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MarketData

Store Field Key CanBeNull Type Cube Field Description
AsOfDate Y N Object AsOfDate Indicates the date of the file. The files in this document that contain an AsOfDate column will rely on that AsOfDate when loaded into the Atoti Server datastores. For the files that do not specify this column (whether described in this document or not), the AsOfDate is taken from the directory structure – these files should reside in the appropriate folder (usually ./data/20xx-yy-zz/ … /*.csv).
MarketDataSet Y N String String defining the market data set
RiskFactor Y N String RiskFactor The internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier
Quote N N Double[] Vector of market price quotes. It can be a single value, vector, flattened matrix (tenor x maturity) or flattened cube (tenor x maturity x moneyness)
TenorLabels N Y String[] Tenor Tenor labels, such as 3M, 5Y, and so on, if applicable
Maturity N Y String[] Maturity Maturity labels, such as 3M, 5Y, and so on, if applicable
Moneyness N Y String[] Moneyness Moneyness labels, if applicable
TenorDates N Y String[] Tenor Dates
MaturityDates N Y String[] Maturity Dates
Nominal N Y Double