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MOCHILAB / AI SKILL
Portfolio Scenario Stress Lab
Apply explicit asset, yield and FX shocks to portfolio holdings and attribute scenario losses.
What it does
Apply explicit asset, yield and FX shocks to portfolio holdings and attribute scenario losses.
- Explicit shock for every asset class
- Optional duration and convexity
- Multiplicative foreign-exchange effect
- Position-level contributions to losses
Try saying
Use my supplied records to apply explicit asset, yield and FX shocks to portfolio holdings and attribute scenario losses.
Export a reproducible report with the assumptions, key metrics and detailed CSV. Ask me for missing facts first.
Calculation scope
Holding values are already expressed in base currency; currency identifies the underlying currency. Every asset class needs an asset shock and every foreign holding needs an FX shock. Yield changes are absolute changes, with bond price approximation minus modified duration times delta-y plus half convexity times delta-y squared. Avoid double-counting the same rate move in the asset shock.
Deliverables and runtime
Includes executable Python 3.10+ standard-library calculations, independent numerical tests, fictional examples and an input reference. Supported flat collections accept CSV. No extra market-data key is needed. Files stay in the active assistant workspace, with input and output hashes. Analysis only; no account access or automatic trading.
References