Pricing based on linked portfolio
You can price securities based on a linked portfolio with Market prices → Update from linked portfolio in the Securities view. You can use this feature for several purposes:
To define a composite index based on value changes in multiple positions that can also be in different currencies.
To make currency conversion for an index in a different currency than your portfolios. Note that you can use indices in different currencies directly in portfolio benchmarks; you only need to handle the currency conversion if you need a benchmark on Asset types.
To create a benchmark for other portfolios based on a model portfolio.
To build benchmarks that contain a fixed annual return (% p.a.) component.
Set up pricing based on linked portfolio
Create a portfolio whose value change you wish to track (if it doesn't exist already).
Create a security where you wish to track the value changes of the portfolio.
Link the security to the portfolio via the Linked portfolio field in the Security window.
Define pricing parameters on the Price from portfolio tab:
Select what to use as a basis for the pricing in the Fetch price from field. It can be either the indexed value of the portfolio itself or the benchmark, or the market value of the portfolio.
Specify the Lag in days. The lag defines what kind of delay is used before the prices are updated on the security. For example, if you want to update prices up to yesterday, use a lag of 1, and for today use 0.
Specify the number of days under Update changed prices this many days in the past. For example, "7" means that prices are updated a week into the past if there were changes in the portfolio value due to transactions or prices that have been added later.
(Optional) Specify a Day count convention, if you want to add a fixed annual return component (%).
To define the percentage itself, go to the Key figures tab and add the value with the type Fixed percentage (p.a.)OR
Fill in all the parameters under Index-linking:
The base instrument to use (defined as a security in FA).
The spread to add to the reference interest under.
The first fixing date, that is the first day for which the reference index value is fixed.
The frequency, meaning how often the fixing is updated after the first fixing date.
The roll convention, meaning how days are shifted. The most common choice is None, but use for example End of month (EOM) to always update the fixing on the last day of the month (regardless if the first fixing was on the 28th, 29th, 30th or 31st day of the month).
The business day convention, meaning how the dates are shifted if the fixing date would fall on a non-business day.
The offset days, meaning how many days earlier or later base instrument value is used on the fixing date. For example if the value 2 business days before the fixing date should be used, enter -2.
(Optional) Choose an option in Update prices up to:
Specified date (default) – Only the Lag in days (defined above) is considered.
Latest position date – In addition to the Lag in days, this option makes sure that at least one of the positions in the portfolio has a price on that date.
Earliest position date – In addition to the Lag in days, this option makes sure that all portfolio positions have a price on that date.
Update security prices
Tip
Normally the update of prices is done via scheduled runs. See Scheduling settings in FA Admin Guide to set up a schedule. In scheduled runs, the update is always done for the current date, but considering the lag parameters defined on the security.
Go to the Securities view.
Search for the securities to update.
Click Market prices → Update from linked portfolio.
Select a date to run for. Normally, the current day is used.
Select whether to deduct the lag defined on the security or not.
Click Done.