Creating dynamic maturities

In the Market Risk Accelerator the Dynamic Bucketing feature allows sensitivities to be re-bucketed according to predefined bucket structures. These bucket structures are defined using the following files:

File Location (contains the properties that correspond to each type of data) -starter
DynamicTenors.csv, DynamicMaturities.csv, DynamicMoneyness.csv -starter

Points to note

For the Tenors and Maturities, the number of days is taken into account for each tenor/maturity. For Moneyness, the shift from the strike price is taken into account for each moneyness label (see step-by-step procedure below).

Step-by-step procedure

  1. In the file, select the property that corresponds to the type of data that you want to update: bucketing.sets.tenors, bucketing.sets.maturities or bucketing.sets.moneyness.

  2. Add the name of the bucket structure that you want to create in the relevant property, e.g.: bucketing.sets.tenors = DEFAULT,REDUCED,DECADE,CUSTOM_BUCKET_STRUCTURE

  3. In the relevant csv file DynamicTenors.csv, DynamicMaturities.csv or DynamicMoneyness.csv, add the entries that correspond to your new bucket structure.

Note on values

Field Value
TenorSet Defines the bucket structure. The value must be the same as the one defined in the file in step 1. and will be used in the DynamicTenorSet, the DynamicMaturitySet or the DynamicMoneyness context value, depending on the name of the file you modified (DynamicTenors.csv, DynamicMaturities.csv or DynamicMoneyness.csv respectively).
NumberOfDays (or Shift in the case of moneyness) Specifies the number of days (or the percentage from the strike price in the case of moneyness) that is used to perform a linear interpolation between tenors.
SensitivityName If no value is specified, the bucket structure can be applied to all sensitivities.