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MRA-specific configuration

Scopes

The scope describes which data is loaded and unloaded.

Each request to the Data Load Controller contains a scope. In the reference implementation, the as-of date scope is turned into a directory and all the files in that directory are loaded. When unloading data, the scope is turned into a RemoveWhere clause to be run on the datastore.

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.
Historical Scope This scope is used for historical summary data. This data is not at the trade level and does not include recent dates. Instead it is at the aggregate level (for example, book and legal entity) and contains a long history.
The files in this scope are found in the “historical” 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

Each input file is loaded with a topic (see Input file formats). Topic aliases are used to group those topics.

The Market Risk Accelerator contains the following topic aliases:

Alias Description Topic
StaticSensiPillars Static pillars for Tenor, Maturity and Moneyness Tenors, Maturities, Moneyness
DynamicSensiPillars Dynamic pillars for Tenor, Maturity and Moneyness DynamicTenors, DynamicMaturities, DynamicMoneyness
SensiPillars StaticSensiPillars & DynamicSensiPillars StaticSensiPillars, DynamicSensiPillars
DailySensiConfig The whole configuration for the sensitivities based on an as-of date scope RiskFactorsCatalogue, MarketData, SensiLadders, MarketDataSets, CorporateAction
SensiConfig DailySensiConfig & SensiPillars DailySensiConfig, SensiPillars
Sensitivities Sensitivity metrics Delta, Gamma, Vega, Volga, Theta, Cash, Vanna, Correlation, CrossGamma
AllSensi Data for one day in the sensitivity cube DailySensiConfig, Sensitivities
ParentChild Parent-child stores, that is, with a tree structure BookParentChild, LegalEntityParentChild, CounterpartyParentChild, Counterparties
Attributes Attributes related to the underlying, currency, and scenario TradeAttributes, FXRates, Scenarios, Countries, MarketShifts, SignOffDigestStore
AllConfiguration The entire static configuration RoundingMethods, Quantiles, SensiPillars
AllAttributes The whole configuration: DailySensiConfig, ParentChild, and Attributes DailySensiConfig, ParentChild, Attributes
AllFacts Main data (sensi, var, pnl) for all the cubes TradePnLs, PnL, AllSensi, BaseStore, PnLBaseStore, SensiBaseStore
All Everything AllAttributes, AllFacts

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 behavior).

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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