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FrictionalBank Overview
LIVE
--:--:--
+2.3%
Total Portfolio Value
$0
Across 0 active positions
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Health

Risk Attribution

Total DV01 $125,430 -2.3%
Total Gamma $8,250 +1.1%
Total Vega $42,180 -0.5%

Exposure Profile

PFE $0
EE $0
EPE $0
ENE $0

Quick Actions

XVA Metrics

CVA -2.4%
$0
DVA +1.2%
$0
FVA -0.8%
$0
Total
$0
Total PV $0
Positions 0
Avg Delta 0.00
Total Vega $0
Selected 0
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Visible Columns
ID
Instrument
Product
Counterparty
Maturity
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PV
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Theta Rho CVA PFE Risk Actions
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Trade Details

85 Health
Total Risk Exposure $0
Limit Utilization 0%
Compliant Trades 0/0

Risk Attribution Grid

Total DV01 $125,430 -2.3%
Total Gamma $8,250 +1.1%
Total Vega $42,180 -0.5%
Index / Tenor 1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 30Y Total
USD-SOFR 2,150 3,420 -1,850 8,230 12,450 -4,320 18,650 9,870 -6,540 4,210 2,180 -890 47,560
EUR-ESTR 1,820 -2,140 3,650 6,780 -8,920 11,340 15,280 -3,450 7,890 2,340 -1,560 980 34,010
GBP-SONIA -920 1,540 2,180 -3,450 5,670 7,890 -2,340 4,560 3,210 -1,890 1,120 650 18,220
JPY-TONA 680 1,120 -780 2,340 -1,560 3,890 6,540 -2,180 4,320 1,890 -920 540 15,880
CHF-SARON 340 -560 890 1,450 -980 2,120 3,670 -1,230 2,540 890 -450 280 8,960
AUD-AONIA -120 280 450 -670 1,120 1,890 -540 980 760 -320 180 90 4,100
Total 3,950 3,660 4,540 14,680 7,780 22,810 41,260 8,550 12,180 7,120 550 1,650 128,730

Risk by Asset Class

XVA Metrics

CVA -2.4%
$0
DVA +1.2%
$0
FVA -0.8%
$0
Total
$0

Limit Utilization

Gross Exposure $245M / $500M
49%
CVA Limit $12M / $20M
60%
Single Name $35M / $50M
70%
Tenor > 10Y $80M / $200M
40%
Peak PFE $0
Average EPE $0
Time to Peak 0Y
Max Maturity 0Y

Counterparty Exposure

Counterparty Rating Exposure Limit Utilization CVA Status

Exposure Time Series

PFE $0
EE $0
EPE $0
ENE $0

Key Statistics

Peak PFE $0
Time to Peak 0Y
Average EPE $0
Max Maturity 0Y
EE at 1Y $0
EE at 5Y $0

MC Paths

1000 paths
Mean $0
95% CI $0 - $0

Collateral vs Exposure

Parameters

Interest Rates

Volatility

Credit

Correlation

Quick Presets

Results

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Sensitivity

Rates
-$1.2M
Vol
+$0.5M
Credit
-$2.1M
FX
+$0.3M

VolCube Calibration

Calibrate volatility models and visualise surfaces

Index Selection

Model Settings

Instruments

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Generic Pricer

Calculate present value and Greeks for financial instruments

Trade Selection

Cashflows

Click "Expand CF" to view cashflows

Market Data

Model Config

Greeks Settings

Pricing Result

Click "Price" to calculate PV

Leg Breakdown

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Greeks

Click "Greeks" to calculate sensitivities

Computation Graph

Interactive visualisation of the AD computation graph

Operation -
Value -
Label -
Scope -
Source -
Nodes0
Edges0
Depth0
GeneratedN/A
No sensitivity targets found
Path Length 0
No path computed

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Input
Intermediate
Output
Sensitivity

Trade Expansion

Expand instruments into cashflow-detailed trades

Instrument Parameters

Expanded Trade

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Curve Builder

Construct yield curves from market instruments and visualise parameter curves

Index Selection

Instruments

Builder Settings

Build Result

Not built

Parameter Curve

Short-term (0-1Y) Daily (0-3M) / Weekly (3M-1Y)
Long-term (0-30Y) Monthly Grid

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Data Table

Market Data Viewer

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Market Rates

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ID Currency Tenor Type Value Index Source Status

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Rate Detail

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Market Conventions

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Convention Detail

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