The EsScenarioFxRates store contains all the FX Rates. It is an isolated store and not part of any cube facts.
The store is indexed by DataSet, RiskClass, LiquidityHorizon, BaseCcy, CounterCcy, and AsOfDate.
Vectors of scenario FX Rates are looked up via the IScenarioFXRates API by all these fields.
Store Field
Key
CanBeNull
Type
Description
DataSet
Y
String
The data set to which the entry belongs. The following different values are possible:
“Full Set Current”: data for the last 12 months
“Reduced Set Stressed”: data with the reduced set of risk factors for the 12-month stress period
“Reduced Set Current”: data with the reduced set of risk factors for the last 12 months
RiskClass
Y
String
The risk class, which will be one of the following:
GIRR
CSR
Equity
Commodity
FX
allin
LiquidityHorizon
Y
String
The Liquidity Horizon in days: 10, 20, 40, 60 or 120
BaseCcy
Y
String
The left side of the currency pair
CounterCcy
Y
String
The right side of the currency pair
FxRates
Double Vector
The vector of FX rates between the two currencies. The vector is indexed by the same scenarios as the corresponding IMA ES PV vector.