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MR-specific configuration

Scopes

The scope describes which data is loaded and unloaded.

Each request to the Data Load Controller contains a scope. In the default 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 default 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 mr.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 mr.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: /mr-application/services/rest/dlc/execute

Body (sample):


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