Altair® Panopticon

 

Retrieving External Aggregates (Non-Additive Data Sets)

In general, Panopticon Real Time processes data that itself can aggregate through standard aggregation methods, including Sum, Min, Max, Mean, and so on. However, there may be occasions when aggregate values cannot be calculated internally but must be retrieved separately.

When working with financial risk data, especially Value at Risk (VaR), the data will be non-additive and cannot be calculated internally within Panopticon Real Time. Therefore, we allow aggregates to be retrieved in addition to the base data set. Configuration of the External aggregate can be supplied explicitly by the user or implicitly from the data plug-in.

An example workbook demonstrating this principle for both static snapshots and Time Series named How to Non-Additive is included with the product.

An example data format is included below, which first lists the lowest level data, followed by the aggregates.  The Column titled Desk defines whether the row is aggregate or a leaf value.

 

Global

Region

Country

Office

Desk

Exposure

10 VaR

1 VaR

Global

North America

USA

Boston

Boston|Equity

502.5591

96.93133

34.38913

Global

North America

Canada

Toronto

Toronto|Commodities

449.1171

83.44991

26.30474

Global

North America

USA

Chicago

Chicago|Commodities

652.1543

76.20758

2.714785

Global

North America

USA

New York

New York|FX

517.6406

71.2854

37.26238

Global

North America

USA

Los Angeles

Los Angeles|Mutual Funds

182.0767

67.68958

11.1428

Global

North America

USA

New York

New York|Mutual Funds

812.583

64.44671

40.76365

Global

North America

USA

Los Angeles

Los Angeles|Equity

471.5469

39.9832

39.31864

Global

North America

USA

New York

New York|Commodities

369.0428

39.51506

46.6825

Global

North America

USA

Chicago

Chicago|Fixed Income

459.5511

33.45534

17.68969

Global

North America

USA

New York

New York|Fixed Income

701.7921

31.34119

43.45796

Global

North America

USA

New York

New York|Equity

810.3085

30.91666

20.31064

Global

North America

USA

Chicago

Chicago|FX

77.76167

23.44857

41.05015

Global

North America

USA

Los Angeles

Los Angeles|FX

285.2182

22.41497

18.51936

Global

North America

Canada

Toronto

Toronto|Equity

909.3673

16.85309

30.22478

Global

North America

USA

Boston

Boston|Fixed Income

305.9504

12.37541

3.2304

Global

North America

Canada

Vancouver

Vancouver|Commodities

260.9837

10.91653

13.70787

Global

North America

Canada

Toronto

 

1358.484

75.7861

51.20194

Global

North America

Canada

Vancouver

 

260.9837

8.24374

8.960773

Global

North America

USA

Boston

 

1065.943

130.6419

27.43908

Global

North America

USA

Chicago

 

1601.07

145.2946

67.41181

Global

North America

USA

Los Angeles

 

938.8418

82.48388

41.31485

Global

North America

USA

New York

 

3211.367

122.2747

161.8823

Global

North America

Canada

 

 

1619.468

99.31398

54.7861

Global

North America

USA

 

 

6817.222

518.8613

289.0221

Global

North America

 

 

 

8436.69

566.3662

392.1354

Global

 

 

 

 

20990.08

1626.839

1104.829

To retrieve external aggregates:

1.     Retrieve your data set including both base data, plus aggregate data.

2.     On the Data Table Settings pane, tap the Includes Aggregate Data slider to turn it on and then select the text column that defines the leaf.

 

3.   Enter the Value to determine aggregate rows. The default being blank.

 

4.     Click the Save  button.

 

NOTE

Within the visualization, the default aggregation method for all variables will be set to External.

 

 

 

If the leaf or lowest level of data is identified by selecting a specific categorical column, multiple non-additive hierarchies can be supported.  In these cases, the aggregates must be supplied, where every column to the left of the selected column, is defined as a potential aggregate.

For example, the following dataset includes the hierarchy:

Global à Region à Country à Office à Asset Class -- > Desk

It includes the base data for each desk, plus aggregates for:

Global à Region à Country à Office à Asset Class

Global à Region à Country à Office

Global à Region à Country

Global à Region

Global

Additionally, aggregates have been supplied for the different hierarchy:

Global à Asset Class à Region àCountry à Office à Desk

Global à Asset Class à Region àCountry à Office

Global à Asset Class à Region àCountry

Global à Asset Class à Region

Global à Asset Class

 

Global

Region

Country

Office

AssetClass

Desk

10 VaR

1 VaR

Global

North America

USA

Boston

Equity

Boston|Equity

96.93133048

34.38913175

Global

North America

USA

New York

FX

New York|FX

71.28540032

37.26238164

Global

North America

USA

New York

Fixed Income

New York|Fixed Income

31.34118784

43.45795678

Global

North America

USA

New York

Equity

New York|Equity

30.91665946

20.31063719

Global

North America

Canada

Toronto

Equity

Toronto|Equity

16.85309075

30.22477718

Global

North America

USA

Boston

Fixed Income

Boston|Fixed Income

12.37540616

3.230399924

Global

North America

USA

Boston

Equity

TOTAL

96.93133048

34.38913175

Global

North America

USA

New York

FX

TOTAL

71.28540032

37.26238164

Global

North America

USA

New York

Fixed Income

TOTAL

31.34118784

43.45795678

Global

North America

USA

New York

Equity

TOTAL

30.91665946

20.31063719

Global

North America

Canada

Toronto

Equity

TOTAL

16.85309075

30.22477718

Global

North America

USA

Boston

Fixed Income

TOTAL

12.37540616

3.230399924

Global

North America

Canada

Toronto

TOTAL

TOTAL

75.78610302

51.2019375

Global

North America

USA

Boston

TOTAL

TOTAL

130.6419004

27.43907688

Global

North America

USA

New York

TOTAL

TOTAL

122.2746767

161.882264

Global

North America

Canada

TOTAL

TOTAL

TOTAL

99.31398318

54.78609529

Global

North America

USA

TOTAL

TOTAL

TOTAL

518.8613204

289.0221365

Global

North America

TOTAL

TOTAL

TOTAL

TOTAL

566.366159

392.1354295

Global

TOTAL

TOTAL

TOTAL

TOTAL

TOTAL

1626.839172

1104.828695

Global

TOTAL

TOTAL

TOTAL

Equity

TOTAL

606.4144769

329.4784359

Global

TOTAL

TOTAL

TOTAL

Fixed Income

TOTAL

451.081016

178.6103631

Global

North America

TOTAL

TOTAL

Equity

TOTAL

192.2519763

122.2667907

Global

North America

TOTAL

TOTAL

Fixed Income

TOTAL

65.59614378

54.72134119

Global

North America

TOTAL

TOTAL

FX

TOTAL

99.57659408

82.30710941

Global

North America

USA

TOTAL

Equity

TOTAL

188.3931344

102.2566554

Global

North America

Canada

TOTAL

Equity

TOTAL

15.16778167

27.20229946

Global

North America

USA

TOTAL

FX

TOTAL

105.4340408

87.14870408