mr-config.properties

File purpose

The mr-config.properties file is used to configure computations.

File values

Section: Context values

Key Value Description
weightedvar.lambda.default.value 0.94 Weighted VaR default lambda parameter.
var.confidence.default.value 99 VaR default confidence percentage.
vae.confidence.default.value 95 VaE default confidence percentage.
es.confidence.default.value 97.5 Expected shortfall default confidence percentage.
shift.percentile.default.value 95 Default percentile of market shifts.
ctx.queries.time.limit.combined 30 Query time limit, in seconds, for the combined query cube, defined by the “queriesTimeLimit” context value.
ctx.queries.time.limit.data 30 Query time limit, in seconds, for the data cubes, defined by the “queriesTimeLimit” context value.
ctx.var.time.period 1.0 Default time horizon scale for the VaR metrics.
ctx.dynamic.bucketing.set DEFAULT Default set of buckets used for the dynamic bucketing.

Section: Vectors

Key Value Description
pnl.vectorsize Spot PnL vector size; Used for setting context value maximum values.
vector.index.interpolation.setting CLOSEST Determines the behavior of post-processors when a quantile does not correspond to a specific index in a vector. Available options are:
- CLOSEST = the nearest index
- UP = the nearest higher index
- DOWN = the nearest lower index
sparse.vectors.enable.for.sensistores TradeSensitivities:Values, TradeSensitivities:FirstOrderLadder, TradeSensitivities:SecondOrderLadder Enable sparse vector compression for the list of columns of kind “store:field”.
sparse.vectors.density-threshold 0.2 Below this density threshold, the space vector implementation will be used for compaction on the selected fields.
cvar.regression.length Length of the regression when calculating Component VaR. By default this property is not set. The size of the underlying PnL vector is used instead.
Must be less than or equal to the length of the loaded PnL vectors.
rounding.var CEIL Rounding method used to find the closest quantile for VaR. The following options are available:
- FLOOR
- CEIL
- ROUND
- ROUND_EVEN
- WEIGHTED
rounding.es ROUND_EVEN Rounding method used to find the closest quantile for ES. The following options are available:
- FLOOR
- CEIL
- ROUND
- ROUND_EVEN
- WEIGHTED
rounding.vae CEIL Rounding method used to find the closest quantile for VaE. The following options are available:
- FLOOR
- CEIL
- ROUND
- ROUND_EVEN
- WEIGHTED
rounding.quantile2Rank EQUAL_WEIGHT How to find the rank in the PNL vector from the quantile:
- EQUAL_WEIGHT: Equally spaced PNLs in ]0%-100%[
- CENTERED: PNL centered on quantile with 1/size steps.

Section: Bucketing

Key Value Description
bucketing.sets.tenors DEFAULT,REDUCED,DECADE The names of the available tenor sets to be selectable in a context value. # Must match inputs in the DynamicTenors files.
bucketing.sets.maturities DEFAULT,REDUCED The names of the available maturity sets to be selectable in a context value. # Must match inputs in the DynamicMaturities files.
bucketing.sets.moneyness DEFAULT,NO_SMILE The names of the available moneyness sets to be selectable in a context value. Must match inputs in the DynamicMoneyness file.
bucketing.days.week 7.0 Number of days to use weeks when converting pillars for bucketing purposes. Used in the buckets level comparator.
bucketing.days.month 30.0 Number of days to use months when converting pillars for bucketing purposes. Used in the buckets level comparator.
bucketing.days.year 360.0 Number of days to use years when converting pillars for bucketing purposes. Used in the buckets level comparator.
numberOfBuckets 100 Maximum number of buckets for PnLDistributionPostProcessor.
marketData.set.default Official EOD Default market data set to use for the calculations.
pnl.default.type Actual PL Attributed Default PnL type for PnL cube.
rounding.default.type CEIL Default rounding method for Tail measure calculations.
quantile.2.rank.default EQUAL_WEIGHT Default quantile type for Tail measure calculations.

Section: Levels for scalar sensitivities

Key Value Description
tenors.fact.levels Delta::Tenor Date@Tenor Dates@Risk;Tenor@Tenors@Risk,Gamma::Tenor Date@Tenor Dates@Risk;Tenor@Tenors@Risk,Vega::Tenor Date@Tenor Dates@Risk;Tenor@Tenors@Risk,Vanna::Tenor Date@Tenor Dates@Risk;Tenor@Tenors@Risk,Volga::Tenor Date@Tenor Dates@Risk;Tenor@Tenors@Risk Defines the source tenor levels to use for scalar sensitivities. The format is Sensitivity::PrimaryLevel;AlternateLevel. The alternate level will be used if the primary level member is N/A.
maturities.fact.levels Vega::Maturity Date@Maturity Dates@Risk;Maturity@Maturities@Risk,Vanna::Maturity Date@Maturity Dates@Risk;Maturity@Maturities@Risk,Volga::Maturity Date@Maturity Dates@Risk;Maturity@Maturities@Risk Defines the source maturity levels to use for scalar sensitivities.
moneyness.fact.levels Vanna::Moneyness@Moneyness@Risk,Volga::Moneyness@Moneyness@Risk,Vega::Moneyness@Moneyness@Risk Defines the source moneyness levels to use for scalar sensitivities.
tenors.fact.levels.labels Delta::Tenor@Tenors@Risk,Gamma::Tenor@Tenors@Risk,Vega::Tenor@Tenors@Risk,Vanna::Tenor@Tenors@Risk,Volga::Tenor@Tenors@Risk
tenors.fact.levels.dates Delta::Tenor Date@Tenor Dates@Risk,Gamma::Tenor Date@Tenor Dates@Risk,Vega::Tenor Date@Tenor Dates@Risk,Vanna::Tenor Date@Tenor Dates@Risk,Volga::Tenor Date@Tenor Dates@Risk
maturities.fact.levels.labels Vega::Maturity@Maturities@Risk,Vanna::Maturity@Maturities@Risk,Volga::Maturity@Maturities@Risk Defines the source levels containing maturity labels.
maturities.fact.levels.dates Vega::Maturity Date@Maturity Dates@Risk,Vanna::Maturity Date@Maturity Dates@Risk,Volga::Maturity Date@Maturity Dates@Risk
moneyness.fact.levels.labels Vanna::Moneyness@Moneyness@Risk,Volga::Moneyness@Moneyness@Risk,Vega::Moneyness@Moneyness@Risk Defines the source levels containing moneyness labels.
moneyness.fact.levels.dates Vanna::,Volga::,Vega:: Defines the source levels containing moneyness dates.

Section: Levels for postprocessors

Properties defining the levels to be used in postprocessor evaluation, following the Level@Hierarchy@Dimension notation.

Key Value Description
tenors.analysis.level Tenor@Tenors@Risk Tenor levels used for vectorized sensitivities, from analysis hierarchies. Examples: 1W, 6M, 5Y
maturities.analysis.level Maturity@Maturities@Risk Maturity levels used for vectorized sensitivities, from analysis hierarchies. Examples: 2022-06-30
moneyness.analysis.level Moneyness@Moneyness@Risk Moneyness levels used for vectorized sensitivities, from analysis hierarchies.
dynamic.tenors.analysis.level Tenor@DynamicTenors@DynamicBucketing Dynamic tenor levels used for vectorized sensitivities, from analysis hierarchies.
dynamic.tenors.hierarchy DynamicTenors@DynamicBucketing Cube hierarchy for dynamic tenors.
dynamic.maturities.hierarchy DynamicMaturities@DynamicBucketing
dynamic.moneyness.hierarchy DynamicMoneyness@DynamicBucketing
daytoday.hierarchy DayToDay@Dates Slicing hierarchy used for day to day figures comparison.
asofdate.level AsOfDate@Date@Dates The as-of date level.
trades.level TradeId@Trades@Booking The trades level.
books.level Book@Books@Booking The book level.
rounding.level MethodName@RoundingMethods@Rounding The rounding level.
quantileRank.level QuantileName@Quantiles@Quantiles The quantile rank level. .
risk.factor.level RiskFactor@Risk Factors@Risk Level containing the risk factor axis.
risk.factor2.level RiskFactor2@Risk Factors secondary@Risk Level description of second risk factor axis (used for Vanna).
delta.currency.level Ccy@Currencies@Currencies Level containing the local currency for the delta sensitivity.
cash.currency.level Ccy@Currencies@Currencies Level containing the local currency for the cash sensitivity.
theta.currency.level Ccy@Currencies@Currencies Level containing the local currency for the theta sensitivity.
vega.currency.level Ccy@Currencies@Currencies Level containing the local currency for the vega sensitivity.
gamma.currency.level Ccy@Currencies@Currencies Level containing the local currency for the gamma sensitivity.
volga.currency.level Ccy@Currencies@Currencies Level containing the local currency for the volga sensitivity.
cross.gamma.currency.level Ccy@Currencies@Currencies Level containing the local currency for the cross-gamma sensitivity.
sensitivity.name.level SensitivityName@Sensitivity@Sensitivities Level containing the sensitivity names.
currency.level Ccy@Currency@Currencies Level containing the local currency on VaR and PnL cubes.
scenario.set.level Scenario Set@Scenario Sets@Risk Level containing the scenario set.
scenario.analysis.level Scenario@Scenarios@Risk Level containing the scenario set analysis hierarchy.
risk.mandate.level Domain1@Risk Mandates 1@Sign-Off Level containing the risk mandate.
risk.class.level RiskClass@Risk Classes@Risk Level containing the risk class.
percentile.level Percentile@Percentile@Risk Level containing the percentile.
sensi.ladder-shifts.level Ladder Shift@Ladder Shifts@Risk Sensitivity level containing the ladder shifts.
sensi.ladder-availability.level Ladder Available@Ladder Availability@Risk Sensitivity level containing the ladder shifts.
trades.var.inclusion.level VaR inclusion type@VaR inclusion type@TradeAttributes Level containing the VaR inclusion.
market.data.set.level MarketDataSet@MarketDataSets@MarketData Level containing the market data set.
trade.maturity.date.level MaturityDate@MaturityDates@TradeAttributes Level containing the maturity date of the trade.
display.currency.level displayCurrency@displayCurrency@Currencies The display currency level name used by the cubes.
start.index.level PnLStartIndex@PnLStartIndex@PnLIndex Level used as the start index to create a sub-pnl vector for ES, VaR, EtG, VaE, and all their variations.
end.index.level PnLEndIndex@PnLEndIndex@PnLIndex Level used as the end index to create a sub-pnl vector for ES, VaR, EtG, VaE, and all their variations.
market.shift.date.level MarketShiftDate@MarketShiftDate@Dates Level containing the date used to select market shifts for Taylor calculations.

Section: Risk classes & confidence levels

Key Value Description
risk.class.members Risk classes are used in order to define specific metrics
confidence.levels 97.5,99 Confidence levels used to define specific measures

Section: Sensitivities

This section lists sensitivities by type. Data present in the Sensitivity Name column of the sensitivities input files are filtered using regular expression defined in these properties.

Key Value Description
sensi.type.delta ^(?i).*(?:delta dividends
sensi.type.cash ^(?i).*(?:cash Cash).*$
sensi.type.vega ^(?i).*vega.*$ Vega sensitivity
sensi.type.gamma ^(?i).*(gamma)(?<!((?:cross x).?gamma)).*$
sensi.type.vanna ^(?i).*vanna.*$ Vanna sensitivity
sensi.type.volga ^(?i).*(?:volga vomma).*$
sensi.type.theta ^(?i).*(?:theta Theta).*$
^(?i).*(?:delta dividends).*$ ^(?i).*(?:delta
sensi.type.cross.gamma ^(?i).*(?:cross x).?gamma.*$

Section: FX risk

Key Value Description
risk.class.member.fx FX Risk class used to compute FX risk

Section: Theta

Key Value Description
theta.default.maturity 2040-01-01 The default maturity date used for theta PnL computation when the maturity provided by the ${trade.maturity.date.level} is emtpy. Format is YYYY-MM-DD.

Section: Taylor VaR

Key Value Description
sensi.interpolateMarketShifts true Flag to enable or disable interpolation of market data.
market.shift.date.specific TODAY=DAY0,YESTERDAY=DAY-1 The specific dates used to fill the MarketShiftDate hierarchy. The first one is the default.

The format is <three characters for date plugin name> + <an integer as a parameter>.
Where the default registered date plugins are:
  • DAY: the business day
  • EOM: end of month
  • EOQ: end of quarter
  • EOY: end of year
For example:
Tomorrow = DAY+1
Previous day = DAY-1
End of month = EOM-1

Section: Weighted measures

Key Value Description
weightedvar.pnl.oldest.first false Flag to set the order sequence of PnL data in the PnL vector

Section: Tenors, maturities and moneyness default values

Key Value Description
tenorAndMaturity.defaultValue N/A Default value for tenors and maturities
moneyness.defaultValue ATM Default value for moneyness