Open topic with navigation
The Stress Test report lets you see the change in the Profit and Loss (PNL) of your positions if the underlying price of each of your positions declines by 10%, 20% and 30% and independently increases by 10%, 20% and 30%.
For more information on the Stress Test Report, see Using the Stress Test Report.
To generate a Stress Test report
The Other Reports screen opens.
The Stress Test Summary report lets you see the change in the PNL of your positions if the underlying price of each of your positions declines by 3%, 5%, 10%, 20% and 30% and independently increases by 3%, 5%, 10%, 20% and 30%. The results are based on theoretical pricing models and do not take into account coincidental changes in volatility or other variables that affect derivative prices.
The report shows:
To use the report, click the radio button that corresponds to the up or down price change you want to see (+/- 3, 5, 10, 20 or 30%). The PNL for each position is updated by the selected percentage.
Certain positions are shown in the report but not valued under the stress scenarios of -30%/+30% changes in the underlying price. You must evaluate your own risk for these positions and include them in the totals provided.
For more information