The 5.3-beta version of Atoti Market Risk includes two market data APIs, with distinct data models and services.
Current market data API
note
This API is now deprecated for customizations. Measures implemented in Atoti Market Risk still use this implementation, but will be migrated in the future.
Any newly created custom measures should use the preview market data API, wherever possible.
This API combines retrieval and interpolation into a single market data retrieval service. The data model does not differentiate between market data types based on the number of axes.
For detailed information about the implementation, see the following sections:
An API providing a new data model, backwards compatible with the current market data input file format, with retrieval and interpolation services split by the number of axes of the market data.
note
Several features of the current API are not available in the preview market data API:
Nominal, absolute, and relative prices
Corporate action
Splits
Dividends/Coupons
Shifts and normalization
To enable the default preview implementation of the API, import the appropriate configuration classes and set the mr.enable.preview.market-data property to true.
For detailed information about the implementation and configuration, please refer to: