Input file formats

Out of the box, the Market Risk Accelerator will work with a predefined file format, CSV. If you produce your data in this format, you can load and use the Accelerator with no customisations needed. However, you can of course edit and configure the Accelerator to work with any format or file, database source, etc. that Atoti+ is compatible with.

Sample CSV input files are included in the source distribution. These files are loaded during testing of the MR application and provide examples of each of the file types.

Download PDF version of this chapter: Market Risk Accelerator Input File Formats 4.0.0

Overview of Accelerator input files

The input files for the Market Risk Accelerator comprise the following set:

Relevant for	Input file name
Trade attributes	Trade Attributes
VaR / ES calculations	Trade PnLs
	Quantiles2Rank
	Rounding Methods
	VaR-ES Cube
Scenario names	Scenarios
Market data	Corporate Action
	FX Rates
	Market data
	Market shifts for Taylor VaR
	Market data sets
Reference data - Portfolio and hierarchy configuration	Legal Entity Parent Child
	Book Parent Child
	Counterparty Parent Child
Reference data	Counterparties
	Countries
Sensitivities	Cross Sensitivities
	Sensitivities
	Sensitivity Cube
	Risk Factors Catalog
	Ladder Definition
	Static Tenors and Dynamic Tenors
	Static Maturities and Dynamic Maturities
	Static Moneyness and Dynamic Moneyness
PL Actual	Profit & Loss
	Profit & Loss Product Control
	PL Cube
Cube-level Adjustments	Cube Adjustments

File name patterns

The Market Risk Accelerator uses glob patterns with the (*) asterisk wildcard character to identify the relevant file names for each category of input file. So you can add characters before and after the listed names, such as timestamps or ID numbers.

For example, the pattern **/TradePnLs*.csv matches all CSV files with names beginning with the string “TradePnL” in any subdirectory.

In this guide, the file pattern section for each of the input files specifies the glob pattern used. However, the glob prefix is omitted as it is now injected automatically.

You can customize the glob patterns in mr.properties.

Note on AsOfDate

The files in this document that contain an AsOfDate column will rely on that AsOfDate when loaded into the ActivePivot datastores. For the files that do not specify this column (whether described in this document or not), the AsOfDate is taken from the directory structure – these files should reside in the appropriate folder (usually ./data/20xx-yy-zz/ … /*.csv).

Key and optional fields

For each input file, the key and optional fields are indicated in the Key and Null columns respectively.

Labels and dates for pillars

For the pillar information (Tenors and Maturities), both a label and and date field are available, to allow any combination of source data:

• Pillars as labels, with no equivalent dates available in the source system

• Pillars as dates, with no equivalent labels available in the source system

• Pillars as both labels and dates

The dynamic re-bucketing converts the pillar information into a number of days, this is the basis on which the destination bucket is calculated. The primary cube level upon which this conversion is performed can be configured. The Accelerator will attempt to use the configured converter to transform the value of the primary level into a number of days, only using the secondary level if the primary has no value.

To allow the slicing and dicing of input data on source pillars, both fields are selected as levels in the cube.

Examples

Source Label	Source Date	Configured Primary Level	As Of Date	Converted Number Of Days	Destination Buckets (M=30)
2M	-	Dates	2019-09-05	60	2M
2M	-	Labels	2019-09-05	60	2M
-	2019-11-05	Dates	2019-09-05	61	2M & 3M
-	2019-11-05	Labels	2019-09-05	61	2M & 3M
2M	2019-11-05	Dates	2019-09-05	61	2M & 3M
2M	2019-11-05	Labels	2019-09-05	60	2M