Market data API data loading
The market data API provides two options for loading data into the stores.
This section provides information about:
- data loading properties.
- selecting between the new and backwards compatible file formats.
- conditional annotations for Spring configuration.
- configuration classes that need to be imported for:
- backwards compatibility with the deprecated file format.
- new data file formats.
Properties
The following properties have been added to the application:
Property | Default | Details |
---|---|---|
mr.common.file-patterns.spot-market-data |
None | An SPOT_MARKET_DATA_FILE_PATTERN constant with the value glob:**Spot_Market_Data*.csv is available in CommonFilePatternProperties . |
mr.common.file-patterns.curve-market-data |
None | A CURVE_MARKET_DATA_FILE_PATTERN constant with the value glob:**Curve_Market_Data*.csv is available in CommonFilePatternProperties . |
mr.common.file-patterns.fx-rate-market-data |
None | An FX_RATE_MARKET_DATA_FILE_PATTERN constant with the value glob:**FX_Rate_Market_Data*.csv is available in CommonFilePatternProperties . |
mr.common.file-patterns.surface-market-data |
None | A SURFACE_MARKET_DATA_FILE_PATTERN constant with the value glob:**Surface_Market_Data*.csv is available in CommonFilePatternProperties . |
mr.common.file-patterns.cube-market-data |
None | A CUBE_MARKET_DATA_FILE_PATTERN constant with the value glob:**Cube_Market_Data*.csv is available in CommonFilePatternProperties . |
Selecting between new and backwards compatible file formats
If the Market Data API Spring Boot Starter is imported into the application with the default source configuration, the selection between the file formats will be based on whether a pattern has been defined for the specific market data store.
For example, if the mr.common.file-patterns.spot-market-data
property has been set to glob:**Spot_Market_Data*.csv
and mr.common.file-patterns.cube-market-data
has been left empty, the SpotMarketData
store will expect the preview file format, whereas the CubeMarketData
store will be loaded from the current file format.
The Atoti Market Risk solution defaults to backwards compatible data loading and does not currently provide sample data files for the preview formats.
Conditional annotations
To allow the correct configuration to be loaded if all source configuration classes are imported, the following annotations are available for both @Bean
methods and @Configuration
classes:
Annotation | Matching |
---|---|
@ConditionalOnBCSpotMarketDataFileFormatDisabled |
Matches if the mr.common.file-patterns.spot-market-data property has a value. |
@ConditionalOnBCSpotMarketDataFileFormatEnabled |
Matches if the mr.common.file-patterns.spot-market-data property isn’t set. |
@ConditionalOnBCCurveMarketDataFileFormatDisabled |
Matches if the mr.common.file-patterns.curve-market-data property has a value. |
@ConditionalOnBCCurveMarketDataFileFormatEnabled |
Matches if the mr.common.file-patterns.curve-market-data property isn’t set. |
@ConditionalOnBCSurfaceMarketDataFileFormatDisabled |
Matches if the mr.common.file-patterns.surface-market-data property has a value. |
@ConditionalOnBCSurfaceMarketDataFileFormatEnabled |
Matches if the mr.common.file-patterns.surface-market-data property isn’t set. |
@ConditionalOnBCCubeMarketDataFileFormatDisabled |
Matches if the mr.common.file-patterns.cube-market-data property has a value. |
@ConditionalOnBCCubeMarketDataFileFormatEnabled |
Matches if the mr.common.file-patterns.cube-market-data property isn’t set. |
@ConditionalOnBCFxRateMarketDataFileFormatDisabled |
Matches if the mr.common.file-patterns.fx-rate-market-data property has a value. |
@ConditionalOnBCFxRateMarketDataFileFormatEnabled |
Matches if the mr.common.file-patterns.fx-rate-market-data property isn’t set. |
Backwards compatibility
The market data can be loaded from the deprecated market data input file format, while the FX store can be loaded from the deprecated FX rates file.
The sources are included in the application by default through the AllBackwardsCompatibleMarketDataSources
configuration class.
Spot market data loading
Defined in the BCSpotMarketDataCsvSourceParametersProviderConfig
class. Each row will be checked for validity as follows:
Axis field | Empty | Filled in |
---|---|---|
TenorLabels | Y | N |
TenorDates | Y | N |
MaturityLabels | Y | N |
MaturityDates | Y | N |
MoneynessLabels | Y | N |
Nominal | Y | N |
Curve market data loading
Defined in the BCCurveMarketDataCsvSourceParametersProviderConfig
class. Each row will be checked for validity as follows:
Axis field | Empty | Filled in |
---|---|---|
TenorLabels | N | Y |
TenorDates | Y | N |
MaturityLabels | Y | N |
MaturityDates | Y | N |
MoneynessLabels | Y | N |
Nominal | Y | N |
Surface market data loading
Defined in the BCSurfaceMarketDataCsvSourceParametersProviderConfig
class. Each row will be checked for validity as follows:
Axis field | Empty | Filled in |
---|---|---|
TenorLabels | N | Y |
TenorDates | Y | N |
MaturityLabels | Y | N |
MaturityDates | Y | N |
MoneynessLabels | N | Y |
Nominal | Y | N |
Cube market data loading
Defined in the BCCubeMarketDataCsvSourceParametersProviderConfig
class. Each row will be checked for validity as follows:
Axis field | Empty | Filled in |
---|---|---|
TenorLabels | N | Y |
TenorDates | Y | N |
MaturityLabels | N | Y |
MaturityDates | Y | N |
MoneynessLabels | N | Y |
Nominal | Y | N |
FX rate
Defined in the BCFxRateMarketDataCsvSourceParametersProviderConfig
class. From the old file format, the Term
and RiskFactorId
fields will be ignored.
New data file formats
If backwards compatibility isn’t required, sources matching the data model stores are available. The file formats in this section refer to this data loading mode.
Cube market data loading
Defined in the CubeMarketDataCsvSourceParametersProviderConfig
class.
Input file: Cube market data
Curve market data loading
Defined in the CurveMarketDataCsvSourceParametersProviderConfig
class.
Input file: Curve market data
FX rate
Defined in the FxRateMarketDataCsvSourceParametersProviderConfig
class.
Input file: FX rate market data
Spot market data loading
Defined in the SpotMarketDataCsvSourceParametersProviderConfig
class.
Input file: Spot market data
Surface market data loading
Defined in the SurfaceMarketDataCsvSourceParametersProviderConfig
class.
Input file: Surface market data