Supported what-if operations in MRA

This page details the what-if operations available in the Market Risk Accelerator, together with details of the execution workflow.

What-if operations

Multiple operations are available out of the box in the Market Risk Accelerator.

Cube Operation Description Input value type Base value type
Sensitivity Cube Delta Add-on Trade ID and optionally risk factor-indexed delta add-on value indexed by risk-factor. Scalar Scalar or vectorized, depending on the enabled Spring profile
Delta Scaling Trade ID and optionally risk factor-indexed delta scaling of the base value. Scalar Scalar or vectorized, depending on the enabled Spring profile
Delta Roll-over Performed for a trade, and optionally for a risk factor ID. Date Scalar or vectorized
Delta Book Scaling Performed for a book, and optionally for a risk factor ID. Scalar Scalar or vectorized
Delta Book Add-on Performed for a book, and optionally for a risk factor ID. Scalar Scalar or vectorized
VaR-ES Cube Roll-over Performed for a trade, and optionally for a risk factor ID. Date Vectorized
Book Scaling Trade ID and optionally risk factor-indexed delta scaling of the base value. Scalar Scalar or vectorized, depending on the enabled Spring profile
Trade Add-on Performed for a trade, and optionally for a risk factor ID. Scalar Vectorized
Trade Scaling Performed for a trade, and optionally for a risk factor ID. Scalar Vectorized
Scenario Scaling Performed for a trade, a scenario, and optionally for a risk factor ID. Scalar, String Vectorized
Scenario Add-on Performed for a trade, a scenario, and optionally for a risk factor ID. Scalar, String Vectorized
Book Add-on Performed for a book, and optionally for a risk factor ID. Scalar Vectorized
Book Scaling Performed for a book, and optionally for a risk factor ID. Scalar Vectorized

Execution details

Functional workflow

Executing an operation must conform to the following steps:

Step Details
Retrieve supported what-if operations from the appropriate REST endpoint The what-if operations requests must conform to the specification returned by the supported what-if operations service. However, once the requests are created, this step is not necessary.
Request what-if operation. What-if requests will be executed synchronously on the target branch.
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