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/directquery.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 database/global.html
-
Global Database Definition
test ../ test database/pnl-database.html
-
PnL Database Definition
test ../ test database/sensitivities.html
-
Sensitivities Database Definition
test ../ test database/correlation_market_data.html
-- CORRELATION_MARKET_DATA
test ../ test database/dividend_market_data.html
-- DIVIDEND_MARKET_DATA
test ../ test database/sensi_ladders.html
-- SENSI_LADDERS
test ../ test database/sensi_ladders_vector.html
-- SENSI_LADDERS_VECTOR
test ../ test database/split_ratio_market_data.html
-- SPLIT_RATIO_MARKET_DATA
test ../ test database/trade_sensitivities.html
-- TRADE_SENSITIVITIES
test ../ test database/trade_sensitivities_vector.html
-- TRADE_SENSITIVITIES_VECTOR
test ../ test database/vares.html
-
VaR-ES Database Definition
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Sign-Off Approvals
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Limit monitoring
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Developer Guide
test ../ test dev/dev-release.html
-
Release and migration notes
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-
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-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
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PDF Guides
CORRELATION_MARKET_DATA
The CORRELATION_MARKET_DATA table is used to contain market data related to the correlation between risk factors.
It is an isolated table and not part of any cube facts.
Column Name
Type
Not Null
Default Value
Description
AS_OF_DATE
DATE
Y
Timestamp (at close of business) for the data.
MARKET_DATA_SET
STRING
Y
String defining the market data set, for example “Trader marks” or “Official EOD”.
RISK_FACTOR_ID
STRING
Y
The first risk factor in the correlation.
RISK_FACTOR_ID2
STRING
Y
The second risk factor in the correlation.
QUOTE
DOUBLE
Y
The correlation value.
Unique Key
Columns
AS_OF_DATE
MARKET_DATA_SET
RISK_FACTOR_ID
RISK_FACTOR_ID2