Market Risk Accelerator Reference Guide v2.0.0Corporate Action
Download sample file: CorporateAction.csv
This file is intended to describe the corporates actions performed on the market data. It is separated of the market data input file and store to avoid empty fields as those events may occur rarely. It can contain instrument related modification as split / merge, described by the SplitRatio column that will be used as a scale factor for market price correction. It can also contain a cash related even such as dividend payment or bond coupon drop, that is expressed by a cash stream described in the CashDividend column.
File pattern match
The pattern match for the Market Data file is **CorporateAction*.csv*.
For information on the glob patterns used and how to customize them, see note on File name patterns.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates the date of the file. See Note on AsOfDate. | 2018-09-27 |
| RiskFactor | Y | N | String | Identifier of the risk factor. Must match risk factor identifier in the sensitivities files | Honda_Spot price |
| CashDividend | Y | Double | Dividend or Coupon amount paid to the holder this day | 0.25 | |
| SplitRatio | Y | Double | If there’s an underlying instrument split, the quantity ratio between this day and the previous one | 0.25 |