Common module properties
Overview
These are the properties used to configure the mr-common-config module.
File values
| Key | Description | Default value |
|---|---|---|
| mr.bucketing.days.month | Number of days to use months when converting pillars for bucketing purposes. Used in the buckets level comparator. | 30 |
| mr.bucketing.days.week | Number of days to use weeks when converting pillars for bucketing purposes. Used in the buckets level comparator. | 7 |
| mr.bucketing.days.year | Number of days to use years when converting pillars for bucketing purposes. Used in the buckets level comparator. | 360 |
| mr.bucketing.sets.maturities | The names of the available maturity sets to be selectable in a context value. Must match inputs in the DynamicMaturities files. | [DEFAULT, REDUCED] |
| mr.bucketing.sets.moneyness | The names of the available moneyness sets to be selectable in a context value. Must match inputs in the DynamicMoneyness file. | [DEFAULT, NO_SMILE] |
| mr.bucketing.sets.tenors | The names of the available tenor sets to be selectable in a context value. Must match inputs in the DynamicTenors files. | [DEFAULT, REDUCED, DECADE] |
| mr.common.file-patterns.book-parent-child | Pattern for the Book Parent Child input file. | glob:**BookParentChild*.csv |
| mr.common.file-patterns.counterparties | Pattern for the Counterparties input file. | glob:**Counterparties*.csv |
| mr.common.file-patterns.counterparty-parent-child | Pattern for the Counterparty Parent Child input file. | glob:**CounterpartyParentChild*.csv |
| mr.common.file-patterns.countries | Pattern for the Countries input file. | glob:**Countries*.csv |
| mr.common.file-patterns.cube-level-adjustment | Pattern for the Cube Adjustments input file. | glob:**cubeAdjustment*.csv* |
| mr.common.file-patterns.cube-market-data | Pattern for the MR 5.3+ Cube Market Data input file. | |
| mr.common.file-patterns.curve-market-data | Pattern for the MR 5.3+ Curve Market Data input file. | |
| mr.common.file-patterns.fx-rates | Pattern for the FX Rates input file. | glob:**FXRates*.csv |
| mr.common.file-patterns.instrument-market-data | Pattern for the MR 5.3+ Instrument Market Data input file. | |
| mr.common.file-patterns.legal-entity-parent-child | Pattern for the Legal Entity Parent Child input file. | glob:**LegalEntityParentChild*.csv |
| mr.common.file-patterns.market-data | Pattern for the MR 5.2 Market Data input file. | regex:^(?i).*MarketData(?<!MarketDataSets).*\.csv.*$ |
| mr.common.file-patterns.market-data-sets | Pattern for the Market Data Sets input file. | glob:**MarketDataSets*.csv |
| mr.common.file-patterns.quantiles | Pattern for the Quantiles2Rank for VaR input file. | glob:**Quantiles*.csv |
| mr.common.file-patterns.risk-factor-catalog | Pattern for the Risk Factors Catalog input file. | glob:**RiskFactorsCatalog*.csv |
| mr.common.file-patterns.risk-factor-market-shifts | Pattern for the Risk Factor Market Shifts input file. | glob:**MarketShifts*.csv |
| mr.common.file-patterns.rounding-methods | Pattern for the Rounding Methods for VaR input file. | glob:**RoundingMethods*.csv |
| mr.common.file-patterns.scenarios | Pattern for the Scenarios input file. | glob:**Scenarios*.csv |
| mr.common.file-patterns.surface-market-data | Pattern for the MR 5.3+ Surface Market Data input file. | |
| mr.common.file-patterns.trade-attributes | Pattern for the Trade Attributes input file. | glob:**TradeAttributes*.csv |
| mr.confidence.defaults.expected-shortfall | Expected shortfall default confidence percentage. | 97.5 |
| mr.confidence.defaults.expected-tail-gain | Expected tail gain default confidence percentage. | 97.5 |
| mr.confidence.defaults.shift-percentile | Shift Percentile default context value. | 95.0 |
| mr.confidence.defaults.value-at-earnings | Value at earnings default confidence percentage. | 95.0 |
| mr.confidence.defaults.value-at-risk | Value at risk default confidence percentage. | 99.0 |
| mr.confidence.defaults.weighted-var-lambda | Weighted VaR default lambda parameter. | 0.94 |
| mr.confidence.levels | Confidence levels used to define specific measures. | [97.5, 99] |
| mr.configuration.virtual-hierarchies | List of hierarchies that are set as virtual | |
| mr.cubes.context-values.defaults.market-data-set | Default market data set to use for the calculations. | Official EOD |
| mr.cubes.context-values.defaults.pnl.type | Default PnL type for PnL cube. | Actual PL Attributed |
| mr.cubes.context-values.defaults.pnl.vector-size | PnL vector size. Used for setting context value maximum values. | 250 |
| mr.cubes.context-values.defaults.quantile | Default quantile for Tail measure calculations. | EQUAL_WEIGHT |
| mr.cubes.context-values.defaults.queries-time-limit-combined | The query time limit in seconds for the combined query cube, defined by the “queriesTimeLimit” context value. | 30 |
| mr.cubes.context-values.defaults.queries-time-limit-data | The query time limit in seconds for all the data cubes, defined by the “queriesTimeLimit” context value. | 30 |
| mr.cubes.context-values.defaults.rounding-method | Default rounding method for Tail measure calculations. | CEIL |
| mr.cubes.context-values.defaults.var-es.time-period | The default number of days used to scale the VaR metric. | 1 |
| mr.cubes.context-values.display-names.quantiles | The display names of quantiles used for Tail measure calculations. The key is the plugin key for the IVaRQuantile implementation, and the value is the name to use in the UI. | [EQUAL_WEIGHT: Equal Weight, CENTERED: Centered, EXCLUSIVE: Exclusive, SIMPLE: Simple] |
| mr.cubes.context-values.display-names.rounding-methods | The display names of rounding methods used for Tail measure calculations. The key is the plugin key for the IVaRRounding implementation, and the value is the name to use in the UI. | [FLOOR: Floor, CEIL: Ceil, ROUND: Round, ROUND_EVEN: Round Even, WEIGHTED: Weighted] |
| mr.cubes.context-values.reference-levels | List of the possible Levels for the Reference Level Context Value that will be used by the ReferenceLevelLocationShift post-processor. The empty slot behaves like the top location. | [, Book@Books, Desk@Desks, Legal Entity@Legal Entities, Level 1@BookHierarchy, Level 2@BookHierarchy, Level 3@BookHierarchy, Level 4@BookHierarchy, Level 5@BookHierarchy, Level 1@LegalEntityHierarchy, Level 2@LegalEntityHierarchy, Legal Entity@Legal Entities] |
| mr.cubes.formatters.array-format | Double array formatter with at most 2 digits after the decimal separator. | DOUBLE_ARRAY[#.###########] |
| mr.cubes.formatters.date-format | The date formatters for timestamps. | DATE[HH:mm:ss] |
| mr.cubes.formatters.double-format | The formatter for double measures with at most 2 digits after the decimal separator. | DOUBLE[#,##0.00;-#,##0.00] |
| mr.cubes.formatters.integer-format | The int formatter. | INT[#,###] |
| mr.cubes.formatters.percent-format | The formatter for percentage double measures. | DOUBLE[#,##0.00%] |
| mr.cubes.levels.as-of-date | The as-of date level. | AsOfDate@Date@Dates |
| mr.cubes.levels.books | The book level. | Book@Books@Booking |
| mr.cubes.levels.currency | Level containing the local currency. | Ccy@Currencies@Currencies |
| mr.cubes.levels.day-to-day | Slicing hierarchy used for day-to-day figures comparison. | DayToDay@DayToDay@Dates |
| mr.cubes.levels.day-to-day-members | List of specific members used to perform day-to-day operations in addition to the asOfDates. Each entry should be in the format: NAME=OFFSET, e.g Yesterday=DAY-1 | [Yesterday=DAY-1, Day-2=DAY-2, Tomorrow=DAY+1, End Of Month=EOM-1, End Of Quarter=EOQ-1, End Of Year=EOY-1] |
| mr.cubes.levels.display-currency | The display currency level name used by the cubes. | displayCurrency@displayCurrency@Currencies |
| mr.cubes.levels.dynamic-maturities | Dynamic maturity levels used for vectorized sensitivities, from analysis hierarchies. | Maturity@DynamicMaturities@DynamicBucketing |
| mr.cubes.levels.dynamic-moneyness | Dynamic moneyness levels used for vectorized sensitivities, from analysis hierarchies. | Moneyness@DynamicMoneyness@DynamicBucketing |
| mr.cubes.levels.dynamic-tenors | Dynamic tenor levels used for vectorized sensitivities, from analysis hierarchies. | Tenor@DynamicTenors@DynamicBucketing |
| mr.cubes.levels.end-index | Level used as the end index to create a sub-pnl vector for ES, VaR, EtG, VaE, and all their variations. | PnLEndIndex@PnLEndIndex@PnLIndex |
| mr.cubes.levels.ladder-availability | Sensitivity level containing the ladder shifts availability. | Ladder Available@Ladder Availability@Risk |
| mr.cubes.levels.ladder-shifts | Sensitivity level containing the ladder shifts. | Ladder Shift@Ladder Shifts@Risk |
| mr.cubes.levels.market-data-set | Level containing the market data set. | MarketDataSet@MarketDataSets@MarketData |
| mr.cubes.levels.market-shift-date | Level containing the date used to select market shifts for Taylor calculations. | MarketShiftDate@MarketShiftDate@Dates |
| mr.cubes.levels.maturities | Maturity levels used for vectorized sensitivities, from analysis hierarchies. Examples: 2022-06-30 | Maturity@Maturities@Risk |
| mr.cubes.levels.maturities-date | Maturity axis sub-level. | Maturity Date@Maturities@Risk |
| mr.cubes.levels.maturities-date2 | Second Maturity axis sub-level used for correlation printout. | Maturity Date2@Maturities Secondary@Risk |
| mr.cubes.levels.maturities2 | Second maturity axis used for correlation printout. | Maturity2@Maturities Secondary@Risk |
| mr.cubes.levels.moneyness | Moneyness levels used for vectorized sensitivities, from analysis hierarchies. | Moneyness@Moneyness@Risk |
| mr.cubes.levels.moneyness2 | Second moneyness axis used for correlation printout. | Moneyness2@Moneyness Secondary@Risk |
| mr.cubes.levels.notional-currency | Currency used for the notional value. | NotionalCcy@NotionalCurrencies@TradeAttributes |
| mr.cubes.levels.percentile | Level containing the percentile. | Percentile@Percentile@Risk |
| mr.cubes.levels.quantile-rank | The quantile rank level. | QuantileName@Quantiles@Quantiles |
| mr.cubes.levels.risk-class | Level containing the risk class. | RiskClass@Risk Classes@Risk |
| mr.cubes.levels.risk-factor | Level containing the risk factor axis. | RiskFactor@Risk Factors@Risk |
| mr.cubes.levels.risk-factor2 | Level description of second risk factor axis (used for Vanna, Correlation, etc). | RiskFactor2@Risk Factors Secondary@Risk |
| mr.cubes.levels.rounding | The rounding level. | MethodName@RoundingMethods@Rounding |
| mr.cubes.levels.scenario | Level containing the scenario analysis hierarchy. | Scenario@Scenarios@Risk |
| mr.cubes.levels.scenario-set | Level containing the scenario set. | Scenario Set@Scenario Sets@Risk |
| mr.cubes.levels.sensitivity-kind | Kind of sensitivity. | Sensitivity Kind@Sensitivity Kind@Sensitivity Kind |
| mr.cubes.levels.sensitivity-name | Level containing the sensitivity names. | SensitivityName@Sensitivity@Sensitivities |
| mr.cubes.levels.source-currency | Second currency axis, used for FX table printout. | srcCurrency@srcCurrency@Currencies |
| mr.cubes.levels.start-index | Level used as the start index to create a sub-pnl vector for ES, VaR, EtG, VaE, and all their variations. | PnLStartIndex@PnLStartIndex@PnLIndex |
| mr.cubes.levels.tenors | Tenor levels used for vectorized sensitivities, from analysis hierarchies. Examples: 1W, 6M, 5Y | Tenor@Tenors@Risk |
| mr.cubes.levels.tenors-date | Tenor axis sub-level. | Tenor Date@Tenors@Risk |
| mr.cubes.levels.tenors-date2 | Second Tenor axis sub-level used for correlation printout. | Tenor Date2@Tenors Secondary@Risk |
| mr.cubes.levels.tenors2 | Second tenor axis used for correlation printout. | Tenor2@Tenors Secondary@Risk |
| mr.cubes.levels.trade-maturity-date | Level containing the maturity date of the trade. | MaturityDate@MaturityDates@TradeAttributes |
| mr.cubes.levels.trades | The trades level. | TradeId@Trades@Booking |
| mr.cubes.levels.var-inclusion | Level containing the VaR inclusion. | VaR inclusion type@VaR inclusion type@TradeAttributes |
| mr.data-load.csv.buffer-size | The size of the buffers (in KB) used by the parser threads. | 1024 |
| mr.data-load.csv.dataset | Path to the directory containing the files to load. Either an absolute path or relative to the classpath. | data |
| mr.data-load.csv.lines-to-skip | Number of lines to skip in each file before parsing. Used, for example, when column headers are present. | 1 |
| mr.data-load.csv.parser-threads | Number of threads used to parse the files. | 18 |
| mr.data-load.csv.separator | Separator used to parse CSV files. | , |
| mr.data-load.csv.synchronous-mode | Boolean used to activate the synchronous mode of the CSV Sources. | false |
| mr.data-load.format | Changing the value to a lower version enables the old sensitivity file format. | 5.1 |
| mr.data-load.initial-business-dates | Date filtering: date loaded in memory (filtered out if DirectQuery). Value is empty, which means that no filtering is performed by default. | |
| mr.data-load.source | Sets the location where data will be loaded from. | local-file-system |
| mr.enable.cubes.common | Set to false to disable MRCombinedCube. | true |
| mr.enable.cubes.market-data | Set to false to disable Market Data cube. | true |
| mr.enable.cubes.pnl | Set to false to disable PnL cube. | true |
| mr.enable.cubes.pnl-summary | Set to false to disable PnL Summary cube. | true |
| mr.enable.cubes.sensi | Set to false to disable Sensi cube. | true |
| mr.enable.cubes.sensi-summary | Set to false to disable Sensi Summary cube. | true |
| mr.enable.cubes.var-es | Set to false to disable VaR-ES cube. | true |
| mr.enable.cubes.var-summary | Set to false to disable VaR-ES Summary cube. | true |
| mr.enable.data-model.aggregated | Set to true to store summary data in an aggregated format. | false |
| mr.enable.data-model.scalar-sensitivities | Set to true to store sensitivities in a scalar format. | false |
| mr.enable.preview.market-data | Set to true to enable preview new market data retrieval and interpolation services and the respective data model. | false |
| mr.fx.common-currency | Common currency used by FX Rates Service. Sets the currency to use for indirect FX rate look-ups (e.g AUD/SGD as AUD/EUR * EUR/SGD). | EUR |
| mr.fx.display-currencies | Order of the available reference currencies in the display currency level. | [EUR, USD, GBP, CHF, JPY, SEK, NOK, CAD, AUD] |
| mr.fx.risk-class-member | Risk class used to compute FX risk. | FX |
| mr.maturities.custom-fact-dates | Defines the source levels containing maturity dates for additional sensitivities. The key is the sensitivity name. | |
| mr.maturities.custom-fact-labels | Defines the source levels containing maturity labels for additional sensitivities. The key is the sensitivity name. | |
| mr.maturities.custom-fact-levels | Defines the source maturity levels to use for additional sensitivities. The key is the sensitivity name. | |
| mr.maturities.vanna-fact-dates | Defines the source levels containing maturity dates for vanna sensitivities. | Maturity Date@Maturity Dates@Risk |
| mr.maturities.vanna-fact-labels | Defines the source levels containing maturity labels for vanna sensitivities. | Maturity@Maturities@Risk |
| mr.maturities.vanna-fact-levels | Defines the source maturity levels to use for vanna sensitivities. | [Maturity Date@Maturity Dates@Risk, Maturity@Maturities@Risk] |
| mr.maturities.vega-fact-dates | Defines the source levels containing maturity dates for vega sensitivities. | Maturity Date@Maturity Dates@Risk |
| mr.maturities.vega-fact-labels | Defines the source levels containing maturity labels for vega sensitivities. | Maturity@Maturities@Risk |
| mr.maturities.vega-fact-levels | Defines the source maturity levels to use for vega sensitivities. | [Maturity Date@Maturity Dates@Risk, Maturity@Maturities@Risk] |
| mr.maturities.volga-fact-dates | Defines the source levels containing maturity dates for volga sensitivities. | Maturity Date@Maturity Dates@Risk |
| mr.maturities.volga-fact-labels | Defines the source levels containing maturity labels for volga sensitivities. | Maturity@Maturities@Risk |
| mr.maturities.volga-fact-levels | Defines the source maturity levels to use for volga sensitivities. | [Maturity Date@Maturity Dates@Risk, Maturity@Maturities@Risk] |
| mr.messenger.protocol-file-path | JGroup configuration file used for distributed cubes. | jgroups-protocols/protocol-udp.xml |
| mr.metrics.agg-summary-list | The list of the technical names of the relative metrics created for the Var-ES summary cube on the aggregated profile. | [booking, top] |
| mr.metrics.booking.clear-filter | If set to true, the top metric is taken by also clearing all the query filters. | |
| mr.metrics.booking.exclude | A list of hierarchies that are excluded from the top level computation. | |
| mr.metrics.booking.folder | Defines the sub-folder used for the relative metrics. It can be empty. | \Booking |
| mr.metrics.booking.hierarchy | Defines the axis used to find out the parent for the relative metrics. | BookHierarchy@Organization |
| mr.metrics.booking.null-at-top | If set to true, the metric returns null at the top level. | true |
| mr.metrics.booking.post-processor | Defines the post-processor that computes the reference used by the relative metrics. | ParentValue |
| mr.metrics.booking.suffix | Defines the suffix appended to the relative metrics. It can be empty. | Booking |
| mr.metrics.custom-metrics | Configuration for metrics not captured by the default properties. The key is the metric name. | |
| mr.metrics.rlshift.clear-filter | If set to true, the top metric is taken by also clearing all the query filters. | |
| mr.metrics.rlshift.exclude | A list of hierarchies that are excluded from the top level computation. | |
| mr.metrics.rlshift.folder | Defines the sub-folder used for the relative metrics. It can be empty. | \Reference Level |
| mr.metrics.rlshift.hierarchy | Defines the axis used to find out the parent for the relative metrics. | |
| mr.metrics.rlshift.null-at-top | If set to true, the metric returns null at the top level. | |
| mr.metrics.rlshift.post-processor | Defines the post-processor that computes the reference used by the relative metrics. | ReferenceLevelLocationShift |
| mr.metrics.rlshift.suffix | Defines the suffix appended to the relative metrics. It can be empty. | Reference Level |
| mr.metrics.std-list | The list of the technical names of the relative metrics created for VaR-ES calculations. | [booking, top, trades, rlshift] |
| mr.metrics.std-summary-list | The list of the technical names of the relative metrics created for the Var-ES summary cube on the default/full profile. | [booking, top, trades] |
| mr.metrics.top.clear-filter | If set to true, the top metric is taken by also clearing all the query filters. | false |
| mr.metrics.top.exclude | A list of hierarchies that are excluded from the top level computation. | |
| mr.metrics.top.folder | Defines the sub-folder used for the relative metrics. It can be empty. | \Top |
| mr.metrics.top.hierarchy | Defines the axis used to find out the parent for the relative metrics. | |
| mr.metrics.top.null-at-top | If set to true, the metric returns null at the top level. | false |
| mr.metrics.top.post-processor | Defines the post-processor that computes the reference used by the relative metrics. | TopPostProcessor |
| mr.metrics.top.suffix | Defines the suffix appended to the relative metrics. It can be empty. | Top |
| mr.metrics.trades.clear-filter | If set to true, the top metric is taken by also clearing all the query filters. | |
| mr.metrics.trades.exclude | A list of hierarchies that are excluded from the top level computation. | |
| mr.metrics.trades.folder | Defines the sub-folder used for the relative metrics. It can be empty. | \Trades |
| mr.metrics.trades.hierarchy | Defines the axis used to find out the parent for the relative metrics. | Trades@Booking |
| mr.metrics.trades.null-at-top | If set to true, the metric returns null at the top level. | true |
| mr.metrics.trades.post-processor | Defines the post-processor that computes the reference used by the relative metrics. | ParentValue |
| mr.metrics.trades.suffix | Defines the suffix appended to the relative metrics. It can be empty. | Trades |
| mr.moneyness.custom-fact-dates | Defines the source levels containing moneyness dates for additional sensitivities. The key is the sensitivity name. | |
| mr.moneyness.custom-fact-labels | Defines the source levels containing moneyness labels for additional sensitivities. The key is the sensitivity name. | |
| mr.moneyness.custom-fact-levels | Defines the source moneyness levels to use for additional sensitivities. The key is the sensitivity name. | |
| mr.moneyness.default-value | Default value for moneyness. | ATM |
| mr.moneyness.vanna-fact-dates | Defines the source levels containing moneyness dates for vanna sensitivities. | |
| mr.moneyness.vanna-fact-labels | Defines the source levels containing moneyness labels for vanna sensitivities. | Moneyness@Moneyness@Risk |
| mr.moneyness.vanna-fact-levels | Defines the source moneyness levels to use for vanna sensitivities. | Moneyness@Moneyness@Risk |
| mr.moneyness.vega-fact-dates | Defines the source levels containing moneyness dates for vega sensitivities. | |
| mr.moneyness.vega-fact-labels | Defines the source levels containing moneyness labels for vega sensitivities. | Moneyness@Moneyness@Risk |
| mr.moneyness.vega-fact-levels | Defines the source moneyness levels to use for vega sensitivities. | Moneyness@Moneyness@Risk |
| mr.moneyness.volga-fact-dates | Defines the source levels containing moneyness dates for volga sensitivities. | |
| mr.moneyness.volga-fact-labels | Defines the source levels containing moneyness labels for volga sensitivities. | Moneyness@Moneyness@Risk |
| mr.moneyness.volga-fact-levels | Defines the source moneyness levels to use for volga sensitivities. | Moneyness@Moneyness@Risk |
| mr.pnl-distribution.number-of-buckets | Maximum number of buckets for PnLDistributionPostProcessor. | 100 |
| mr.risk.level-split | This is used to concatenate two risk levels for market data lookup. | / |
| mr.risk.risk-class-members | Risk classes are used in order to define specific metrics. | |
| mr.sensi.rules.cash.base.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cash.base.interpolate | True means interpolation of market data is allowed. | false |
| mr.sensi.rules.cash.base.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.cash.base.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.cash.base.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cash.base.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cash.base.type | The keyword defining the used formula. E.g. Absolute/Relative | FXRelative |
| mr.sensi.rules.cash.custom | Custom rules for cash PnL Explain calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.correlation.base.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.base.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.correlation.base.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.correlation.base.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.correlation.base.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.base.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.base.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.custom | Custom rules for correlation PnL Explain calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.cross-gamma1.base.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.base.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.cross-gamma1.base.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.cross-gamma1.base.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.cross-gamma1.base.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.base.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.base.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.custom | Custom rules for the risk 1st factor axis of cross gamma PnL Explain calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.cross-gamma2.base.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.base.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.cross-gamma2.base.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.cross-gamma2.base.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.cross-gamma2.base.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.base.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.base.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.custom | Custom rules for the risk 2nd factor axis of cross gamma PnL Explain calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.custom | Custom rules for PnL Explain calculations. The key for the outer map is the sensitivity type. The key for the inner map is the risk class to which the rule applies. | |
| mr.sensi.rules.delta.base.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.base.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.delta.base.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.delta.base.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.delta.base.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.base.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.base.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.delta.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.commodity.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.delta.commodity.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.delta.commodity.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.delta.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.delta.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.csr-non-sec.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.delta.csr-non-sec.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.delta.csr-non-sec.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.delta.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.delta.custom | Custom rules for delta PnL Explain calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.delta.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.equity.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.delta.equity.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.delta.equity.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.delta.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.delta.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.fx.interpolate | True means interpolation of market data is allowed. | false |
| mr.sensi.rules.delta.fx.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.delta.fx.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.delta.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | FXRelative |
| mr.sensi.rules.dividend.base.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.base.interpolate | True means interpolation of market data is allowed. | false |
| mr.sensi.rules.dividend.base.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.dividend.base.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.dividend.base.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.base.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.base.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.custom | Custom rules for dividend PnL Explain calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.gamma.base.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.base.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.gamma.base.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.gamma.base.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.gamma.base.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.base.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.base.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.gamma.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.commodity.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.gamma.commodity.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.gamma.commodity.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.gamma.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.gamma.custom | Custom rules for gamma PnL Explain calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.gamma.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.equity.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.gamma.equity.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.gamma.equity.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.gamma.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.gamma.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.fx.interpolate | True means interpolation of market data is allowed. | false |
| mr.sensi.rules.gamma.fx.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.gamma.fx.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.gamma.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.interpolate-market-shifts | Flag to enable or disable interpolation of market data. | true |
| mr.sensi.rules.theta.base.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.base.interpolate | True means interpolation of market data is allowed. | false |
| mr.sensi.rules.theta.base.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.theta.base.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.theta.base.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.base.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.base.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.custom | Custom rules for theta PnL Explain calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.vanna1.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.commodity.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vanna1.commodity.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna1.commodity.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna1.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna1.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.csr-non-sec.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vanna1.csr-non-sec.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna1.csr-non-sec.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna1.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna1.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.csr-sec-ctp.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vanna1.csr-sec-ctp.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna1.csr-sec-ctp.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna1.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna1.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.csr-sec-non-ctp.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vanna1.csr-sec-non-ctp.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna1.csr-sec-non-ctp.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna1.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna1.custom | Custom rules for the risk 1st factor of vanna axis PnL Explain calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.vanna1.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.equity.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vanna1.equity.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna1.equity.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna1.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna1.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.fx.interpolate | True means interpolation of market data is allowed. | false |
| mr.sensi.rules.vanna1.fx.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna1.fx.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna1.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna1.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.girr.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vanna1.girr.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna1.girr.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna1.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna2.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.commodity.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vanna2.commodity.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna2.commodity.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna2.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna2.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.csr-non-sec.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vanna2.csr-non-sec.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna2.csr-non-sec.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna2.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna2.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.csr-sec-ctp.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vanna2.csr-sec-ctp.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna2.csr-sec-ctp.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna2.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna2.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.csr-sec-non-ctp.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vanna2.csr-sec-non-ctp.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna2.csr-sec-non-ctp.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna2.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna2.custom | Custom rules for the risk 2nd factor axis of vanna PnL Explain calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.vanna2.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.equity.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vanna2.equity.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna2.equity.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna2.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna2.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.fx.interpolate | True means interpolation of market data is allowed. | false |
| mr.sensi.rules.vanna2.fx.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna2.fx.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna2.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna2.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.girr.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vanna2.girr.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna2.girr.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vanna2.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.commodity.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vega.commodity.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vega.commodity.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vega.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.csr-non-sec.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vega.csr-non-sec.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vega.csr-non-sec.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vega.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.csr-sec-ctp.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vega.csr-sec-ctp.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vega.csr-sec-ctp.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vega.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.csr-sec-non-ctp.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vega.csr-sec-non-ctp.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vega.csr-sec-non-ctp.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vega.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.custom | Custom rules for vega PnL Explain calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.vega.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.equity.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vega.equity.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vega.equity.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vega.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.fx.interpolate | True means interpolation of market data is allowed. | false |
| mr.sensi.rules.vega.fx.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vega.fx.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vega.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.girr.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.vega.girr.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vega.girr.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.vega.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.commodity.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.volga.commodity.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.volga.commodity.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.volga.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.csr-non-sec.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.volga.csr-non-sec.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.volga.csr-non-sec.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.volga.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.csr-sec-ctp.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.volga.csr-sec-ctp.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.volga.csr-sec-ctp.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.volga.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.csr-sec-non-ctp.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.volga.csr-sec-non-ctp.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.volga.csr-sec-non-ctp.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.volga.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.custom | Custom rules for volga PnL Explain calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.volga.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.equity.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.volga.equity.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.volga.equity.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.volga.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.fx.interpolate | True means interpolation of market data is allowed. | false |
| mr.sensi.rules.volga.fx.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.volga.fx.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.volga.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.girr.interpolate | True means interpolation of market data is allowed. | true |
| mr.sensi.rules.volga.girr.post-interpolation-functions | The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.volga.girr.pre-interpolation-functions | The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”. | |
| mr.sensi.rules.volga.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sign-off.common.hierarchy.level1.live | The intra-days data, the latest data. | INTRA-DAY |
| mr.sign-off.common.hierarchy.level1.official | Live or approved. | OFFICIAL |
| mr.sign-off.common.hierarchy.level1.snapshot | The total aggregated data including the under review (frozen) data. | TOTAL REVIEWABLE |
| mr.sign-off.common.hierarchy.level2.approved | The name of the status for approved tasks. | APPROVED |
| mr.sign-off.common.hierarchy.level2.other | The data that are not in any ongoing reviewing process. | UNAPPROVED |
| mr.sparse-vectors.density-threshold | Enable sparse vector compression for sensi store. | 0.2 |
| mr.sparse-vectors.enable-for-sensi-stores | Enable sparse vector compression for the list of columns of kind “store:field”. | [TradeSensitivities:Values, TradeSensitivities:Ladder] |
| mr.taylor.market-shift-date-specific | Specific dates used to fill the MarketShiftDate hierarchy. Each entry should be in the format: NAME=OFFSET, e.g TODAY=DAY0 | [TODAY=DAY0, YESTERDAY=DAY-1] |
| mr.tenors-and-maturities.default-value | Default value for tenors and maturities. | N/A |
| mr.tenors.correlation-fact-dates | Defines the source levels containing tenor dates for correlation sensitivities. | Tenor Date@Tenor Dates@Risk |
| mr.tenors.correlation-fact-labels | Defines the source levels containing tenor labels for correlation sensitivities. | Tenor@Tenors@Risk |
| mr.tenors.correlation-fact-levels | Defines the source tenor levels to use for correlation sensitivities. | [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk] |
| mr.tenors.custom-fact-dates | Defines the source levels containing tenor dates for additional sensitivities. The key is the sensitivity name. | |
| mr.tenors.custom-fact-labels | Defines the source levels containing tenor labels for additional sensitivities. The key is the sensitivity name. | |
| mr.tenors.custom-fact-levels | Defines the source tenor levels to use for additional sensitivities. The key is the sensitivity name. | |
| mr.tenors.delta-fact-dates | Defines the source levels containing tenor dates for delta sensitivities. | Tenor Date@Tenor Dates@Risk |
| mr.tenors.delta-fact-labels | Defines the source levels containing tenor labels for delta sensitivities. | Tenor@Tenors@Risk |
| mr.tenors.delta-fact-levels | Defines the source tenor levels to use for delta sensitivities. | [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk] |
| mr.tenors.gamma-fact-dates | Defines the source levels containing tenor dates for gamma sensitivities. | Tenor Date@Tenor Dates@Risk |
| mr.tenors.gamma-fact-labels | Defines the source levels containing tenor labels for gamma sensitivities. | Tenor@Tenors@Risk |
| mr.tenors.gamma-fact-levels | Defines the source tenor levels to use for gamma sensitivities. | [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk] |
| mr.tenors.vanna-fact-dates | Defines the source levels containing tenor dates for vanna sensitivities. | Tenor Date@Tenor Dates@Risk |
| mr.tenors.vanna-fact-labels | Defines the source levels containing tenor labels for vanna sensitivities. | Tenor@Tenors@Risk |
| mr.tenors.vanna-fact-levels | Defines the source tenor levels to use for vanna sensitivities. | [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk] |
| mr.tenors.vega-fact-dates | Defines the source levels containing tenor dates for vega sensitivities. | Tenor Date@Tenor Dates@Risk |
| mr.tenors.vega-fact-labels | Defines the source levels containing tenor labels for vega sensitivities. | Tenor@Tenors@Risk |
| mr.tenors.vega-fact-levels | Defines the source tenor levels to use for vega sensitivities. | [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk] |
| mr.tenors.volga-fact-dates | Defines the source levels containing tenor dates for volga sensitivities. | Tenor Date@Tenor Dates@Risk |
| mr.tenors.volga-fact-labels | Defines the source levels containing tenor labels for volga sensitivities. | Tenor@Tenors@Risk |
| mr.tenors.volga-fact-levels | Defines the source tenor levels to use for volga sensitivities. | [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk] |
| mr.var.component.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. | |
| mr.var.weighted.pnl-oldest-first | Flag for weighted measures to specify whether the historical PnL vectors input contains the oldest PnL data at index 0 (in that case the flag is set to: true), or whether it contains the most recent PnL data at index 0 (in that case the flag is set to: false). | false |