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MR-specific configuration

Scopes

The scope describes which data is loaded and unloaded.

Each request to the Data Load Controller contains a scope. In the default implementation, the as-of date scope is turned into a directory and all the files in that directory are loaded. When unloading data, the scope is turned into a RemoveWhere clause to be run on the datastore.

There are three different scopes in the default implementation.

Scope Description
Configuration Scope This scope is used for configuration files, including the parameters which are fetched by the parameters API. Data in this scope typically has a “start date” rather than an as-of date.
The files in this scope are found in the “configuration” directory.
This scope has no parameters.
Historical Scope This scope is used for historical summary data. This data is not at the trade level and does not include recent dates. Instead it is at the aggregate level (for example, book and legal entity) and contains a long history.
The files in this scope are found in the “historical” directory.
This scope has no parameters.
As-Of Date Scope This scope is for the daily trade-level files.
The files in this scope are found in directories whose names match the requested date. This scope is parameterized by as-of date.
For example:
"scope":{ "AsOfDate": "2018-09-27" }

Topic Aliases

Each input file is loaded with a topic (see Input file formats). Topic aliases are used to group those topics. The topic aliases are defined in the application.yaml file.

Atoti Market Risk contains the following topic aliases:

Alias Description Topic
DynamicSensiPillars Dynamic pillars for Tenor, Maturity and Moneyness DynamicTenors, DynamicMaturities, DynamicMoneyness
SensiPillars DynamicSensiPillars DynamicSensiPillars
DailySensiConfig The whole configuration for the sensitivities based on an as-of date scope RiskFactorsCatalogue, SensiLadders
SensiConfig DailySensiConfig & SensiPillars DailySensiConfig, SensiPillars
Sensitivities Sensitivity metrics Delta, Gamma, Vega, Volga, Theta, Vanna, Correlation, CrossGamma
AllSensi Data for one day in the sensitivity cube DailySensiConfig, Sensitivities, CubeMarketData, CurveMarketData, FxRateMarketData, SpotMarketData, SurfaceMarketData
ParentChild Parent-child stores, that is, with a tree structure BookParentChild, LegalEntityParentChild, CounterpartyParentChild, Counterparties
Attributes Attributes related to the underlying, currency, and scenario TradeAttributes, Scenarios, Countries, MarketShifts, SignOffDigestStore
AllConfiguration The entire static configuration SensiPillars
AllAttributes The whole configuration: DailySensiConfig, ParentChild, and Attributes DailySensiConfig, ParentChild, Attributes
AllFacts Main data (sensi, var, pnl) for all the cubes TradePnLs, PnL, AllSensi, BaseStore, PnLBaseStore, SensiBaseStore
AllMarketData All the market data stores needed to compute the PnL explan SpotMarketData, CubeMarketData, FxRateMarketData, CurveMarketData, SurfaceMarketData, MarketData, CorrelationMarketData, SplitRatioMarketData, CorporateAction, DividendMarketData
All Everything AllAttributes, AllFacts

Configuration Properties

The following Spring properties can be set:

Property Default Value Description
mr.data-load.initial-business-dates (null) If set, the set of as-of dates to load at start-up.
mr.data-load.initial-load-source (null) If multiple sources are defined, this property must be set to choose the right one for the initial load.
dlc.* This section of the properties contains all the DLC-specific configuration. Please see the Data Connectors documentation for more details.
  • The aliases are defined under the dlc.aliases and can be customized.
  • The input sources are defined under the dlc.local.sources and dlc.csv.azure.sources and can be customized.
  • The default topics used by Atoti Market Risk are defined by Java beans and not by the DLC configuration. The used file patterns are defined in their own section outside the DLC property set.
  • The default local csv source setup is provided by the file application-dlc-local-csv.yaml accessible with the Spring profile dlc-local-csv.
  • The default Azure csv source setup is provided by the file application-dlc-azure-csv.yaml accessible with the Spring profile dlc-azure-csv.

We recommend using the DLC section dlc.csv-topics to add topics to Atoti Market Risk.

Initial Load

On startup, the following topic aliases are loaded (without parameters):

  • AllConfiguration

Additionally, a list of as-of dates is determined as follows:

  • If the configuration parameter mr.data-load.initial-business-dates is set, the as-of dates listed are used. For example, in the application.yaml file:

    mr:
  data-load:
    initial-business-dates:2018-09-28,2018-09-27

  • Otherwise, the top level of the data directory is scanned for directories whose names are dates. These dates are used for the as-of dates in the initial load. (This matches the previous start-up behavior).

For this set of as-of dates, the following topics are loaded with the “AsOfDate” field set in the scope:

  • AllAttributes

  • AllFacts

Additionally, if there is a next business date available in the data directory, the following stores are loaded for the next day. This is mandatory for the correct calculation of the PNL Explain especially in a distributed environment. For instance, if mr.data-load.initial-business-dates=2018-09-27 then 2018-09-28 will be loaded for:

  • MarketData

  • FXRates

REST Service

HTTP POST URL: /mr-application/services/rest/dlc/execute

Body (sample):


{ "operation":"unload",  
"topics":\[  
"ALLSA", "ALLIMADaily"  
\],  
"scope":{  
"AsOfDate":"2018-09-27"  
}

Summary/trend data

Depending on whether the summary cubes are activated (Var-ES Summary cube, Sensi Summary cube, PnL Summary cube), the corresponding topics will load a different file into a different store:

property key value topic file pattern base store Cube
cubes.enable.var-summary true BaseStore **VaR-ES Cube*.csv BaseStore Var-ES Summary cube
cubes.enable.var-summary false BaseStore **SummaryVaR*.csv TradePnLs Var-ES cube
cubes.enable.pnl-summary true PnLBaseStore **PLCube*.csv PnLBaseStore PnL Summary cube
cubes.enable.pnl-summary false PnLBaseStore **SummaryPL*.csv PnL PnL cube
cubes.enable.sensi-summary true SensiBaseStore **Sensitivity Cube*.csv SensiBaseStore Sensi Summary cube
cubes.enable.sensi-summary false SensiBaseStore **SummarySensitivity*.csv TradeSensitivities Sensi cube