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MRA-specific configuration

Scopes

There are three different scopes in the reference implementation.

Scope Description
Configuration Scope This scope is used for configuration files, including the parameters which are fetched by the parameters API. Data in this scope typically has a “start date” rather than an as-of date. The files in this scope are found in the “configuration” directory. This scope has no parameters.
As-Of Date Scope This scope is for the daily trade-level files. The files in this scope are found in directories whose names match the requested date. This scope is parameterized by as-of date. For example: "scope":{ "AsOfDate": "2018-09-27" }

Topic Aliases

The contains the following topic aliases:

Alias Description
StaticSensiPillars Static pillars for Tenor, Maturity and Moneyness
DynamicSensiPillars Dynamic pillars for Tenor, Maturity and Moneyness
SensiPillars StaticSensiPillars & DynamicSensiPillars
DailySensiConfig The whole configuration for the sensitivities based on an as-of date scope
SensiConfig DailySensiConfig & SensiPillars
Sensitivities Sensitivity metrics
AllSensi Data for one day in the sensitivity cube
ParentChild Parent-child stores, that is, with a tree structure
Attributes Attributes related to the underlying, currency, and scenario
AllConfiguration The entire static configuration
AllAttributes The whole configuration: DailySensiConfig, ParentChild, and Attributes
AllFacts Main data (sensi, var, pnl) for all the cubes
All Everything

Configuration Properties

The following properties can be set in risk.properties:

Property Default Value Description
initial-load.business-dates (null) If set, the set of as-of dates to load at start-up
csvSource.dataset “data” The directory containing the CSV files. The scope directories are immediate subdirectories of this

Initial Load

On startup, the following topic aliases are loaded (without parameters):

  • AllConfiguration

Additionally, a list of as-of dates is determined as follows:

  • If the configuration parameter initial-load.business-dates is set, the as-of dates listed are used. For example, in the risk.properties file:

    initial-load.business-dates=2018-09-28,2018-09-27

  • Otherwise, the top level of the data directory is scanned for directories whose names are dates. These dates are used for the as-of dates in the initial load. (This matches the previous start-up behaviour).

For this set of as-of dates, the following topics are loaded with the “AsOfDate” field set in the scope:

  • AllAttributes

  • AllFacts

Additionally, if there is a next business date available in the data directory, the following stores are loaded for the next day. This is mandatory for the correct calculation of the PNL explain especially in a distributed environment. For instance if initial-load.business-dates=2018-09-27 then 2018-09-28 will be loaded for:

  • MarketData

  • FXRates

REST Service

HTTP POST URL: /risk-activepivot/services/rest/dlc/execute

Body (sample):


{ "operation":"unload",  
"topics":\[  
"ALLSA", "ALLIMADaily"  
\],  
"scope":{  
"AsOfDate":"2018-09-27"  
}
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