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 |
---|---|
mr-config.properties (contains the properties that correspond to each type of data) | mr-application\src\main\resources |
DynamicTenors.csv, DynamicMaturities.csv, DynamicMoneyness.csv | mr-application\src\test\resources\data |
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
-
In the file mr-config.properties, select the property that corresponds to the type of data that you want to update:
bucketing.sets.tenors
,bucketing.sets.maturities
orbucketing.sets.moneyness
. -
Add the name of the bucket structure that you want to create in the relevant property, for example:
bucketing.sets.tenors
= DEFAULT,REDUCED,DECADE,CUSTOM_BUCKET_STRUCTURE
-
In the relevant csv file DynamicTenors.csv, DynamicMaturities.csv or DynamicMoneyness.csv, add the entries that correspond to your new bucket structure.
Example:
TenorLabels,NumberOfDays,SensitivityName,TenorSet
10Y,3600,Delta,CUSTOM_BUCKET_STRUCTURE
20Y,7200,Delta,CUSTOM_BUCKET_STRUCTURE
Note on values
Field | Value |
---|---|
TenorSet |
Defines the bucket structure. The value must be the same as the one defined in the mr-config.properties file in step 1. and will be used in the [DynamicBucketing].[DynamicTenors], the [DynamicBucketing].[DynamicMaturities] or the [DynamicBucketing].[DynamicMoneyness] analysis hierarchy, 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. |