMenu.

The following data is displayed:

tradingMaxDays
The text name of the constraint defined in a constraintSpecificationRecord referred to by the identifier PARAMETER_TRADING_MAXDAYS.

See adjustForTradingVolume

This parameter is reported in the analyticalParametersReportBox.

Trading Valuation (Ask) Report Summary
The sum of totalPenaltyBuys and totalRewardAsk. This value is used to report that part of buyValuationAsk (used in the subsequent calculations of offerToBidPickup) which is not dependent upon the portfolio's holdings of the security.

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

Trading Valuation (Bid) Report Summary
The sum of totalPenaltySells and totalRewardBid. This value is used to report that part of sellValuationBid (used in the subsequent calculations of bidToOfferPickup) which is not dependent upon the portfolio's holdings of the security.

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

transactionDataRecord
A record contained within the transactions table of the permanentDatabase comprised of the following fields:

These records are used to record bookkeeping entries, of purchases, sales, dividends, etc., that reflect an account's activity within the defined universe.

These records may be used in the preparation of a portfolioEvaluationReport and transactionReport. Most fields from this record may be viewed on the latter report.

"transactionDataRecords" may be input to the system via the tradeConfirmationDocument.

Internal consistency of a "transactionDataRecord" is checked by the transactionValidationProcess.

transactionEnumerationType
An enumerated type used in the transactionType field of a transactionDataRecord that defines the type of transaction referred to by the bookkeeping entry. The possible values of this type and the string equivalents are:
"transactionEnumerationType" Descriptor
TRANSACTION_TYPE_UNDEFINED
TRANSACTION_TYPE_TRADE Trade
TRANSACTION_TYPE_DIVIDEND Dividend
TRANSACTION_TYPE_CAPITALGAINSACCRUAL CG Tax
TRANSACTION_TYPE_INCOMETAXACCRUAL Income Tax
TRANSACTION_TYPE_REORG Reorg
TRANSACTION_TYPE_DEEMEDDIVIDEND Deemed Dividend
TRANSACTION_TYPE_CASH Cash

"transactionEnumerationTypes" may be viewed on the transactionReport.

transactionMenu
The menu controlling the appearance of the transactionReport.

Options available are:

transactionReport Image
A report which may be generated via the "Transactions" selection on the mainMenu|reports popup menu.

Transactions for the selected account are displayed. The display of the report is controlled by the transactionMenu. There is no context menu available for this report.

The "transactionReport" currently sorts all transactions on tradeDate.

transactions
A table contained in the userDatabase comprised of transactionDataRecords. This table may be changed according to information processed on the tradeConfirmationDocument.
transactionType
A field in a transactionDataRecord of type transactionEnumerationType which records the type of transaction giving rise to the bookkeeping entry.
TRANSACTION_TYPE_CAPITALGAINSACCRUAL
A transactionEnumerationType indicating that the transactionDataRecord with which it is associated has been entered to reflect an accrual for a future payment of capitalGainsTax. See futurePaymentRecord and performanceCalculation.
TRANSACTION_TYPE_CASH
A transactionEnumerationType indicating that the transactionDataRecord with which it is associated has been entered to reflect a cash entry to the portfolio. See cashAndEquivalents.
TRANSACTION_TYPE_DEEMEDDIVIDEND
A transactionEnumerationType indicating that the transactionDataRecord with which it is associated has been entered to reflect a deemedDividend. See reorgTransactionRecord.
TRANSACTION_TYPE_DIVIDEND
A transactionEnumerationType indicating that the transactionDataRecord with which it is associated has been entered as the result of a dividend payment.
TRANSACTION_TYPE_INCOMETAXACCRUAL
A transactionEnumerationType indicating that the transactionDataRecord with which it is associated has been entered to reflect an accrual for a future payment of incomeTaxDue. See futurePaymentRecord and performanceCalculation.
TRANSACTION_TYPE_REORG
A transactionEnumerationType indicating that the transactionDataRecord with which it is associated has been entered to reflect a reorganization. See reorgTransactionRecord.
TRANSACTION_TYPE_TRADE
A transactionEnumerationType indicating that the transactionDataRecord with which it is associated has been entered as the result of a trade.
TRANSACTION_TYPE_UNDEFINED
A transactionEnumerationType indicating that the transactionDataRecord with which it is associated has not yet been defined.
transactionValidationProcess
A transaction is considered valid only if each of the following fields in the transactionDataRecord are defined:

Additionally:

The "transactionValidationProcess" may be initiated by the user via the "Help|Validate Transaction" command on the tradeConfirmationMenu, for the transaction that is current on the tradeConfirmationDocument.

trendBaseRate
The historical trend of yieldCurveBaseRate calculated using baseRateInfoDecay as the damping factor and averageBaseRate as the historical average.

This value is reported in the historicalYieldReportBox

trendDecayLong
The historical trend of yieldCurveDecayLong calculated using longDecayInfoDecay as the damping factor and averageDecayLong as the historical average.

This value is reported in the historicalYieldReportBox.

trendDecayShort
The historical trend of yieldCurveDecayShort calculated using shortDecayInfoDecay as the damping factor and averageDecayShort as the historical average.

This value is reported in the historicalYieldReportBox.

trendLongTermRate
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. For calculation details, see historicalTrend

This value is reported in the historicalYieldReportBox.

trendPremiumCreditClass2
The historical trend of yieldCurvePremiumCreditClass2 calculated using premiumCreditClass2InfoDecay as the damping factor and averagePremiumCreditClass2 as the historical average.

This value is reported in the historicalYieldReportBox.

trendPremiumCreditClass3
The historical trend of yieldCurvePremiumCreditClass3 calculated using premiumCreditClass3InfoDecay as the damping factor and averagePremiumCreditClass3 as the historical average.

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

trendShortTermRate
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. For calculation details, see trend.

This value is reported in the historicalYieldReportBox.

turnover
A measure of the trading activity of a portfolio which may be reported on the performanceReport.

During the first stage of a performanceCalculation an evaluation of the portfolio is made at every cash-flow date. In the course of this evaluation, each transactionDataRecord during the period is examined. If the transactionEnumerationType recorded in the transactionType field of a given record is TRANSACTION_TYPE_TRADE and the units field of this record is negative, then the grossCash for this record is accumulated as "salesValue", where

grossCash = - units * price


The "rawTurnover" for that period (between cash-flow dates) is then recorded as:

"rawTurnover" = "salesValue" / previous portfolio value


These "rawTurnover" figures are then summed over the relevent periods to obtain monthly, quarterly and annual turnover figures. Annualized turnover is simply the average of annual turnover through the period annualized.
Turnover (Account) Report Summary
An option on the fieldsMenu, used for administrative purposes only.
ultimateMaturityDate ReportSummary
A calculated variable used during the calculation of the optionCalculationList. It is initially set at MATURITY_CALCULATION_LIMIT_YEARS years from the calculation date and is adjusted with each recursion of the calculation until reiterative calculations change its value by less than OPTION_CERTAINTY_MATURITY_TOLERANCE. If, for example, the first iteration of the of the calculation is performed with a presumed maturity flag of MATURITYTYPE_LIMITMATURITY but results in a flag of MATURITYTYPE_OPTIONCERTAINTY, the "ultimateMaturityDate" will be reset to the date upon which option excercise is deemed to have certainly taken place.

"ultimateMaturityDate" is reported on the optionCashFlowEffectAnalysisBox.

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

ultimateMaturityDateDifference
The maximum allowable difference between ultimateMaturityDate and ultimateMaturityDateUsed in the costMethodOptionPricing and curveMethodOptionPricing.

"ultimateMaturityDateDifference" is reported on the optionCashFlowEffectAnalysisBox.

ultimateMaturityDateUsed
An adjusted value of ultimateMaturityDate used in the costMethodOptionPricing and curveMethodOptionPricing. If the supplied exerciseDate of the option is prior to the supplied ultimateMaturityDate, then "ultimateMaturityDateUsed" is equal to ultimateMaturityDate. If the supplied exerciseDate is after the supplied ultimateMaturityDate by less than ultimateMaturityDateDifference, then "ultimateMaturityDateUsed" is equal to exerciseDate. Otherwise, an error results.

"ultimateMaturityDateUsed" is reported on the optionCashFlowEffectAnalysisBox.

ultimateMaturityFlag ReportSummary
The maturityFlag of the final entry in the optionCalculationList.

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

ultimateMaturityPrice ReportSummary
A calculated variable used during the calculation of the optionCalculationList. It is initially set at the par-value of the instrument, if the instrument is ratchetFloatingRate, or the current bid otherwise. With each recursion of the optionCalculationList calculation, the "ultimateMaturityPrice" is re-set to the self-consistent maturity price.

The calculation presumes that the price of the instrument will approach the "ultimateMaturityPrice" throughout the period.

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

units
A field in a transactionDataRecord that records the number of shares involved in the transaction that gave rise to the transactionDataRecord.

This datum may be viewed on the transactionReport. The number of units remaining in the portfolio after giving effect to the transaction may be reported as postTradeHoldings.

universeAverages
A table contained in the volatileDatabase comprised of yieldCurveAveragesRecords.
universeIDType
HIMIPref™ 2006 An enumerated type indicating the defined universe. Possible values are:
universes
A table stored in the permanentDatabase, providing information defining the universe of conventions governing the display and trading of groups of instruments. Fields in this table are:
unrated
This refers to an instrument which has not been assigned a credit rating, or which has been assigned a rating high enough to be considered for purchase or consideration by HIMIPref™. The lowest rating which will be considered in the methodology is Credit Class 3-Low.
unrestrictedRatchetYield
The "unrestrictedRatchetYield" is a calculated value used in the calculation of ratchetYield. It is the measure of what ratchetYield would be were it not restricted according to the formulae defined in the formulaMax and formulaMin fields of the instrumentFloatingRateDataRecord.

It is defined as:

"unrestrictedRatchetYield = priorRatchetYield + ratchetYieldDelta

where"priorRatchetYield" is
  • 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.

userDatabase
A database stored in the userDirectory comprised of the following tables:

Information stored in this database is considered private to the user of HIMIPref™. Information may be transmitted to the central server on an as-needed basis in order to perform calculations, but is not stored thereon.

See also permanentDatabase, volatileDatabase.

A "userDatabase" is installed on the user machine at the time that HIMIPref™ is installed; some sample data is supplied so that users may investigate the system without having to input bookkeeping data.

IMPORTANT: The "userDatabase" is initially installed in a sub-folder of the programme installation folder named "userData". Subsequent installations will over-write any data stored in this folder; hence, use of the "mainMenu|File|Reset User Data Directory" prior to any data input is highly recommended!

userDataReportBox
A dialog box accessible to administrative users only, which reports: and allows the records of these values to be edited or deleted.
userDirectory
The folder in which all user-defined data is stored. In order to back-up the system-data, the full contents of this folder should be copied to a safe and secure location. This setting may be edited via the "Reset User Data Directory" selection of the mainMenu|File popup menu and the setting inspected via the userSettingsReportBox.

Major contents of this directory include:

userName
The text identifier of a user of HIMIPref™, assigned by administration in the inputUserBox.
userSettingsReportBox Image
A dialog box accessible via the "User Data" selection of the mainMenu|admin pop up menu. The following information is displayed:
valuationComponent
A reference to the type of data maintained in an instrumentAveragesRecord. It is constrained to be one of the following:
"valuationComponent" Numeric Value
INSTRUMENT_VALUATION_REVERSION_UNDEFINED -1
INSTRUMENT_VALUATION_REVERSION_VOLUME 0
INSTRUMENT_VALUATION_REVERSION_SPREAD 1
INSTRUMENT_VALUATION_REVERSION_CURRENTYIELDBID 2
INSTRUMENT_VALUATION_REVERSION_PORTBIDYIELD 3
INSTRUMENT_VALUATION_REVERSION_PORTASKYIELD 4
INSTRUMENT_VALUATION_REVERSION_COSTBIDYIELD 5
INSTRUMENT_VALUATION_REVERSION_COSTASKYIELD 6
INSTRUMENT_VALUATION_REVERSION_BIDYIELDTOWORST 7
INSTRUMENT_VALUATION_REVERSION_PRICEDISPARITY 8
INSTRUMENT_VALUATION_REVERSION_YIELDDISPARITY 9
INSTRUMENT_VALUATION_REVERSION_FLATBIDPRICE 10
INSTRUMENT_VALUATION_REVERSION_FLATASKPRICE 11
INSTRUMENT_VALUATION_REVERSION_CURVEBIDYIELD 12
INSTRUMENT_VALUATION_REVERSION_CURVEASKYIELD 13
INSTRUMENT_VALUATION_REVERSION_RATCHETYIELD 14
INSTRUMENT_VALUATION_REVERSION_PARENTPRICE 15
INSTRUMENT_VALUATION_REVERSION_ASKYIELDTOWORST 16
valuationContextMenu

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

The following choices are available:

valuationIndex
A field in an instrumentAveragesRecord. It is the integral equivalent of the applicable valuationComponent identifier of each record.
VALUATION_SPREAD_MAXIMUM
A constraint that sets the spread of totalRewardBid over totalRewardAsk when the former cannot be calculated.
VALUATION_SPREAD_MINIMUM
A constraint that sets the absolute minimum amount by which totalRewardBid must exceed totalRewardAsk. The "normal" minimal spread is the bid/ask spread expressed as a percentage.
valueDate

(i) A field in the reorganization database that specifies the date the transaction specified in the record actually takes effect. The securities specified by the oldcode of the record should have the delistingdate field of the instrument data record set equal to this date.

(ii)A method of portfolio evaluation in which trades are not considered to have affected the portfolio until they have been settled: trades to which the portfolio is committed but which have not yet been settled are ignored. See also performanceCalculation.

(iii) A field in a transactionDataRecord which indicates the date on which the portfolio executed (or is or was obliged to execute) the indicated transaction. The "valueDate" of a transaction may be viewed on a transactionReport.

See tradeDate.

valueSizeAdjust
An optimizableParameter with the identifier PARAMETER_TRADING_VALUESIZEADJUST that is used in the calculation of valueSizeAdjustmentBuy and valueSizeAdjustmentSell.

This parameter is constrained to be non-negative.

This parameter is reported in the analyticalParametersReportBox.

valueSizeAdjustmentBuy
This is a calculated value subsequently used in the calculation of bidToOfferPickup / offerToBidPickup which has the purpose of adjusting valuations such that as the size of a holding decreases (making it easier to trade), the proportion of its valuation dependent upon classRewardYieldAsk decreases while the dependance upon classRewardPriceMovementAsk parameters increases - that is to say, that shorter term holdings should be subject to a shorter term evaluation.

The value is calculated as:

valueSizeAdjustmentBuy = (1 - X) * MIN(classRewardPriceMovementAsk, classRewardPriceMovementBid)

where  X = exp(- PARAMETER_TRADING_VALUESIZEADJUST * "newHoldings" / volumeAverage)

& "newHoldings" = holdings - units + buySize

If the "valueSizeAdjustmentBuy" for a particular trade is greater than the valueSizeAdjustmentSell, then there is further adjustment:
IF: (valueSizeAdjustmentBuy - valueSizeAdjustmentSell - excessRewardDifferenceValuation) ≤ 0 : set "valueSizeAdjustmentBuy" = valueSizeAdjustmentSell
IF: (valueSizeAdjustmentBuy - valueSizeAdjustmentSell - excessRewardDifferenceValuation) > 0 : reduce "valueSizeAdjustmentBuy" by excessRewardDifferenceValuation

This value is reported in the pickupCalculationBox.

valueSizeAdjustmentSell
This is a calculated value subsequently used in the calculation of bidToOfferPickup / offerToBidPickup which has the purpose of adjusting valuations such that as the size of a holding decreases (making it easier to trade), the proportion of its valuation dependent upon classRewardYieldBid decreases while the dependance upon classRewardPriceMovementBid parameters increases - that is to say, that shorter term holdings should be subject to a shorter term evaluation.

The value is calculated as:

valueSizeAdjustmentSell = (1 - X) * classRewardPriceMovementBid

where  X = exp(- PARAMETER_TRADING_VALUESIZEADJUST * "newHoldings" / volumeAverage)

& "newHoldings" = Holdings - Units - sellSize

This value is reported in the pickupCalculationBox.

volatileDatabase
A database intended to be be transient, as it contains only calculated values, as opposed to raw data. It contains the following tables:

The tables denoted with "*" are referred to as historicalFiles - they are used to store results of computations.

See also permanentDatabase, userDatabase.

VOLATILITY_AMORTIZATION_EXPONENT
A constraint used in the calculation of normalizedVolatilityForPeriod
volatilityBaseRate
The historical volatility of yieldCurveBaseRate calculated using baseRateInfoDecay as the damping factor and averageBaseRate as the historical average.

This value is reported in the historicalYieldReportBox.

volatilityDampingExponent
The term used in the optionCashFlowEffectAnalysisBox to report the value of the VOLATILITY_AMORTIZATION_EXPONENT.
volatilityDampingFactor
(i)A calculated value used in the subsequent calculation of normalizedVolatilityForPeriod in the pricing of embedded options according to the cost method. It is equal to:

"volatilityDampingFactor" = (termToMaturity - termToExercise) / termToMaturity

(ii)"volatilityDampingFactor" is reported in the optionCashFlowEffectAnalysisBox

(ii) A set of optimizableParameters that is used in the calculation of historicalVolatility, historicalTrend and historicalAverage. See instrumentAveragesRecord for a list of the names of these factors and their corresponding historicalVolatility and spotValue.

volatilityDecayLong
The historical volatility of yieldCurveDecayLong calculated using longDecayInfoDecay as the damping factor and averageDecayLong as the historical average.

This value is reported in the historicalYieldReportBox.

volatilityDecayShort
The historical volatility of yieldCurveDecayShort calculated using shortDecayInfoDecay as the damping factor and averageDecayShort as the historical average.

This value is reported in the historicalYieldReportBox.

volatilityLongTermRate
The historical volatility of yieldCurveLongTerm.

See also averageLongTermRate, trendLongTermRate and longTermRateInfoDecay.

This value is reported in the historicalYieldReportBox.

Volatility Modifier Report Summary
The title used on the reportSummary to report priceVolatilityScalingFactor.
volatilityPremiumCreditClass2
The historical volatility of yieldCurvePremiumCreditClass2 calculated using premiumCreditClass2InfoDecay as the damping factor and averagePremiumCreditClass2 as the historical average.

This value is reported in the historicalYieldReportBox.

volatilityPremiumCreditClass3
The historical volatility of yieldCurvePremiumCreditClass3 calculated using premiumCreditClass3InfoDecay as the damping factor and averagePremiumCreditClass3 as the historical average.

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

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

This value is reported in the historicalYieldReportBox.

volatilityShortTermRate
The historical volatility of yieldCurveShortTerm.

See also averageShortTermRate, trendShortTermRate and shortTermRateInfoDecay.

This value is reported in the historicalYieldReportBox.

volume
A field in a priceDataRecord that records the volume of trading on the exchange for the specified securityCode and date. This value is used analytically as volume-spot.
volume - average Report Summary
The volume-average attribute is calculated from volume-spot and the instrumentVolumeInfoDecay parameter using an adjusted exponential moving average. First, if the spot data exceeds the existing average by a factor of more than volumeAveragingCap then the calculation is performed as if the new data was equal to the product of the existing average and the cap factor. This ensures that volume spikes will not affect the system's perception of the issue's liquidity - spikes may occur, for instance, when a major shareholder sells a major block. Secondly, if existing average exceeds the spot data by a factor of more than this same volumeAveragingCap, then the damping factor used in the calculation will not be instrumentVolumeInfoDecay, but rather the square of this number. This helps avoid the system assuming greater liquidity in an issue than will otherwise be the case when volume is declining precipituously - immediately after issue, for instance, or after accumulation of a significant block by a "buy-and-hold" investor.

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

This datum may be displayed on the instrumentAveragesReportBox and the tradingFrictionAnalysisBox.

volumeAveragingCap
The volumeAveragingCap is a constraint with the identifier PARAMETER_SYSTEM_VOLUMEAVERAGINGCAP used to ensure that
  • spikes in volume do not lead to an overestimate of liquidity, and
  • rapidly declining volumes are reflected in volume-average rapidly
.

For further information, see volume-average.

The value of this parameter is constrained to be greater than 1.

This parameter is reported in the analyticalParametersReportBox.

VOLUME_PREISSUE_DEFAULT
A constraint used to estimate the liquidity of an issue as it trades in the "grey market" prior to issue.
Volume - spot Report Summary
This is the actual number of shares traded on the Toronto Stock Exchange for the day, as reported by the Toronto Stock Exchange. The number is recorded in HIMIPref™ by the volume field of a priceDataRecord.

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

This datum may be displayed on the instrumentAveragesReportBox

Volume - trend Report Summary
This is the historicalTrend of the number of shares traded daily (volume) on the Toronto Stock Exchange. See also volume-spot.

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

This datum may be displayed on the instrumentAveragesReportBox

Volume - volatility Report Summary
This is the historicalVolatility of the number of shares traded daily (volume ) on the Toronto Stock Exchange. See also volume-spot.

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

This datum may be displayed on the instrumentAveragesReportBox

weightedTradeDesirability
A calculated value is used in determining the desirability of executing trades when optimizing according to the portfolio method. It is also used when ranking trades for possible execution when optimizing according to the issueMethod. It is calculated as:

(if tradeDesirability >= 100.0)
weightedTradeDesirability = tradeDesirability * tradeWeight


(if tradeDesirability < 100.0)
weightedTradeDesirability = 0

Note that the weighting is by value, favouring the execution of larger trades in precedence to smaller.

Values of "weightedTradeDesirability" for all trades examined may be viewed on the tradeReport via the "View|Weighted Trade Desirability" selection on the tradeMenu.

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

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

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

where pseudoList is ranked in ascending order of its corresponding price.
yield
A measure of the expected income from an investment relative to its cost. HIMIPref™ uses no less than five different calculation methodologies in the course of preferred share valuation analysis:
yieldCalculationCashFlowDiscountingTable
A variant of a cashFlowDiscountingTable that allows for easier modification of originally input cash flow entries.
Yield Curve
A calculated set of values which defines the shape of the yield curve and the spreads which apply to instruments with various important risk attributes. The yield applicable to instrument i with a cash flows payable at time t with tax-rate x is:

Y(i, t, x) = yieldCurveBaseRate(x)
+yieldCurveShortTerm(x)*exp( -t/yieldCurveDecayShort(x))
+yieldCurveLongTerm(x)*exp( -t/yieldCurveDecayLong(x))
+R(i)*yieldCurvePremiumInterestIncome(x)
+R(i)*yieldCurvePremiumCumulativeDividends(x)
+R(i)*yieldCurvePremiumSplitShareCorp(x)
+R(i)*yieldCurvePremiumRetractible(x)
+R(i)*yieldCurvePremiumCreditClass2(x)
+R(i)*yieldCurvePremiumCreditClassHigh(x)
+R(i)*yieldCurvePremiumCreditClassLow(x)
+liquidityMeasure(i)*yieldCurvePremiumLiquidity(x)
+R(i)*yieldCurvePremiumFloatingRate(x)
+R(i)*yieldCurvePremiumCreditClass3(x)

where R(i) is a function having a value of either 0 or 1 depending upon the risk attribute of the instrument in question. If the number of instruments for which R(i) takes a particular value for a particular attribute is less than YIELD_CURVE_COMPONENT_CALCULATION_MINIMUM_POINTS then the value of R(i) for that attribute is set to 0 and the spread calculation not performed.

Note that the curve formed by the first three elements of the equation is referred to as the base yield curve.

The yield curve is calculated using the previous day's calculation as a base. The values are varied sequentially, by increments that commence at a large value and are gradually decreased to a minimum when no improvement is found by varying the parameter at a particular level. For most of the components, there is a maximum allowable change from day to day.

The question of whether a proposed incremental change to the draft yield curve is, in fact, an improvement is determined by calculation and comparison of the curve variance - the system attempts to minimize this value.

Only issues which are rated as being in the top three credit classes and which have a pseudoModifiedDurationCost calculated attribute in excess of YIELD_CURVE_PSEUDOMODIFIEDDURATION_MINIMUM are considered when calculating the self-consistent yield curve.

Note that if the two "shape" coefficients, yieldCurveShortTerm and yieldCurveLongTerm, are both zero, then the "yield curve" is flat.

See also shortTermRateInfoDecay.

The various attributes of the "yield curve" are reported in the yieldCurveReportBox.

yieldCurveAveragesRecord
A record derived from the universeAverages table of the volatileDatabase which contains yieldCurve data.

Data included in this record may be summarized as taxIdentifier and any one of the rows (which each define four elements) in the following table:
Identifier spotValue historicalTrend historicalVolatility historicalAverage
YIELD_CURVE_BASERATE yieldCurveBaseRate trendBaseRate volatilityBaseRate averageBaseRate
YIELD_CURVE_SHORTTERM yieldCurveShortTerm trendShortTerm volatilityShortTerm averageShortTerm
YIELD_CURVE_LONGTERM yieldCurveLongTerm-spot yieldCurveLongTerm-spot yieldCurveLongTerm-spot yieldCurveLongTerm-spot
YIELD_CURVE_DECAY_SHORT yieldCurveDecayShort trendDecayShort volatilityDecayShort averageDecayShort
YIELD_CURVE_DECAY_LONG yieldCurveDecayLong trendDecayLong volatilityDecayLong averageDecayLong
YIELD_CURVE_INSTRUMENTDISPARITY Not a curve average - see yieldDisparity
YIELD_CURVE_PREMIUM_INTERESTINCOME yieldCurvePremiumInterestIncome trendPremiumInterestIncome volatilityPremiumInterestIncome averagePremiumInterestIncome
YIELD_CURVE_PREMIUM_CUMULATIVEDIVIDENDS yieldCurvePremiumCumulativeDividends trendPremiumCumulativeDividends volatilityPremiumCumulativeDividends averagePremiumCumulativeDividends
YIELD_CURVE_PREMIUM_SPLITSHARECORP yieldCurvePremiumSplitShareCorp trendPremiumSplitShareCorp volatilityPremiumSplitShareCorp averagePremiumSplitShareCorp
YIELD_CURVE_PREMIUM_RETRACTIBLE yieldCurvePremiumRetractible trendPremiumRetractible volatilityPremiumRetractible averagePremiumRetractible
YIELD_CURVE_PREMIUM_CREDIT_CLASS_2 yieldCurvePremiumCreditClass2 trendPremiumCreditClass2 volatilityPremiumCreditClass2 averagePremiumCreditClass2
YIELD_CURVE_PREMIUM_LIQUIDITY yieldCurvePremiumLiquidity trendPremiumLiquidity volatilityPremiumLiquidity averagePremiumLiquidity
YIELD_CURVE_PREMIUM_FLOATINGRATE yieldCurvePremiumFloatingRate trendPremiumFloatingRate volatilityPremiumFloatingRate averagePremiumFloatingRate
YIELD_CURVE_PREMIUM_CREDIT_CLASS_3 yieldCurvePremiumCreditClass3 trendPremiumCreditClass3 volatilityPremiumCreditClass3 averagePremiumCreditClass3
YIELD_CURVE_ERROR Not a curve average - see YIELD_CURVE_ERROR
YIELD_CURVE_PREMIUM_CREDIT_CLASS_HIGH yieldCurvePremiumCreditClassHigh trendPremiumCreditClassHigh volatilityPremiumCreditClassHigh averagePremiumCreditClassHigh
YIELD_CURVE_PREMIUM_CREDIT_CLASS_LOW yieldCurvePremiumCreditClassLow trendPremiumCreditClassLow volatilityPremiumCreditClassLow averagePremiumCreditClassLow

These values are reported in the historicalYieldReportBox.

yieldCurveBaseRate Report Summary (Admin only)
This calculated value is a component of the yield curve and provides the overall level of the yield curve. It is constrained to be between 0% and 100%. The calculation commences with a precision of YIELD_CURVE_COMPONENT_INITIALINCREMENT and reduces changes until the minimum increment of YIELD_CURVE_CALCULATION_PRECISION is reached. There is no maximum daily change constraint placed on the optimization of this parameter. If this value were defined and all other components of the yield curve were zero, the curve would be flat, with a level equal to the definition.

This value is reported in the yieldCurveReportBox and the historicalYieldReportBox.

YIELD_CURVE_BASERATE
This is the identifier corresponding to the yieldCurveBaseRate.
YIELD_CURVE_CALCULATION_PRECISION
A constraint which sets the final increment for proposed changes to the values of yieldCurveBaseRate, yieldCurveShortTerm, yieldCurveLongTerm, yieldCurvePremiumInterestIncome, yieldCurvePremiumCumulativeDividends, yieldCurvePremiumSplitShareCorp, yieldCurvePremiumRetractible, yieldCurvePremiumCreditClass2, yieldCurvePremiumCreditClassHigh, yieldCurvePremiumCreditClassLow(x), yieldCurvePremiumLiquidity, yieldCurvePremiumFloatingRate and yieldCurvePremiumCreditClass3 in the calculation of the yield curve
Yield Curve Component
One of the YIELD_CURVE_COMPONENT_COUNT elements of the yield curve. These elements may be referred to either by their name or their identifier:

Identifier Name curvePriceComponent curvePriceComponentsProportions
YIELD_CURVE_BASERATE yieldCurveBaseRate priceComponentRiskBaseRate priceComponentRiskBaseRate
YIELD_CURVE_SHORTTERM yieldCurveShortTerm priceComponentRiskShortTerm priceComponentRiskShortTerm
YIELD_CURVE_LONGTERM yieldCurveLongTerm priceComponentRiskLongTerm priceComponentRiskLongTerm
YIELD_CURVE_DECAY_SHORT yieldCurveDecayShort N/A N/A
YIELD_CURVE_DECAY_LONG yieldCurveDecayLong N/A N/A
YIELD_CURVE_INSTRUMENTDISPARITY Not Applicable priceComponentRiskInstrumentDisparity proportionComponentRiskInstrumentDisparity
YIELD_CURVE_PREMIUM_INTERESTINCOME yieldCurvePremiumInterestIncome priceComponentRiskInterestIncome priceComponentRiskInterestIncome
YIELD_CURVE_PREMIUM_CUMULATIVEDIVIDENDS yieldCurvePremiumCumulativeDividends priceComponentRiskCumulativeDividends priceComponentRiskCumulativeDividends
YIELD_CURVE_PREMIUM_SPLITSHARECORP yieldCurvePremiumSplitShareCorp priceComponentRiskSplitShareCorp priceComponentRiskSplitShareCorp
YIELD_CURVE_PREMIUM_RETRACTIBLE yieldCurvePremiumRetractible priceComponentRiskRetractible proportionComponentRiskRetractible
YIELD_CURVE_PREMIUM_CREDIT_CLASS_2 yieldCurvePremiumCreditClass2 priceComponentRiskCreditClass2 proportionComponentRiskCreditClass2
YIELD_CURVE_PREMIUM_LIQUIDITY yieldCurvePremiumLiquidity priceComponentRiskLiquidity proportionComponentRiskLiquidity
YIELD_CURVE_PREMIUM_FLOATINGRATE yieldCurvePremiumFloatingRate priceComponentRiskFloatingRate proportionComponentRiskFloatingRate
YIELD_CURVE_PREMIUM_CREDIT_CLASS_3 yieldCurvePremiumCreditClass3 priceComponentRiskCreditClass3 priceComponentRiskCreditClass3
YIELD_CURVE_ERROR Not Applicable Error on Curve Price Analysis proportionComponentRiskError
YIELD_CURVE_PREMIUM_CREDIT_CLASS_HIGH yieldCurvePremiumCreditClassHigh priceComponentRiskCreditClassHigh priceComponentRiskCreditClassHigh
YIELD_CURVE_PREMIUM_CREDIT_CLASS_LOW yieldCurvePremiumCreditClassLow priceComponentRiskCreditClassLow priceComponentRiskCreditClassLow
YIELD_CURVE_COMPONENT_CALCULATION_LIQUIDITY_MAXIMUM
This constraint limits the value of the liquidity measure for each instrument. Its units are the standard deviation of the average trading volume (as defined in liquidityAverage).
YIELD_CURVE_COMPONENT_CALCULATION_MINIMUM_POINTS
A constraint applied during the calculation of liquidityAverage and liquidityStandardDeviation to ensure the calculated data are minimal.

If this constraint exceeds the number of instruments for which there is liquidity data, the analytical values are set to be undefined.

If, after the initial calculation and removal of those liquidity values which are greater than (YIELD_CURVE_COMPONENT_CALCULATION_LIQUIDITY_MAXIMUM + 1) standard deviations from the mean, there are less than "YIELD_CURVE_COMPONENT_CALCULATION_MINIMUM_POINTS" data points included in the calculation, then the initial values with the outliers included are used as the final values.

Otherwise, the average and standard deviation from the edited data vector are used as the final values.

YIELD_CURVE_COMPONENT_COUNT
This is the number of yieldCurveComponents.
YIELD_CURVE_COMPONENT_INITIALINCREMENT
A constraint which sets the initial increment for proposed changes to the values of yieldCurveBaseRate, yieldCurveShortTerm, yieldCurveLongTerm, yieldCurvePremiumInterestIncome, yieldCurvePremiumCumulativeDividends, yieldCurvePremiumSplitShareCorp, yieldCurvePremiumRetractible, yieldCurvePremiumCreditClass2, yieldCurvePremiumCreditClassHigh, yieldCurvePremiumCreditClassLow(x), yieldCurvePremiumLiquidity, yieldCurvePremiumFloatingRate and yieldCurvePremiumCreditClass3 in the calculation of the yield curve
YIELD_CURVE_DECAY_ALLOWABLEDRIFT
A constraint that limits the day to day change in yieldCurveDecayLong and yieldCurveDecayShort, which are elements of the yield curve.
yieldCurveDecayLong
This calculated value is a component of the yield curve and provides, in conjunction with yieldCurveLongTerm, a curved adjustment to yieldCurveBaseRate that is most applicable at the long end of the yield curve by determining the rate at which the long term adjustment to the yield curve attenuates towards zero.

The calculation adjusts the value with a precision of YIELD_CURVE_EXPONENTIALDECAY_MINIMUMINCREMENT.

Changes to the prior day's value during the calculation are allowed only if the resultant rate is greater than yieldCurveDecayShort, greater than YIELD_CURVE_EXPONENTIALDECAY_LONG_MINIMUM and less than YIELD_CURVE_EXPONENTIALDECAY_MAXIMUM. Additionally, the maximum daily change is YIELD_CURVE_DECAY_ALLOWABLEDRIFT.

This value is reported in the yieldCurveReportBox and the historicalYieldReportBox.

YIELD_CURVE_DECAY_LONG
This is the identifier of the yield curve component yieldCurveDecayLong
yieldCurveDecayShort
This calculated value is a component of the yield curve and provides, in conjunction with yieldCurveShortTerm, a curved adjustment to yieldCurveBaseRate that is most applicable at the short end of the yield curve by determining the rate at which the short term adjustment to the yield curve attenuates towards zero.

The calculation adjusts the value with a precision of YIELD_CURVE_EXPONENTIALDECAY_MINIMUMINCREMENT.

Changes to the prior day's value during the calculation are allowed only if the resultant rate is less than yieldCurveDecayLong and greater than YIELD_CURVE_EXPONENTIALDECAY_MINIMUMINCREMENT. Additionally, the maximum daily change is YIELD_CURVE_DECAY_ALLOWABLEDRIFT.

This value is reported in the yieldCurveReportBox and the historicalYieldReportBox.

YIELD_CURVE_DECAY_SHORT
This is the identifier of the yield curve component yieldCurveDecayShort
YIELD_CURVE_ERROR
This is the identifier for a value that is considered to be a component of the yield curve only for reasons of computational convenience. 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.

This value is listed on the reportSummary as Error on Curve Price Analysis.

YIELD_CURVE_EXPONENTIALDECAY_LONG_MINIMUM
A constraint that sets a minimum for the allowable calculated value of yieldCurveDecayLong, a component of the yield curve.
YIELD_CURVE_EXPONENTIALDECAY_MAXIMUM
A constraint that sets a maximum for the allowable calculated value of yieldCurveDecayLong, a component of the yield curve.
YIELD_CURVE_EXPONENTIALDECAY_MINIMUMINCREMENT
A constraint that determines the size of possible changes in yieldCurveDecayShort and yieldCurveDecayLong, as well as their minimum values.
YIELD_CURVE_INSTRUMENTDISPARITY
This is the identifier for a value that is considered to be a component of the yield curve only for reasons of computational convenience. It is calculated separately for each instrument after the yield curve proper has been determined - it is the placeholder for yield disparity.

See proportionComponentRiskInstrumentDisparity.

yieldCurveLongTerm Report Summary (Admin only)
This calculated value is a component of the yield curve and provides, in conjunction with yieldCurveDecayLong, a curved adjustment to yieldCurveBaseRate that is most applicable at the long end of the yield curve by determining the amount of the long term adjustment.

The calculation commences with a precision of YIELD_CURVE_COMPONENT_INITIALINCREMENT and reduces changes until the minimum increment of YIELD_CURVE_CALCULATION_PRECISION is reached.

Changes to the prior day's value during the calculation are allowed only if the resultant rate has an absolute value less than Yield Curve Base Rate, or, if changes to this value have put the calculation "out of bounds", only reductions in the absolute value are allowed. Additionally, the maximum daily change is YIELD_CURVE_PREMIUM_MAXIMUMCHANGE

See also trendLongTermRate, volatilityLongTermRate and averageLongTermRate.

This value is reported in the yieldCurveReportBox and the historicalYieldReportBox.

YIELD_CURVE_LONGTERM
This is the identifier of the yield curve component yieldCurveLongTerm
yieldCurveReportBox Image
This is a dialog box accessible via the "Yield Curve" selection of the mainMenu|Reports popup menu.

The following yieldCurve data is reported:

yieldCurveRide Report Summary
HIMIPref™ 2006 The gross change of value in the instrument's curvePrice to be expected after a period of yieldCurveRidePeriod years, if the yield curve does not change.
yieldCurveShortTerm Report Summary (Admin only)
This calculated value is a component of the yield curve and provides, in conjunction with yieldCurveDecayShort, a curved adjustment to yieldCurveBaseRate that is most applicable at the short end of the yield curve by determining the amount of the short term adjustment.

The calculation commences with a precision of YIELD_CURVE_COMPONENT_INITIALINCREMENT and reduces changes until the minimum increment of YIELD_CURVE_CALCULATION_PRECISION is reached.

Changes to the prior day's value during the calculation are allowed only if the resultant rate has an absolute value less than Yield Curve Base Rate, or, if changes to this value have put the calculation "out of bounds", only reductions in the absolute value are allowed. Additionally, the maximum daily change is YIELD_CURVE_PREMIUM_MAXIMUMCHANGE.

See also shortTermRateInfoDecay, averageShortTermRate, trendShortTermRate and volatilityShortTermRate.

This value is reported in the yieldCurveReportBox and the historicalYieldReportBox.

YIELD_CURVE_SHORTTERM
This is the identifier of the yield curve component yieldCurveShortTerm.
yieldCurvePremiumCreditClass2 Report Summary (Admin only)
This calculated value is a component of the yield curve and provides an increment to the base yield curve when discounting instruments for which the creditClass2 risk attribute is true.

The calculation commences with a precision of YIELD_CURVE_COMPONENT_INITIALINCREMENT and reduces changes until the minimum increment of YIELD_CURVE_CALCULATION_PRECISION is reached.

The value of this variable is constrained to be positive; an additional requirement is that changes do not result in rate overlap.

The daily change in the value is constrained to be less than YIELD_CURVE_PREMIUM_MAXIMUMCHANGE.

This value is reported in the yieldCurveReportBox and the historicalYieldReportBox.

YIELD_CURVE_PREMIUM_CREDIT_CLASS_2
This is the identifier of the yield curve component yieldCurvePremiumCreditClass2.
yieldCurvePremiumCreditClass3 Report Summary (Admin only)
This calculated value is a component of the yield curve and provides an increment to the base yield curve when discounting instruments for which the creditClass3 risk attribute is true.

The calculation commences with a precision of YIELD_CURVE_COMPONENT_INITIALINCREMENT and reduces changes until the minimum increment of YIELD_CURVE_CALCULATION_PRECISION is reached.

The value of this variable is constrained to be positive; an additional requirement is that changes do not result in rate overlap.

The daily change in the value is constrained to be less than YIELD_CURVE_PREMIUM_MAXIMUMCHANGE.

This value is reported in the yieldCurveReportBox and the historicalYieldReportBox.

YIELD_CURVE_PREMIUM_CREDIT_CLASS_3
This is the identifier of the yield curve component yieldCurvePremiumCreditClass3.
yieldCurvePremiumCreditClassHigh Report Summary (Admin only)
This calculated value is a component of the yield curve and provides an increment to the base yield curve when discounting instruments for which the creditClassHigh risk attribute is true.

The calculation commences with a precision of YIELD_CURVE_COMPONENT_INITIALINCREMENT and reduces changes until the minimum increment of YIELD_CURVE_CALCULATION_PRECISION is reached.

The value of this variable is constrained to be negative; an additional requirement is that changes do not result in rate overlap.

The daily change in the value is constrained to be less than YIELD_CURVE_PREMIUM_MAXIMUMCHANGE.

This value is reported in the yieldCurveReportBox and the historicalYieldReportBox.

YIELD_CURVE_PREMIUM_CREDIT_CLASS_HIGH
This is the identifier of the yield curve component yieldCurvePremiumCreditClassHigh.
yieldCurvePremiumCreditClassLow Report Summary (Admin only)
This calculated value is a component of the yield curve and provides an increment to the base yield curve when discounting instruments for which the creditClassLow risk attribute is true.

The calculation commences with a precision of YIELD_CURVE_COMPONENT_INITIALINCREMENT and reduces changes until the minimum increment of YIELD_CURVE_CALCULATION_PRECISION is reached.

The value of this variable is constrained to be positive; an additional requirement is that changes do not result in rate overlap.

The daily change in the value is constrained to be less than YIELD_CURVE_PREMIUM_MAXIMUMCHANGE.

This value is reported in the yieldCurveReportBox and the historicalYieldReportBox.

YIELD_CURVE_PREMIUM_CREDIT_CLASS_LOW
This is the identifier of the yield curve component yieldCurvePremiumCreditClassLow.
yieldCurvePremiumCumulativeDividends Report Summary (Admin only)
This calculated value is a component of the yield curve and provides an increment to the base yield curve when discounting instruments which pay cumulative dividends.

The calculation commences with a precision of YIELD_CURVE_COMPONENT_INITIALINCREMENT and reduces changes until the minimum increment of YIELD_CURVE_CALCULATION_PRECISION is reached.

The value of this variable is constrained to be negative, while the daily change in the value is constrained to be less than YIELD_CURVE_PREMIUM_MAXIMUMCHANGE.

This value is reported in the yieldCurveReportBox and the historicalYieldReportBox.

YIELD_CURVE_PREMIUM_CUMULATIVEDIVIDENDS
This is the identifier of the yield curve component yieldCurvePremiumCumulativeDividends.
yieldCurvePremiumInterestIncome Report Summary (Admin only)
This calculated value is a component of the yield curve and provides an increment to the base yield curve when discounting instruments which pay interest income.

The calculation commences with a precision of YIELD_CURVE_COMPONENT_INITIALINCREMENT and reduces changes until the minimum increment of YIELD_CURVE_CALCULATION_PRECISION is reached.

The value of this variable may be either less than or greater than 0, but the daily change in the value is constrained to be less than YIELD_CURVE_PREMIUM_MAXIMUMCHANGE.

This value is reported in the yieldCurveReportBox and the historicalYieldReportBox.

YIELD_CURVE_PREMIUM_INTERESTINCOME
This is the identifier of the yield curve component yieldCurvePremiumInterestIncome.
yieldCurvePremiumFloatingRate Report Summary (Admin only)
This calculated value is a component of the yield curve and provides an increment to the base yield curve when discounting instruments which pay floating rate dividends.

The calculation commences with a precision of YIELD_CURVE_COMPONENT_INITIALINCREMENT and reduces changes until the minimum increment of YIELD_CURVE_CALCULATION_PRECISION is reached.

The value of this variable may be positive or negative, but the daily change in the value is constrained to be less than YIELD_CURVE_PREMIUM_MAXIMUMCHANGE.

This value is reported in the yieldCurveReportBox and the historicalYieldReportBox.

YIELD_CURVE_PREMIUM_FLOATINGRATE
This is the identifier of the yield curve component yieldCurvePremiumFloatingRate.
yieldCurvePremiumLiquidity Report Summary (Admin only)
This calculated value is a component of the yield curve and provides an increment to the base yield curve based on the liquidity of each instrument as measured by the liquidityMeasure.

The calculation commences with a precision of YIELD_CURVE_COMPONENT_INITIALINCREMENT and reduces changes until the minimum increment of YIELD_CURVE_CALCULATION_PRECISION is reached.

The value of this variable must be negative or zero and the daily change in the value is constrained to be less than YIELD_CURVE_PREMIUM_MAXIMUMCHANGE.

This value is reported in the yieldCurveReportBox and the historicalYieldReportBox.

YIELD_CURVE_PREMIUM_LIQUIDITY
This is the identifier of the yield curve component yieldCurvePremiumLiquidity.
YIELD_CURVE_PREMIUM_MAXIMUMCHANGE
A constraint which sets the initial increment for proposed changes to the values of yieldCurveShortTerm, yieldCurveLongTerm, yieldCurvePremiumInterestIncome, yieldCurvePremiumCumulativeDividends, yieldCurvePremiumSplitShareCorp, yieldCurvePremiumRetractible, yieldCurvePremiumCreditClass2, yieldCurvePremiumCreditClassHigh, yieldCurvePremiumCreditClassLow(x), yieldCurvePremiumLiquidity, yieldCurvePremiumFloatingRate and yieldCurvePremiumCreditClass3 in the calculation of the yield curve
yieldCurvePremiumRetractible Report Summary (Admin only)
This calculated value is a component of the yield curve and provides an increment to the base yield curve when discounting instruments which are retractible.

The calculation commences with a precision of YIELD_CURVE_COMPONENT_INITIALINCREMENT and reduces changes until the minimum increment of YIELD_CURVE_CALCULATION_PRECISION is reached.

The value of this variable is constrained to be less than 0 and the absolute value of the daily change in the value is constrained to be less than YIELD_CURVE_PREMIUM_MAXIMUMCHANGE.

This value is reported in the yieldCurveReportBox and the historicalYieldReportBox.

YIELD_CURVE_PREMIUM_RETRACTIBLE
This is the identifier of the yield curve component yieldCurvePremiumRetractible.
yieldCurvePremiumSplitShareCorp Report Summary (Admin only)
This calculated value is a component of the yield curve and provides an increment to the base yield curve when discounting instruments which have been issued by a split-share corporation.

The calculation commences with a precision of YIELD_CURVE_COMPONENT_INITIALINCREMENT and reduces changes until the minimum increment of YIELD_CURVE_CALCULATION_PRECISION is reached.

The value of this variable may be either less than or greater than 0, but the daily change in the value is constrained to be less than YIELD_CURVE_PREMIUM_MAXIMUMCHANGE.

This value is reported in the yieldCurveReportBox and the historicalYieldReportBox.

YIELD_CURVE_PREMIUM_SPLITSHARECORP
This is the identifier of the yield curve component yieldCurvePremiumSplitShareCorp.
YIELD_CURVE_PSEUDOMODIFIEDDURATION_MINIMUM
A constraint which specifies the minimum pseudoModifiedDurationCost an issue must have in order to be included in the calculation of the yieldCurve.
YIELD_CURVE_VARIANCE_EXPONENT
A constraint used in the calculation of curveVariance that determines the effect of issues which are mispriced relative to the yieldCurve on curveVariance.
yieldDifference
A calculated value used in the pseudoModifiedDuration calculations of pseudoModifiedDurationCost, pseudoModifiedDurationWorstBid and pseudoModifiedDurationPort.

The "yieldDifference" applicable to the ith member of the pseudoList is:

"yieldDifference"[i] = yield[i+1] - yield[i-1]

Where: "yield" is defined as appropriate for the pseudoModifiedDuration calculation being performed.

"yieldDifference" is reported in the pseudoModifiedDurationCalculationBox.

Yield Disparity Report Summary
"Yield Disparity" is calculated for each instrument. It is the amount by which the yieldCurveBaseRate must change in order for the priceDisparity to become zero.

Note that under certain very specific conditions, the "yield disparity" may be incalculable.

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

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

This datum may be displayed on the instrumentAveragesReportBox.

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

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

This datum may be displayed on the instrumentAveragesReportBox.

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

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

This datum may be displayed on the instrumentAveragesReportBox.

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

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

This datum may be displayed on the instrumentAveragesReportBox.

yield to maturity
The most usual method for evaluating fixed-income instruments which have no embedded options. This calculation solves the equation

P = sum(D[t] * C[t])
where P is the current price of the instrument
and D[t] is the discountingFactor to time t
and C[t] is the future value of the cash flow to be received at time t
.

The discountingFactor is determined (for "yield to maturity" calculations) by applying a constant interest rate, compounded at specified intervals, for the relevent period. The constant interest rate that solves the equation is the "yield to maturity". See also cashFlowDiscountingTable.

The "yield to maturity" of each element of the optionCalculationList is reported in the pseudoPortfolioReportBox.

Note that all "Yield-to-Maturity" reporting is done on the basis of semi-annual compounding.

yield-to-worst
This is the most conservative method for evaluating yield. It considers all the options available to the company (as modified by options available to the investor, which may be pre-emptive), performs a yield to maturity calculation on each of them and selects the scenario which is worst for the investor as generating the "yieldToWorst"

Note that the exercise of an option is considered to have an earliest possible exerciseDate of one maturityNoticePeriod after the periodStart of the option period.

See also bidYieldToWorst and askYieldToWorst.

Note that all "Yield-to-Worst" reporting is done on the basis of semi-annual compounding.

Yield-to-Worst (at Bid) Report Summary
The yield-to-worst calculated at the bid price. See also bidYieldToWorst.

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

Note: See also askYieldToWorst.

YTM (Cost Method) at Ask Report Summary
See costAskYield.

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

YTM (Cost Method) at Bid Report Summary
See costBidYield.

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

YTM (Port Method) at Ask Report Summary
The title used on the reportSummary when reporting portAskYield.

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

This value is also reported on the pseudoPortfolioReportBox.

YTM (Port Method) at Bid Report Summary
The title used on the reportSummary when reporting portBidYield.

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

This value is also reported on the pseudoPortfolioReportBox.

ytwModifiedDuration
The modifiedDuration of the element of the optionCalculationList that provides the worst yieldToMaturity.

"ytwModifiedDuration" is one of the riskAttributes considered by HIMIPref™.

This value is important in the procedure eligibleForPurchase during the calculation of tradeSize.

See also pseudoModifiedDurationWorstBid and PARAMETER_PORTFOLIO_MINYTWMODIFIEDDURATIONBUY.

This value is listed on the reportSummary as Modified Duration - YTW.

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

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