Market data
Download sample file: MarketData.csv
The file is used to provide market prices for the greek-based PL calculations.
This Market data file type is identified using the pattern: **MarketData*.csv (as specified by marketDataFilePattern).
This file is loaded using the MarketData topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
For information on the glob patterns used and how to customize them, see note on File name patterns
For information on how the labels and dates fields are used for the pillars (tenors and maturities), please see Labels and dates for pillars.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates value date | 2019-01-01 |
| MarketDataSet | Y | N | String | String defining the market data set, for example “Trader marks” or “Official EOD” | Official EOD |
| RiskFactorId | Y | N | String | Identifier of the risk factor. Must match risk factor identifier in the sensitivities files | USD.OIS |
| Quote | Double or list of doubles (delimited by semicolons) | Market data quote(s) to be used by the greek-based calculation (configured in greek-based-pl-formula-rules.properties file). For example, stock price, swap rates or implied rates, implied volatility levels. Can be a single value or list of values: Single value for a sensitivity without tenor/moneyness/underlying swap structure. List of values, corresponding to different tenors, swap maturities, moneyness for a sensitivity with corresponding axes. For example, a sensitivity to four tenors and two underlying swap instruments will be published as a list of eight values, the first four corresponding to different tenors and the first underlying maturity and the second four corresponding to tenors and the second underlying maturity. Must correspond to sensitivities to the same risk factor. |
1568.2 ;4568.2 ;16.2 ;2453.1 | ||
| TenorLabels | N | Y | Array (delimited by semicolons) | List of tenor labels, such as 3M, 5Y, and so on, if applicable. | 1Y;3Y;5Y;10Y |
| MaturityLabels | N | Y | Array (delimited by semicolons) | List of underlying maturities for volatility cubes, if applicable. | 0.5Y;1Y;3Y;5Y;10Y |
| MoneynessLabels | N | N | Array (delimited by semicolons) | List of moneyness labels, if applicable | 45p;ATM;45c |
| TenorDates | N | N | Array (delimited by semicolons) | List of explicit tenor dates, which are used to sort tenors and to re-bucket sensitivities (if supported) | 2019-03-16; 2019-04-27; 2019-10-27; 2020-10-27 |
| MaturityDates | N | N | Array (delimited by semicolons) | List of explicit maturity dates, which are used to sort tenors and to re-bucket sensitivities (if supported) | 2019-03-16; 2019-04-27; 2019-10-27; 2020-10-27 |
| Nominal | N | N | Double | Nominal value of this risk factor if applicable. For further explanation, see Market Data Retrieval Service |