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RiskFactorsCatalog

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).
RiskFactorId Y N String RiskFactor The internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier
RiskClass N N String RiskClass The risk factor’s asset class:
  • Interest rate
  • Credit spread
  • Foreign exchange
  • Equity
  • Commodity
  • Hybrid
Bucket N N String not used in cube Placeholder.
Qualifier N N String Qualifier The identifier of a risk factor’s set.

Example: Reference instrument identifier, curve identifier, vol surface identifier, etc.
RiskFactorType N N String RiskFactorType The type of underlying risk factor.

Example: “implied rate”, “repo margin”, “currency pair”, “skew parameter”, “correlation parameter”, “recovery rate”
RiskFactorCcy N N String RiskFactorCcy The three-letter ISO currency code that represents the currency of the risk factor. For example, EUR.