New Visualization, Reporting and Analysis Release
Here are some examples of the great new visualization, reporting and analysis functionality just released for the TimeScape WorkBench:
- Charting for Browsing around Data
- Heatmap Data Drill-Down
- Configurable Reports and Analysis
- QL+ Explorer
The new charting tools within the TimeScape WorkBench make it easy to set up default charting views for any of the asset classes and property data being browsed. For example, in Figure 1 below the user has browsed to a GMAC bond and is reviewing the sources of data available for the Yield property of this security. Note how the user has elected to zoom in on a particular overlapping section of the history of the bond’s yield.
Moving away from fixed income data to FX and emphasizing the multi-asset nature of TimeScape, Figure 2 below shows a candlestick chart for the example rate between the British Pound and the US Dollar. The Open/High/Low/Close for every 10 minute period is being derived dynamically from the Ask property containing tick history, using a TimeScape formula expression.
Changing tack both in asset class and in the type of data being browsed, Figure 3 below shows a swaption volatility surface being viewed on a particular date in history. This is just one illustration of how time series data in TimeScape is not limited to just histories of numbers such as prices and yields, but rather can be any kind of data however complex.
Taking a look at equities, then Figure 4 below shows a correlation matrix for a basket of US stocks. The difference in correlation over the two diagonal regions is due to the right-hand side being an average level of correlation and the left-hand side showing the latest correlation value. All the main diagonal line of the chart is displaying the volatility level for each stock. This screen shot also illustrates how any of the charts shown can be maximized for any of the charts already shown in Figures 1 through 3.
There are a lot more charting options available in this release than the four illustrated above, however it is hoped that this gives you some flavour of what is possible and how browsing around financial markets data can be much more visual and informative. If you have any questions then please contact your Xenomorph account representative or get in touch with us at firstname.lastname@example.org.
Another addition to the TimeScape WorkBench is our new heatmap functionality. These are reports that allow you to set up some analysis on large datasets and view it as a single graphical picture, then use the colour coding derived from the results of your analysis as a guide to where data points of interest might lie. As a simple example, take a look at the heatmap shown in Figure 5 below. Figure 5 shows daily price movements for an equity portfolio over the 12 months of 2008. As the financial crisis took hold, then you can see how the returns become more volatile, moving above and beyond the 2 and 3 standard deviation levels.
Figure 6 below shows how the user can zoom in on any region within the larger heatmap shown in Figure 5, in order to see more detail of the movements that have occurred and what further analysis or correction may or may not be needed.
The example shown in Figures 5 and 6 above is just a very simple one so if you would like to find out more about how to configure your own analysis within TimeScape heatmaps then please contact your Xenomorph account representative or get in touch with us at email@example.com.
Another recent enhancement to the TimeScape Workbench is the end-user reporting functionality shown below in Figure 6, in this case displaying a report on US mortgages and bonds.
Moving on from the simple example of Figure 7 above, the equity report in Figure 8 below shows how the new reporting functionality of the TimeScape WorkBench can handle calculations that produce multi-dimensional data sets, in this case a volume traded calculation running over different time windows.
All the analytical power of TimeScape’s QL+ query language is available within this new reporting functionality, so the reports can be as custom and detailed as you like, including the integration of your own analytic libraries. For more information contact your Xenomorph account representative or get in touch with us at firstname.lastname@example.org.
Combining elements of all of the above charting and reporting functionality, the new TimeScape QL+ Query Explorer delivers ease of use, analytical power and great data visualization. Figure 9 below shows the Query Explorer. In the Query window, a simple query has been constructed to load the available closing price history for Apple: “Item(‘DEMOXDB’, ‘AAPL’ ).close”. The resulting dataset from running this query is shown in the “Apple Price History” tab in the data window below the query. Coming back to the query window, the user has just added a “.” to the query and the Query Explorer is presenting the available auto-complete options for the query including all of the properties, functions and expressions that have a valid context at that point in the query. It should also be noted that the query is being run with Data Rules set to “On”, and in this case is attempting to use Bloomberg Data then Reuters if no Bloomberg is available, plus a variety of filling, interpolation and proxy data rules.
Looking at a more complex query involving both reference data, static data, market data and custom calculations, Figure 10 below shows a query across a set of US corporate bonds. In addition to the static data, note how the derived time series data from the Yield.VOLATILITY(20) expression has been folded to sit in one cell for each bond (take a look at the last column along row 16, highlighted in black). Clicking on any cell in this column would display a set of yield volatility calculations for the particular bond of interest, and in fact the multi-series chart shown has been generated by selecting three cells containing time series from the last column of rows 14, 15 and 16.
A few further examples, Figure 11 illustrates the Query Explorer running three queries concerned with analysis of Markit credit data, in this case credit spreads and survival probabilities.
Figure 12 below again illustrates and visualizes querying across more complex data, in this case the result set being charted is a time series of volatility surfaces.
The above examples have illustrated the ease of use, analytical power and great data visualization capabilities of the new Query Explorer add-in for the TimeScape WorkBench. If you would like some additional background on the capabilities of TimeScape’s QL+ Query Language and TimeScape’s ability to integrate and centralize spreadsheet-like custom calculations, then take a look at our TimeScape QL+ and SpreadSheet Inside whitepapers.
For further information on this and any of the new features of TimeScape, then please contact your Xenomorph account representative or get in touch with us at email@example.com.