mr-config.properties
File purpose
The mr-config.properties file is used to configure computations.
File values
Section: Context values
| Key | Value | Description |
|---|---|---|
| weightedvar.lambda.default.value | 0.94 | Weighted VaR default lambda parameter. |
| var.confidence.default.value | 99 | VaR default confidence percentage. |
| vae.confidence.default.value | 95 | VaE default confidence percentage. |
| es.confidence.default.value | 97.5 | Expected shortfall default confidence percentage. |
| shift.percentile.default.value | 95 | Default percentile of market shifts. |
| ctx.queries.time.limit.combined | 30 | Query time limit, in seconds, for the combined query cube, defined by the “queriesTimeLimit” context value. |
| ctx.queries.time.limit.data | 30 | Query time limit, in seconds, for the data cubes, defined by the “queriesTimeLimit” context value. |
| ctx.var.time.period | 1.0 | Default time horizon scale for the VaR metrics. |
| ctx.dynamic.bucketing.set | DEFAULT | Default set of buckets used for the dynamic bucketing. |
Section: Vectors
| Key | Value | Description |
|---|---|---|
| pnl.vectorsize | Spot | PnL vector size; Used for setting context value maximum values. |
| vector.index.interpolation.setting | CLOSEST | Determines the behavior of post-processors when a quantile does not correspond to a specific index in a vector. Available options are: - CLOSEST = the nearest index - UP = the nearest higher index - DOWN = the nearest lower index |
| sparse.vectors.enable.for.sensistores | TradeSensitivities:Values, TradeSensitivities:FirstOrderLadder, TradeSensitivities:SecondOrderLadder | Enable sparse vector compression for the list of columns of kind “store:field”. |
| sparse.vectors.density-threshold | 0.2 | Below this density threshold, the space vector implementation will be used for compaction on the selected fields. |
| cvar.regression.length | Length of the regression when calculating Component VaR. By default this property is not set. The size of the underlying PnL vector is used instead. Must be less than or equal to the length of the loaded PnL vectors. |
|
| rounding.var | CEIL | Rounding method used to find the closest quantile for VaR. The following options are available: - FLOOR - CEIL - ROUND - ROUND_EVEN - WEIGHTED |
| rounding.es | ROUND_EVEN | Rounding method used to find the closest quantile for ES. The following options are available: - FLOOR - CEIL - ROUND - ROUND_EVEN - WEIGHTED |
| rounding.vae | CEIL | Rounding method used to find the closest quantile for VaE. The following options are available: - FLOOR - CEIL - ROUND - ROUND_EVEN - WEIGHTED |
| rounding.quantile2Rank | EQUAL_WEIGHT | How to find the rank in the PNL vector from the quantile: - EQUAL_WEIGHT: Equally spaced PNLs in ]0%-100%[ - CENTERED: PNL centered on quantile with 1/size steps. |
Section: Bucketing
| Key | Value | Description |
|---|---|---|
| bucketing.sets.tenors | DEFAULT,REDUCED,DECADE | The names of the available tenor sets to be selectable in a context value. # Must match inputs in the DynamicTenors files. |
| bucketing.sets.maturities | DEFAULT,REDUCED | The names of the available maturity sets to be selectable in a context value. # Must match inputs in the DynamicMaturities files. |
| bucketing.sets.moneyness | DEFAULT,NO_SMILE | The names of the available moneyness sets to be selectable in a context value. Must match inputs in the DynamicMoneyness file. |
| bucketing.days.week | 7.0 | Number of days to use weeks when converting pillars for bucketing purposes. Used in the buckets level comparator. |
| bucketing.days.month | 30.0 | Number of days to use months when converting pillars for bucketing purposes. Used in the buckets level comparator. |
| bucketing.days.year | 360.0 | Number of days to use years when converting pillars for bucketing purposes. Used in the buckets level comparator. |
| numberOfBuckets | 100 | Maximum number of buckets for PnLDistributionPostProcessor. |
| marketData.set.default | Official EOD | Default market data set to use for the calculations. |
| pnl.default.type | Actual PL Attributed | Default PnL type for PnL cube. |
| rounding.default.type | CEIL | Default rounding method for Tail measure calculations. |
| quantile.2.rank.default | EQUAL_WEIGHT | Default quantile type for Tail measure calculations. |
Section: Levels for scalar sensitivities
| Key | Value | Description |
|---|---|---|
| tenors.fact.levels | Delta::Tenor Date@Tenor Dates@Risk;Tenor@Tenors@Risk,Gamma::Tenor Date@Tenor Dates@Risk;Tenor@Tenors@Risk,Vega::Tenor Date@Tenor Dates@Risk;Tenor@Tenors@Risk,Vanna::Tenor Date@Tenor Dates@Risk;Tenor@Tenors@Risk,Volga::Tenor Date@Tenor Dates@Risk;Tenor@Tenors@Risk | Defines the source tenor levels to use for scalar sensitivities. The format is Sensitivity::PrimaryLevel;AlternateLevel. The alternate level will be used if the primary level member is N/A. |
| maturities.fact.levels | Vega::Maturity Date@Maturity Dates@Risk;Maturity@Maturities@Risk,Vanna::Maturity Date@Maturity Dates@Risk;Maturity@Maturities@Risk,Volga::Maturity Date@Maturity Dates@Risk;Maturity@Maturities@Risk | Defines the source maturity levels to use for scalar sensitivities. |
| moneyness.fact.levels | Vanna::Moneyness@Moneyness@Risk,Volga::Moneyness@Moneyness@Risk,Vega::Moneyness@Moneyness@Risk | Defines the source moneyness levels to use for scalar sensitivities. |
| tenors.fact.levels.labels | Delta::Tenor@Tenors@Risk,Gamma::Tenor@Tenors@Risk,Vega::Tenor@Tenors@Risk,Vanna::Tenor@Tenors@Risk,Volga::Tenor@Tenors@Risk | |
| tenors.fact.levels.dates | Delta::Tenor Date@Tenor Dates@Risk,Gamma::Tenor Date@Tenor Dates@Risk,Vega::Tenor Date@Tenor Dates@Risk,Vanna::Tenor Date@Tenor Dates@Risk,Volga::Tenor Date@Tenor Dates@Risk | |
| maturities.fact.levels.labels | Vega::Maturity@Maturities@Risk,Vanna::Maturity@Maturities@Risk,Volga::Maturity@Maturities@Risk | Defines the source levels containing maturity labels. |
| maturities.fact.levels.dates | Vega::Maturity Date@Maturity Dates@Risk,Vanna::Maturity Date@Maturity Dates@Risk,Volga::Maturity Date@Maturity Dates@Risk | |
| moneyness.fact.levels.labels | Vanna::Moneyness@Moneyness@Risk,Volga::Moneyness@Moneyness@Risk,Vega::Moneyness@Moneyness@Risk | Defines the source levels containing moneyness labels. |
| moneyness.fact.levels.dates | Vanna::,Volga::,Vega:: | Defines the source levels containing moneyness dates. |
Section: Levels for postprocessors
Properties defining the levels to be used in postprocessor evaluation, following the Level@Hierarchy@Dimension notation.
| Key | Value | Description |
|---|---|---|
| tenors.analysis.level | Tenor@Tenors@Risk | Tenor levels used for vectorized sensitivities, from analysis hierarchies. Examples: 1W, 6M, 5Y |
| maturities.analysis.level | Maturity@Maturities@Risk | Maturity levels used for vectorized sensitivities, from analysis hierarchies. Examples: 2022-06-30 |
| moneyness.analysis.level | Moneyness@Moneyness@Risk | Moneyness levels used for vectorized sensitivities, from analysis hierarchies. |
| dynamic.tenors.analysis.level | Tenor@DynamicTenors@DynamicBucketing | Dynamic tenor levels used for vectorized sensitivities, from analysis hierarchies. |
| dynamic.tenors.hierarchy | DynamicTenors@DynamicBucketing | Cube hierarchy for dynamic tenors. |
| dynamic.maturities.hierarchy | DynamicMaturities@DynamicBucketing | |
| dynamic.moneyness.hierarchy | DynamicMoneyness@DynamicBucketing | |
| daytoday.hierarchy | DayToDay@Dates | Slicing hierarchy used for day to day figures comparison. |
| asofdate.level | AsOfDate@Date@Dates | The as-of date level. |
| trades.level | TradeId@Trades@Booking | The trades level. |
| books.level | Book@Books@Booking | The book level. |
| rounding.level | MethodName@RoundingMethods@Rounding | The rounding level. |
| quantileRank.level | QuantileName@Quantiles@Quantiles | The quantile rank level. . |
| risk.factor.level | RiskFactor@Risk Factors@Risk | Level containing the risk factor axis. |
| risk.factor2.level | RiskFactor2@Risk Factors secondary@Risk | Level description of second risk factor axis (used for Vanna). |
| delta.currency.level | Ccy@Currencies@Currencies | Level containing the local currency for the delta sensitivity. |
| cash.currency.level | Ccy@Currencies@Currencies | Level containing the local currency for the cash sensitivity. |
| theta.currency.level | Ccy@Currencies@Currencies | Level containing the local currency for the theta sensitivity. |
| vega.currency.level | Ccy@Currencies@Currencies | Level containing the local currency for the vega sensitivity. |
| gamma.currency.level | Ccy@Currencies@Currencies | Level containing the local currency for the gamma sensitivity. |
| volga.currency.level | Ccy@Currencies@Currencies | Level containing the local currency for the volga sensitivity. |
| cross.gamma.currency.level | Ccy@Currencies@Currencies | Level containing the local currency for the cross-gamma sensitivity. |
| sensitivity.name.level | SensitivityName@Sensitivity@Sensitivities | Level containing the sensitivity names. |
| currency.level | Ccy@Currency@Currencies | Level containing the local currency on VaR and PnL cubes. |
| scenario.set.level | Scenario Set@Scenario Sets@Risk | Level containing the scenario set. |
| scenario.analysis.level | Scenario@Scenarios@Risk | Level containing the scenario set analysis hierarchy. |
| risk.mandate.level | Domain1@Risk Mandates 1@Sign-Off | Level containing the risk mandate. |
| risk.class.level | RiskClass@Risk Classes@Risk | Level containing the risk class. |
| percentile.level | Percentile@Percentile@Risk | Level containing the percentile. |
| sensi.ladder-shifts.level | Ladder Shift@Ladder Shifts@Risk | Sensitivity level containing the ladder shifts. |
| sensi.ladder-availability.level | Ladder Available@Ladder Availability@Risk | Sensitivity level containing the ladder shifts. |
| trades.var.inclusion.level | VaR inclusion type@VaR inclusion type@TradeAttributes | Level containing the VaR inclusion. |
| market.data.set.level | MarketDataSet@MarketDataSets@MarketData | Level containing the market data set. |
| trade.maturity.date.level | MaturityDate@MaturityDates@TradeAttributes | Level containing the maturity date of the trade. |
| display.currency.level | displayCurrency@displayCurrency@Currencies | The display currency level name used by the cubes. |
| start.index.level | PnLStartIndex@PnLStartIndex@PnLIndex | Level used as the start index to create a sub-pnl vector for ES, VaR, EtG, VaE, and all their variations. |
| end.index.level | PnLEndIndex@PnLEndIndex@PnLIndex | Level used as the end index to create a sub-pnl vector for ES, VaR, EtG, VaE, and all their variations. |
| market.shift.date.level | MarketShiftDate@MarketShiftDate@Dates | Level containing the date used to select market shifts for Taylor calculations. |
Section: Risk classes & confidence levels
| Key | Value | Description |
|---|---|---|
| risk.class.members | Risk classes are used in order to define specific metrics | |
| confidence.levels | 97.5,99 | Confidence levels used to define specific measures |
Section: Sensitivities
This section lists sensitivities by type. Data present in the Sensitivity Name column of the sensitivities input files are filtered using regular expression defined in these properties.
| Key | Value | Description |
|---|---|---|
| sensi.type.delta | ^(?i).*(?:delta | dividends |
| sensi.type.cash | ^(?i).*(?:cash | Cash).*$ |
| sensi.type.vega | ^(?i).*vega.*$ | Vega sensitivity |
| sensi.type.gamma | ^(?i).*(gamma)(?<!((?:cross | x).?gamma)).*$ |
| sensi.type.vanna | ^(?i).*vanna.*$ | Vanna sensitivity |
| sensi.type.volga | ^(?i).*(?:volga | vomma).*$ |
| sensi.type.theta | ^(?i).*(?:theta | Theta).*$ |
| ^(?i).*(?:delta | dividends).*$ | ^(?i).*(?:delta |
| sensi.type.cross.gamma | ^(?i).*(?:cross | x).?gamma.*$ |
Section: FX risk
| Key | Value | Description |
|---|---|---|
| risk.class.member.fx | FX | Risk class used to compute FX risk |
Section: Theta
| Key | Value | Description |
|---|---|---|
| theta.default.maturity | 2040-01-01 | The default maturity date used for theta PnL computation when the maturity provided by the ${trade.maturity.date.level} is emtpy. Format is YYYY-MM-DD. |
Section: Taylor VaR
| Key | Value | Description |
|---|---|---|
| sensi.interpolateMarketShifts | true | Flag to enable or disable interpolation of market data. |
| market.shift.date.specific | TODAY=DAY0,YESTERDAY=DAY-1 | The specific dates used to fill the MarketShiftDate hierarchy. The first one is the default. The format is <three characters for date plugin name> + <an integer as a parameter>.Where the default registered date plugins are:
|
Section: Weighted measures
| Key | Value | Description |
|---|---|---|
| weightedvar.pnl.oldest.first | false | Flag to set the order sequence of PnL data in the PnL vector |
Section: Tenors, maturities and moneyness default values
| Key | Value | Description |
|---|---|---|
| tenorAndMaturity.defaultValue | N/A | Default value for tenors and maturities |
| moneyness.defaultValue | ATM | Default value for moneyness |