This file provides FX spot rates used in IMA ES scenarios.
This IMA ES Scenario FX Rates file type is identified using the pattern: **/IMA_ES_ScenarioFX*.csv (as specified by ima.es.scenario-fx.file-pattern).
This file is loaded using the EsScenarioFxRates topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
FXHistorical Topic
The EsScenarioFxHistorical topic has the same file format as IMA_ES_ScenarioFX.csv. The difference is the file location.
When loading the EsScenarioFxRates topic, the as-of date is provided in the scope and the file will be loaded from the corresponding directory.
When loading the EsScenarioFxHistorical topic, no as-of date is provided in the scope and all IMA_ES_ScenarioFX.csv files from the historical directory are loaded.
FxRate Lookup
The $FxRate$ for converting the input currency value into the target currency value is obtained based on the data in the EsScenarioFxRates store.
Similar to the scalar base FX rates, a common currency is used to calculate cross rates.
Field
Key
Null
FieldType
Description
Example
DataSet
Y
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
N
String
The risk class, which will be one of the following:
GIRR
CSR
Equity
Commodity
FX
allin
LiquidityHorizon
Y
Y
String
The Liquidity Horizon in days: 10, 20, 40, 60, or 120.
BaseCurrency
Y
N
String
The left side of the currency pair.
CounterCurrency
Y
N
String
The right side of the currency pair
Rates
N
N
Double Vector
The vector of FX rates between the two currencies. The vector is index by the same scenarios as the corresponding IMA ES PV vector.