{% extends "hedge/base.html" %}
{% load hedge_extras %}
{% block title %}Scenarios{% endblock %}
{% block content %}
<div class="head"><h1>Scenarios</h1><span class="muted">As of {{ as_of }}</span></div>
{% if result %}
<section class="card"><h2>Spot shock</h2>
<form method="get" class="row"><label>Shock % (all foreign currencies, applied one at a time)<input name="shock" value="{{ shock }}" size="6"></label><button class="btn">Run</button></form>
<table><thead><tr><th>Ccy</th><th class="r">Spot</th><th class="r">Shocked</th><th class="r">Net exposure</th><th class="r">Unhedged impact</th><th class="r">Hedge MTM change</th><th class="r">Hedged impact</th><th class="r">P&amp;L</th><th class="r">OCI</th></tr></thead>
<tbody>{% for r in result.rows %}<tr><td>{{ r.currency }}</td><td class="r">{{ r.spot|num:4 }}</td><td class="r">{{ r.shocked_spot|num:4 }}</td><td class="r">{{ r.net_exposure|num }}</td><td class="r {{ r.unhedged|signed_class }}">{{ r.unhedged|num }}</td><td class="r {{ r.hedge_mtm|signed_class }}">{{ r.hedge_mtm|num }}</td><td class="r {{ r.hedged|signed_class }}">{{ r.hedged|num }}</td><td class="r {{ r.pnl|signed_class }}">{{ r.pnl|num }}</td><td class="r {{ r.oci|signed_class }}">{{ r.oci|num }}</td></tr>{% endfor %}
<tr class="tot"><td colspan="4">Total</td><td class="r">{{ result.totals.unhedged|num }}</td><td class="r">{{ result.totals.hedge_mtm|num }}</td><td class="r">{{ result.totals.hedged|num }}</td><td class="r">{{ result.totals.pnl|num }}</td><td class="r">{{ result.totals.oci|num }}</td></tr></tbody></table>
<p class="muted">Unhedged impact is the economic effect on all open exposures (forecasts probability weighted). Hedged impact adds the hedge book MTM change. P&amp;L covers recognised monetary items, undesignated derivatives and hedge ineffectiveness; OCI is the movement in the cash flow hedge reserve.</p></section>
<section class="card"><h2>Shock ladder</h2><table><thead><tr><th>Shock</th><th class="r">Unhedged</th><th class="r">Hedged</th><th class="r">P&amp;L</th><th class="r">OCI</th></tr></thead>
<tbody>{% for s, t in grid %}<tr><td>{{ s }}%</td><td class="r {{ t.unhedged|signed_class }}">{{ t.unhedged|num }}</td><td class="r {{ t.hedged|signed_class }}">{{ t.hedged|num }}</td><td class="r">{{ t.pnl|num }}</td><td class="r">{{ t.oci|num }}</td></tr>{% endfor %}</tbody></table></section>
<section class="card"><h2>Historical VaR (1 day)</h2>
<form method="post" enctype="multipart/form-data" class="row">{% csrf_token %}<label>Rate history CSV (<code>date,currency,spot</code>), optional<input type="file" name="history" accept=".csv"></label><button class="btn">Recalculate</button></form>
<form method="get" class="row"><label>Confidence<select name="confidence" onchange="this.form.submit()"><option value="0.95" {% if confidence == 0.95 %}selected{% endif %}>95%</option><option value="0.99" {% if confidence == 0.99 %}selected{% endif %}>99%</option></select></label><input type="hidden" name="shock" value="{{ shock }}"></form>
<div class="kpis"><div class="kpi"><div class="k">VaR {{ confidence|pct:0 }}</div><div class="v neg">{{ var.var|num }}</div></div><div class="kpi"><div class="k">Expected shortfall</div><div class="v neg">{{ var.es|num }}</div></div><div class="kpi"><div class="k">Observations</div><div class="v">{{ var.observations }}</div></div></div>
<p class="muted">Source: {{ source }}. Net open position after hedges: {% for c, v in var.positions.items %}{{ c }} {{ v|num }}{% if not forloop.last %}, {% endif %}{% endfor %} ({{ entity.functional_currency }} equivalent). Daily returns are applied to today's position.</p></section>
{% endif %}
{% endblock %}