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Surface MD Previous

Description Surface market data for the previous as-of date, using the primary risk factor as a surface ID.
Hierarchies required in the view

This measure retrieves one plot of a surface market data for the previous day, i.e. a market data that is characterized with 2 different parameters. The Risk Factors hierarchy defines the market data name. The 2 parameters are:

  1. The Tenors hierarchy
  2. The Moneyness hierarchy

The Surface market data uses the SurfaceMarketDataPostProcessor that is part of the Market Data API.

The metric uses the SurfaceMarketData store to get the surface market data values. The previous day is defined according to the dates stored on the SurfaceMarketData store.