Input file formats

Out of the box, Atoti Market Risk will work with a predefined file format, CSV. If you produce your data in this format, you can load and use Atoti Market Risk with no customizations needed. However, you can of course edit and configure Atoti Market Risk 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: Atoti Market Risk Input File Formats 5.1

Overview of input files

The input files for Atoti Market Risk 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
Summary Sensitivity
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
Profit & Loss without Product Control
Profit & Loss without Product Control Summary
PL Cube
Cube-level Adjustments Cube Adjustments

File name patterns

Atoti Market Risk 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 Atoti Server 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. Atoti Market Risk 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

note

For the scalar profile, all pillar fields are keys. Therefore 2M,N/A will be a separate fact from 2M,2019-11-05.