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Split Ratio Current

Description The split ratio for the current as-of date, using the primary risk factor as an instrument ID.
Hierarchies required in the view

This is representing the split ratio of a stock split of the market data applied to the current location for the current day. The split ratio applies to the Risk Factors hierarchy. The split ratio is NOT applied backward to the Spot MD Current, it is only used to ensure PnL explain consistency.

Here is an example of the split ratio with the related market data:

AsOfDate Split Ratio Current Spot MD Current Delta
2023-09-29 44.75 2000
2023-09-28 2.00 44.80 2000
2023-09-27 89.86 1000
2023-09-26 90.61 1000

The split ratio uses the SplitRatioMarketDataPostProcessor, an extension of the SingleMarketDataPostProcessor that is part of the Market Data API.

The metric uses the SplitRatioMarketData store to get the split ratio.