The file is used to provide per-instrument market prices for the greek-based PL calculations, through the SpotMarketData topic.
This Spot market data file type is identified using the pattern: **Spot_Market_Data*.csv (as specified by mr.common.file-patterns.spot-market-data).
This file is loaded using the SpotMarketData 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
The mr.common.file-patterns.spot-market-data property is set in the application.yaml file.
Field
Key
Null
FieldType
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
InstrumentId
Y
N
String
Identifier of the instrument. Must match risk factor identifier in the sensitivities files
USD.OIS
Quote
Double
Market data quote to be used by the greek-based calculation. Must correspond to sensitivities to the same risk factor.