Navigation :
test ../../ test user-ref.html
User & Reference Guide
test ../../ test getting-started.html
Getting started
test ../../ test getting-started/about.html
- Using this guide
test ../../ test getting-started/whats-new.html
- What's New
test ../../ test getting-started/data-model.html
- Market Risk Data Model
test ../../ test dashboards.html
Dashboards
test ../../ test what-if.html
What-If Analysis
test ../../ test sign-off.html
Sign-Off Approvals
test ../../ test calculations.html
Calculations Guide
test ../../ test configuration.html
Configuration files
test ../../ test cube.html
Cube Reference
test ../../ test datastore.html
Datastores
test ../../ test datastore/signoffdigest.html
- SignOffDigest
test ../../ test datastore/pnl.html
-
PnL
test ../../ test datastore/sensitivities.html
-
Sensitivities
test ../../ test datastore/sensitivities/trade-sensitivities.html
-- TradeSensitivities
test ../../ test datastore/sensitivities/market-data.html
-- MarketData
test ../../ test datastore/sensitivities/market-shift.html
-- MarketShifts
test ../../ test datastore/sensitivities/riskfactors-catalog.html
-- RiskFactorsCatalog
test ../../ test datastore/sensitivities/sensi-ladders.html
-- SensiLadders
test ../../ test datastore/sensitivities/tenors-maturities-moneyness.html
-- Tenors, Maturities, Moneyness
test ../../ test datastore/sensitivities/dynamic-ten-mat-mon.html
-- DynamicTenors, DynamicMaturities, DynamicMoneyness
test ../../ test datastore/sensitivities/corporate-action.html
-- CorporateAction
test ../../ test datastore/vares.html
-
VaR-ES datastore definitions
test ../../ test input-files.html
Input file formats
test ../../ test dev.html
Developer Guide
test ../../ test dev/dev-release.html
-
Release and migration notes
test ../../ test dev/dev-getting-started.html
-
Getting Started
test ../../ test dev/dev-ref-impl.html
-
Market Risk Accelerator Reference Implementation
test ../../ test dev/dev-core.html
-
MRA Core
test ../../ test dev/dev-extensions.html
-
Extending the Accelerator
test ../../ test dev/dev-tools.html
-
Configuring Accelerator tools and methodologies
test ../../ test dev/dev-sign-off.html
-
Sign-Off
test ../../ test dev/dev-whatif.html
-
What-If
test ../../ test pdf-guides.html
PDF Guides
test ../../ test extensibility.html
Extensibility
test ../../ test misc.html
Misc
RiskFactorsCatalog
Store Field
Key
CanBeNull
Type
Cube Field
Description
AsOfDate
Y
N
Object
[AsOfDate]
Indicates the date of the file.
The files in this document that contain an AsOfDate column will rely on that AsOfDate when loaded into the ActivePivot datastores. For the files that do not specify this column (whether described in this document or not), the AsOfDate is taken from the directory structure – these files should reside in the appropriate folder (usually ./data/20xx-yy-zz/ … /*.csv).
RiskFactorId
Y
N
String
[RiskFactor]
The internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier
RiskClass
N
N
String
[RiskClass]
The risk factor’s asset class:Interest rate Credit spread Foreign exchange Equity Commodity Hybrid
Bucket
N
N
String
not used in cube
Placeholder.
Qualifier
N
N
String
[Qualifier]
The identifier of a risk factor’s set. Example: Reference instrument identifier, curve identifier, vol surface identifier, etc.
RiskFactorType
N
N
String
[RiskFactorType]
The type of underlying risk factor. Example: “implied rate”, “repo margin”, “currency pair”, “skew parameter”, “correlation parameter”, “recovery rate”
RiskFactorCcy
N
N
String
[RiskFactorCcy]
The three-letter ISO currency code that represents the currency of the risk factor. For example, EUR.