Market Risk Accelerator Reference Guide v2.0.0Market shifts for Taylor VaR
Download sample file: MarketShifts.csv
The file is used to provide market prices for the Taylor VaR calculations.
For the market data shift inputs, labels are only supported for tenors, maturities and moneyness. Dates are not currently supported.
For information on how the labels and dates fields are used for the pillars (tenors and maturities), please see Labels and dates for pillars.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates value date. | 2019-01-01 |
| RiskFactorId | Y | N | String | Identifier of the risk factor. Must match risk factor identifier in the sensitivities files. | USD.OIS |
| ScenarioSet | Y | N | String | String defining the market data set, for example “Trader marks” or “Official EOD” | Official EOD |
| Tenor | N | Y | String | Tenor label, such as 3M, 5Y, and so on, if applicable | 1Y |
| Maturity | N | N | String | Underlying maturity for volatility cubes, if applicable. | 0.5Y |
| Moneyness | N | N | String | Moneyness label, if applicable | ATM |
| Values | N | N | Double array (delimited by semicolons) | Market data shifts to be used by the Taylor VaR calculation (configured in greek-based-pl-formula-rules.properties file). This is always an array. The length of the array corresponds to the number of scenarios used to compute the PnL data from sensitivities. | 1568.2 |