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
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- 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 limits.html
Limit monitoring
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-data-sets.html
-- MarketDataSets
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-mr-application.html
-
The Market Risk Application
test ../../ test dev/dev-libraries.html
-
Market Risk Libraries
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
MarketData
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).
MarketDataSet
Y
N
String
String defining the market data set
RiskFactor
Y
N
String
[RiskFactor] The internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier
Quote
N
N
Double[]
Vector of market price quotes. It can be a single value, vector, flattened matrix (tenor x maturity) or flattened cube (tenor x maturity x moneyness)
TenorLabels
N
Y
String[]
[Tenor] Tenor labels, such as 3M, 5Y, and so on, if applicable
Maturity
N
Y
String[]
[Maturity] Maturity labels, such as 3M, 5Y, and so on, if applicable
Moneyness
N
Y
String[]
[Moneyness] Moneyness labels, if applicable
TenorDates
N
Y
String[]
[Tenor Dates]
MaturityDates
N
Y
String[]
[Maturity Dates]