Navigation :
test ../../../../../ test user-ref.html
User & Reference Guide
test ../../../../../ test getting-started.html
Getting started
test ../../../../../ test getting-started/about.html
- Using this guide
test ../../../../../ test getting-started/whats-new.html
- What's New
test ../../../../../ test getting-started/data-model.html
- Market Risk Data Model
test ../../../../../ test getting-started/direct-query.html
- DirectQuery
test ../../../../../ test dashboards.html
Dashboards
test ../../../../../ test calculations.html
Calculations Guide
test ../../../../../ test cube.html
Cube Reference
test ../../../../../ test datastore.html
Datastores
test ../../../../../ test input-files.html
Input file formats
test ../../../../../ test properties.html
Properties
test ../../../../../ test what-if.html
What-If Analysis
test ../../../../../ test database.html
Database
test ../../../../../ test sign-off.html
Sign-Off Approvals
test ../../../../../ test limits.html
Limit monitoring
test ../../../../../ test dev.html
Developer Guide
test ../../../../../ test dev/dev-release.html
-
Release and migration notes
test ../../../../../ test dev/dev-getting-started.html
-
Getting Started
test ../../../../../ test dev/dev-ui-config.html
-
Configuring the UI
test ../../../../../ test dev/dev-mr-application.html
-
The Market Risk Application
test ../../../../../ test dev/dev-libraries.html
-
Market Risk Libraries
test ../../../../../ test dev/dev-libraries/dev-market-data.html
--
Market data APIs
test ../../../../../ test dev/dev-libraries/dev-market-data/market-data-api.html
---
Market data API
test ../../../../../ test dev/dev-libraries/dev-market-data/market-data-api/data-loading.html
----
Market data API data loading
test ../../../../../ test dev/dev-libraries/dev-market-data/market-data-api/data-loading/cube-market-data.html
----- Cube market data file format
test ../../../../../ test dev/dev-libraries/dev-market-data/market-data-api/data-loading/curve-market-data.html
----- Curve market data file format
test ../../../../../ test dev/dev-libraries/dev-market-data/market-data-api/data-loading/fx-market-data.html
----- FX rate market data file format
test ../../../../../ test dev/dev-libraries/dev-market-data/market-data-api/data-loading/instrument-market-data.html
----- Instrument market data file format
test ../../../../../ test dev/dev-libraries/dev-market-data/market-data-api/data-loading/surface-market-data.html
----- Surface market data file format
test ../../../../../ test dev/dev-libraries/dev-market-data/market-data-api/data-model.html
----
Market data API data model
test ../../../../../ test dev/dev-libraries/dev-market-data/market-data-api/interpolation.html
----
Market data interpolation APIs
test ../../../../../ test dev/dev-libraries/dev-market-data/market-data-api/retrieval.html
----
Market data retrieval in the market data API data model
test ../../../../../ test dev/dev-libraries/dev-market-data/deprecated-market-data-api.html
---
Deprecated Market Data Retrieval Service
test ../../../../../ test dev/dev-libraries/dev-datastore.html
--
Market Risk Datastore Configuration
test ../../../../../ test dev/dev-libraries/dev-drpivot.html
-- DoctorPivot - viewing measures and PostProcessors
test ../../../../../ test dev/dev-libraries/dev-measures-context.html
-- Measures and context values
test ../../../../../ test dev/dev-libraries/dev-cube.html
--
MR Cubes
test ../../../../../ test dev/dev-libraries/postprocessors.html
-- Post-processors
test ../../../../../ test dev/dev-libraries/sign-off-analysis-hierarchy.html
-- Sign-Off Analysis Hierarchy
test ../../../../../ test dev/dev-extensions.html
-
Extending Atoti Market Risk
test ../../../../../ test dev/dev-tools.html
-
Configuring tools and methodologies
test ../../../../../ test dev/dev-sign-off.html
-
Sign-Off
test ../../../../../ test dev/dev-whatif.html
-
What-If
test ../../../../../ test dev/dev-direct-query.html
-
DirectQuery
test ../../../../../ test pdf-guides.html
PDF Guides
Cube market data file format
The file is used to provide three-axis market prices for the greek-based PL calculations, through the CubeMarketDataStore
topic.
The mr.common.file-patterns.cube-market-data
property is empty by default, with a potential value available in the CommonFilePatterns.CUBE_MARKET_DATA_FILE_PATTERN
constant.
Field
Key
Nullable
Type
Description
Example
AsOfDate
Y
N
String with format ‘YYYY-MM-DD’
Indicates value date.
2019-01-01
MarketDataSet
Y
N
String
String defining the market data set, for example "Trader marks" or "Official EOD".
Official EOD
CubeId
Y
N
String
Identifier of the cube. Must match risk factor identifier in the sensitivities files.
USD.OIS
Tenor
Y
N
String
A tenor, such as 3M, 5Y, and so on.
1Y
Moneyness
Y
N
String
A moneyness value.
45p
UnderlyingMaturity
Y
N
String
An underlying maturity for volatility cubes.
0.5Y
Quote
Double
Market data quote to be used by the greek-based calculation. Must correspond to sensitivities to the same risk factor.
2453.1