Supported sign-off adjustments in MRA

This page details the adjustment types available in the Market Risk Accelerator, together with details of the execution workflow.

Adjustment types

Multiple adjustment types are available out of the box in the Market Risk Accelerator.

Cube	Adjustment type	Description	Input value type	Base value type
Sensitivity Cube	Add-on	Time-bucket indexed (tenors, maturities and moneyness, where applicable) add-on value. Results in a single new row per adjustment.	Scalar (with extra input required for vectorised base values)	Scalar or vectorised, depending on the enabled Spring profile
	Scaling	Time-bucket indexed (tenors, maturities and moneyness, where applicable) scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.	Scalar (with extra input required for vectorised base values)	Scalar or vectorised, depending on the enabled Spring profile
	Override	Time-bucket indexed (tenors, maturities and moneyness, where applicable) override of the base value. Results in two rows, for the inversion of the base value and the new value.	Scalar (with extra input required for vectorised base values)	Scalar or vectorised, depending on the enabled Spring profile
	Roll-over	Performed for a desk, a book or a trade. Results in inversions of all the rows matching the current as-of date, and new rows for all the matches on the previous as-of date.	Date	Scalar or vectorised
	Cube		Performed for a desk, a book or a trade.	Date, Currency, Value
PLCube	Add-on value. Results in a single new row per adjustment.	Add-on	Scalar	Scalar
	Scaling	Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.	Scalar	Scalar
	Override	Override of the base value. Results in two rows, for the inversion of the base value and the new value.	Scalar	Scalar
	Roll-over	Performed for a desk, a book or a trade. Results in inversions of all the rows matching the current as-of date, and new rows for all the matches on the previous as-of date.	Date	Scalar
	Cube		Performed for a desk, a book or a trade.	Date, Currency, Value
VaR-ES Cube	Roll-over	Performed for a desk, a book or a trade. Results in inversions of all the rows matching the current as-of date, and new rows for all the matches on the previous as-of date.	Date	Vectorised
	Cube		Performed for a desk, a book or a trade.	Date, Currency, Value

Execution details

Functional workflow

Executing an adjustment should conform to the following steps:

Step	Details
Retrieve supported adjustments from the appropriate REST endpoint	The adjustment requests need to conform to the specification returned by the supported adjustments service, but once the requests are created, this step isn’t necessary.
Initiate the sign-off task	The status of of the sign-off process for the filters defined in the association sign-off task is set to ‘INITIATED’.
Request adjustment.	Adjustment requests will be executed asynchronously on the sign-off snapshot. There is no limit to the number of adjustments that can be requested for a snapshot.
Approve the sign-off task	The status of of the sign-off process for the filters defined in the association sign-off task is set to ‘APPROVED’.
Retrieve the status of an adjustment execution	As adjustments are executed asynchronously, a service is provided for retrieving the status of a given adjustment execution. Any errors in the execution of an adjustment will result in a FAILED status being returned by the status service.