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Market data APIs

Atoti Market Risk includes two market data APIs, with distinct data models and services.

Deprecated 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 new 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:

Topic	Section
Retrieval and interpolation	Market Data Retrieval Service
Store	Market Data Store
Data loading	Market Data File Format

New market data retrieval service

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 deprecated API will not have replacements in the new market data API:

Nominal, absolute, and relative prices
Corporate action
Splits
Dividends/Coupons

Market Data shifts will be migrated to the new market data API in the future.

To enable the default implementation of the new API, declare the Market Data API Spring Boot Starter module as a dependency:

<dependency>
    <groupId>com.activeviam.apps</groupId>
    <artifactId>market-data-api-spring-boot-starter</artifactId>
    <version>${project.version}</version>
</dependency>

For detailed information about the implementation and configuration, please refer to:

Topic	Section
Retrieval	Market Data Retrieval Service
Interpolation	Market Data Interpolation Service
Stores	Cube Market Data Store
	Curve Market Data Store
	FX Rate Market Data Store
	Spot Market Data Store
	Surface Market Data Store
File formats	Cube Market Data File Format
	Curve Market Data File Format
	FX Rate Market Data File Format
	Spot Market Data File Format
	Surface Market Data File Format