Supported what-if operations in MRA
This page details the What-if operations available in the Market Risk Accelerator, together with details of the execution workflow.
What-if operations
Multiple operations are available out of the box in the Market Risk Accelerator.
Cube | Operation | Description | Input value type | Base value type |
---|---|---|---|---|
Sensitivity Cube | Delta Add-on | Trade ID and optionally risk factor-indexed delta add-on value indexed by risk-factor. | Scalar | Scalar or vectorized, depending on the enabled Spring profile |
Delta Scaling | Trade ID and optionally risk factor-indexed delta scaling of the base value. | Scalar | Scalar or vectorized, depending on the enabled Spring profile | |
Delta Roll-over | Performed for a trade, and optionally for a risk factor ID. | Date | Scalar or vectorized | |
Delta Book Scaling | Performed for a book, and optionally for a risk factor ID. | Scalar | Scalar or vectorized | |
Delta Book Add-on | Performed for a book, and optionally for a risk factor ID. | Scalar | Scalar or vectorized | |
VaR-ES Cube | Roll-over | Performed for a trade, and optionally for a risk factor ID. | Date | Vectorized |
Book Scaling | Trade ID and optionally risk factor-indexed delta scaling of the base value. | Scalar | Scalar or vectorized, depending on the enabled Spring profile | |
Trade Add-on | Performed for a trade, and optionally for a risk factor ID. | Scalar | Vectorized | |
Trade Scaling | Performed for a trade, and optionally for a risk factor ID. | Scalar | Vectorized | |
Scenario Scaling | Performed for a trade, a scenario, and optionally for a risk factor ID. | Scalar, String | Vectorized | |
Scenario Add-on | Performed for a trade, a scenario, and optionally for a risk factor ID. | Scalar, String | Vectorized | |
Book Add-on | Performed for a book, and optionally for a risk factor ID. | Scalar | Vectorized | |
Book Scaling | Performed for a book, and optionally for a risk factor ID. | Scalar | Vectorized |
Execution details
Functional workflow
Executing an operation must conform to the following steps:
Step | Details |
---|---|
Retrieve supported what-if operations from the appropriate REST endpoint | What-if operations requests must conform to the specification returned by the supported What-if operations service. However, once the requests are created, this step is not necessary. |
Request what-if operation. | What-if requests will be executed synchronously on the target branch. |