Market data defined along three axes (tenors, moneyness and underlying maturities).
CubeMarketData store
Store Field
Key
CanBeNull
Type
Description
AsOfDate
Y
N
Object
Indicates the date of the file.
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).
MarketDataSet
Y
N
String
String defining the market data set.
CubeId
Y
N
String
The identifier of the cube.
Tenor
Y
N
String
Tenor labels, such as 3M, 5Y, and so on.
Moneyness
Y
N
String
Moneyness labels.
UnderlyingMaturity
Y
N
String
Maturity labels, such as 3M, 5Y, and so on.
Quote
N
N
Double
The quote for the tenor x moneyness x maturity combination.
A secondary index is created on the AsOfDate, MarketDataSet, and CubeId fields.