FX rates
Download sample file: FXRates.csv
Exchange rates used for currency conversion
This FX rates file type is identified using the pattern: **FXRates*.csv (as specified by fxRatesFilePattern).
This file is loaded using the FXRates topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
For information on the glob patterns used and how to customize them, see note on File name patterns
The Market Risk Accelerator uses the rates defined by the MarketDataSets analysis hierarchy to perform currency conversion, based on the reporting currency you set and the native currencies (from underlying/contributing facts, for a given query scope) defined as follows:
| Cube | Level |
|---|---|
| VaR | Ccy |
| Sensitivities | DeltaCcy (for Delta), GammaCcy (for Gamma) |
The FxRate for converting the native currency value into the reference currency value is obtained from the data in the FX Rates data store in the following lookup sequence.
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Direct: In most cases, the algorithm simply looks up the rate based on these key fields: AsOfDate, BaseCcy, CounterCcy. Initially the algorithm will search for the rate that will have AsOfDate, NativeCurrency, ReferenceCurrency in the key fields.
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Indirect: If the rate was not found, the algorithm searches for the rate by AsOfDate, ReferenceCurrency, NativeCurrency and takes the reciprocal of the rate if found.
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FXCrosses: If the rate is still not found at this stage, the algorithm computes the rate using the FX crosses via the “CommonCcy” configured in the fx-rates.common-currency in the risk.properties. For example, you need JPY/EUR for conversion and both JPY/USD and EUR/USD were provided.
For more information, see FX Calculation theory
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates the date of the file. See Note on AsOfDate. | |
| MarketDataSet | Y | N | String | String defining the market data set | ‘Official EOD’ or ‘Stressed’ |
| BaseCcy | Y | N | String | The left side of the currency pair. | |
| CounterCcy | Y | N | String | The right side of the currency pair. | |
| Term | Y | N | String | The term of the rate. | “Spot” or “3M” |
| Rate | N | N | Double | Forex rate between the two currencies. | |
| RiskFactorId (optional field) | N | Y | String | Risk factor id used to compute FX risk | “JPY_FX Equivalent” |