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