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 | 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. |