MarketShifts
Store Field | Key | CanBeNull | Type | Cube Field | Description |
---|---|---|---|---|---|
AsOfDate | Y | N | Object | [AsOfDate] | Indicates the date of the file. The files in this document that contain an AsOfDate column will rely on that AsOfDate when loaded into the ActivePivot datastores. For the files that do not specify this column (whether described in this document or not), the AsOfDate is taken from the directory structure – these files should reside in the appropriate folder (usually ./data/20xx-yy-zz/ … /*.csv). |
RiskFactorId | Y | N | String | [RiskFactor] | The internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier |
ScenarioSet | Y | N | String | [Scenario Set] | Name of the set of scenarios. Example: “Historical”, “Stress” |
Tenor | Y | Y | String | [Tenor] | Tenor label, such as 3M, 5Y, and so on, if applicable |
Maturity | Y | Y | String | [Maturity] | Maturity label, such as 3M, 5Y, and so on, if applicable |
Moneyness | Y | Y | String | [Moneyness] | Moneyness label, if applicable |
Values | N | N | Double[] | A list of semi-column separated shifts ordered by scenario name. |