☰
Navigation :

FX rates

Download sample file: FXRates.csv

Exchange rates used for currency conversion

This FX rates file type is identified using the pattern: **FXRates*_.csv (as specified by mr.common.file-patterns.fx-rates). This file is loaded using the FXRates topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.

For information on the glob patterns used and how to customize them, see note on File name patterns

Atoti Market Risk uses the rates defined by the MarketDataSets analysis hierarchy to perform currency conversion, based on the reporting currency you set and the native currencies (from underlying/contributing facts, for a given query scope) defined as follows:

Cube Level
VaR Ccy
Sensitivities DeltaCcy (for Delta), GammaCcy (for Gamma)

The FxRate for converting the native currency value into the reference currency value is obtained from the data in the FX Rates data store in the following lookup sequence.

  1. Direct: In most cases, the algorithm simply looks up the rate based on these key fields: AsOfDate, BaseCcy, CounterCcy. Initially the algorithm will search for the rate that will have AsOfDate, NativeCurrency, ReferenceCurrency in the key fields.

  2. Indirect: If the rate was not found, the algorithm searches for the rate by AsOfDate, ReferenceCurrency, NativeCurrency and takes the reciprocal of the rate if found.

  3. FXCrosses: If the rate is still not found at this stage, the algorithm computes the rate using the FX crosses via the “CommonCcy” configured with the mr.fx.common-currency property. For example, you need JPY/EUR for conversion and both JPY/USD and EUR/USD were provided.

For more information, see FX Calculation theory

Field Key Null FieldType Description Example
AsOfDate Y N String with format ‘YYYY-MM-DD’ Indicates the date of the file. See Note on AsOfDate.
MarketDataSet Y N String String defining the market data set ‘Official EOD’ or ‘Stressed’
BaseCcy Y N String The left side of the currency pair.
CounterCcy Y N String The right side of the currency pair.
Term Y N String The term of the rate. “Spot” or “3M”
Rate N N Double Forex rate between the two currencies.
RiskFactorId (optional field) N Y String Risk factor id used to compute FX risk “JPY_FX Equivalent”