You can create roll forward rules with or without enrichments. A rule with no enrichments finds the most recent positions and move them to the current date "as is."
There are two ways you can add Eagle enrichment rules:
- Use the Create Enrichment Rule Wizard. See Create Enrichment Rules.
- Use the Migration Wizard to migrate standard toolkit rules into your environment. See Install Eagle Enrichment Toolkit Rules.
You can create roll forward rules with or without enrichments. A rule with no enrichments finds the most recent positions and move them to the current date "as is."
If you want to apply a custom enrichment, create the detail calculation field first, so it is available when you create the rule. Otherwise, navigate to the field attribute area in the Enrichment module.
Additional Rule Types
Roll Forward Rules
Roll forward rules are optional. They provide a way to normalize position data for portfolios that do not have positions loading to the database on a regular basis. For example, real estate funds might only be revalued on a quarterly basis but reporting happens on a monthly basis. Roll forward can capture the last quarter end positions and roll them to the current month end date.
Roll forward creates positions for the date for which you run the engine. Positions are created under the Eagle Enrichment source. The original accounting data is not altered. Roll forward automatically uses the most recent positions based on the source rule hierarchy (enrichment settings) or source rule override, if applicable.
If a secondary source has data that is newer than the most recent primary source, the secondary source data is used.
Note that custom fields such as Detail Calculations are processed in a special way within roll forward rules. Specifically, holdings based fields always use the values from the original accounting record. However, security data such as price is based on the effective date of the date you are rolling forward to. For example assume the most recent positions are from 12/31/2014 and you are rolling them forward to 1/31/2015. The roll forward rule includes an enrichment with a detail calculation defined as PAR x PRICE (mapped to the market value column). The roll forward process fetches the PAR value from the 12/31/2014 record, multiplies it by the PRICE as of 1/31/2015 then store the result in the market value column on the 1/31/2015 position record for the Eagle Enrichment source.
Roll forward supports custom fields with source specific price fields. This provides a basis for creating estimated valuations using different price sources for different asset classes. You should not include a portfolio in both a standard and roll forward rule, so that one rule does not overwrite the other.
Residual Rules
Residual rules are optional. They interact with any record that is left untouched by all enabled security specific rules for portfolios included in the residual rule.
These rules provide an efficient way to make sure that all previously un-enriched securities receive the same enrichment processing without having to create numerous security specific rules. For example, assume that there are two security specific rules for options and futures to calculate a custom notional value and map to the NOTIONAL_MARKET_VALUE column. If these are the only rules, then only futures and options have a value in that column. Assume that for reporting purposes it is beneficial if ALL securities had a value in that column. You could create a residual rule with no security criteria to map the value from MARKET_VALUE to NOTIONAL_MARKET_VALUE. When the engine runs, it looks at all the positions for the portfolios. All the futures and options are enriched according to the security specific rule. Everything that is not a future or option is picked up by the residual rule.
A portfolio should only be in one residual rule.
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