5.3 aggregate_positions

Function File: [position_struct position_failed_cell portfolio_value portfolio_shock] = aggregate_positions (position_struct, position_failed_cell, instrument_struct, index_struct, scennumber, scen_set, fund_currency, port_id, printflag)

Aggregate position and portfolio base, stress and MC scenarios shocks. Instrument MC values are aggregated and converted to fund currency based on position information (quantity and position ID referencing instrument ID).
Return total portfolio base, stress or MC values and position struct with new keys \’basevalue\’, \’stresstests\’ or \’mc_scenarios\’ according to provided scenario set.
Input:

• position_struct: structure with position definitions (quantity and ID)
• position_failed_cell: failing position ids are stored in this cell
• instrument_struct: structure with instrument objects
• index_struct: structure with FX objects
• scennumber: number of stress or MC scenarios
• scen_set: Scenario set used for aggregation (e.g. base, stress, 250d or 1d)
• fund_currency: FX conversion of instrument values into fund currency
• port_id: Portfolio ID
• printflag: Boolean flag: true = print information about aggregation to stdout

See also: aggregate_position_base.