Common module properties

Overview

These are the properties used to configure the mr-common-config module.

File values

Key Description Default value
mr.bucketing.days.month Number of days to use months when converting pillars for bucketing purposes. Used in the buckets level comparator. 30
mr.bucketing.days.week Number of days to use weeks when converting pillars for bucketing purposes. Used in the buckets level comparator. 7
mr.bucketing.days.year Number of days to use years when converting pillars for bucketing purposes. Used in the buckets level comparator. 360
mr.bucketing.sets.maturities The names of the available maturity sets to be selectable in a context value. Must match inputs in the DynamicMaturities files. [DEFAULT, REDUCED]
mr.bucketing.sets.moneyness The names of the available moneyness sets to be selectable in a context value. Must match inputs in the DynamicMoneyness file. [DEFAULT, NO_SMILE]
mr.bucketing.sets.tenors The names of the available tenor sets to be selectable in a context value. Must match inputs in the DynamicTenors files. [DEFAULT, REDUCED, DECADE]
mr.common.file-patterns.book-parent-child Pattern for the Book Parent Child input file. glob:**BookParentChild*.csv
mr.common.file-patterns.counterparties Pattern for the Counterparties input file. glob:**Counterparties*.csv
mr.common.file-patterns.counterparty-parent-child Pattern for the Counterparty Parent Child input file. glob:**CounterpartyParentChild*.csv
mr.common.file-patterns.countries Pattern for the Countries input file. glob:**Countries*.csv
mr.common.file-patterns.cube-level-adjustment Pattern for the Cube Adjustments input file. glob:**cubeAdjustment*.csv*
mr.common.file-patterns.cube-market-data Pattern for the MR 5.3+ Cube Market Data input file.
mr.common.file-patterns.curve-market-data Pattern for the MR 5.3+ Curve Market Data input file.
mr.common.file-patterns.fx-rate-market-data Pattern for the MR 5.4+ FX Rate Market Data input file.
mr.common.file-patterns.fx-rates Pattern for the FX Rates input file. glob:**FXRates*.csv
mr.common.file-patterns.instrument-market-data Pattern for the MR 5.3+ Instrument Market Data input file.
mr.common.file-patterns.legal-entity-parent-child Pattern for the Legal Entity Parent Child input file. glob:**LegalEntityParentChild*.csv
mr.common.file-patterns.market-data Pattern for the MR 5.2 Market Data input file. regex:^(?i).*MarketData(?<!MarketDataSets).*\.csv.*$
mr.common.file-patterns.market-data-sets Pattern for the Market Data Sets input file. glob:**MarketDataSets*.csv
mr.common.file-patterns.quantiles Pattern for the Quantiles2Rank for VaR input file. glob:**Quantiles*.csv
mr.common.file-patterns.risk-factor-catalog Pattern for the Risk Factors Catalog input file. glob:**RiskFactorsCatalog*.csv
mr.common.file-patterns.risk-factor-market-shifts Pattern for the Risk Factor Market Shifts input file. glob:**MarketShifts*.csv
mr.common.file-patterns.rounding-methods Pattern for the Rounding Methods for VaR input file. glob:**RoundingMethods*.csv
mr.common.file-patterns.scenarios Pattern for the Scenarios input file. glob:**Scenarios*.csv
mr.common.file-patterns.surface-market-data Pattern for the MR 5.3+ Surface Market Data input file.
mr.common.file-patterns.trade-attributes Pattern for the Trade Attributes input file. glob:**TradeAttributes*.csv
mr.confidence.defaults.expected-shortfall Expected shortfall default confidence percentage. 97.5
mr.confidence.defaults.expected-tail-gain Expected tail gain default confidence percentage. 97.5
mr.confidence.defaults.shift-percentile Shift Percentile default context value. 95.0
mr.confidence.defaults.value-at-earnings Value at earnings default confidence percentage. 95.0
mr.confidence.defaults.value-at-risk Value at risk default confidence percentage. 99.0
mr.confidence.defaults.weighted-var-lambda Weighted VaR default lambda parameter. 0.94
mr.confidence.levels Confidence levels used to define specific measures. [97.5, 99]
mr.configuration.virtual-hierarchies List of hierarchies that are set as virtual
mr.cubes.context-values.defaults.market-data-set Default market data set to use for the calculations. Official EOD
mr.cubes.context-values.defaults.pnl.type Default PnL type for PnL cube. Actual PL Attributed
mr.cubes.context-values.defaults.pnl.vector-size PnL vector size. Used for setting context value maximum values. 250
mr.cubes.context-values.defaults.quantile Default quantile for Tail measure calculations. EQUAL_WEIGHT
mr.cubes.context-values.defaults.queries-time-limit-combined The query time limit in seconds for the combined query cube, defined by the “queriesTimeLimit” context value. 30
mr.cubes.context-values.defaults.queries-time-limit-data The query time limit in seconds for all the data cubes, defined by the “queriesTimeLimit” context value. 30
mr.cubes.context-values.defaults.rounding-method Default rounding method for Tail measure calculations. CEIL
mr.cubes.context-values.defaults.var-es.time-period The default number of days used to scale the VaR metric. 1
mr.cubes.context-values.display-names.quantiles The display names of quantiles used for Tail measure calculations. The key is the plugin key for the IVaRQuantile implementation, and the value is the name to use in the UI. [EQUAL_WEIGHT: Equal Weight, CENTERED: Centered, EXCLUSIVE: Exclusive, SIMPLE: Simple]
mr.cubes.context-values.display-names.rounding-methods The display names of rounding methods used for Tail measure calculations. The key is the plugin key for the IVaRRounding implementation, and the value is the name to use in the UI. [FLOOR: Floor, CEIL: Ceil, ROUND: Round, ROUND_EVEN: Round Even, WEIGHTED: Weighted]
mr.cubes.context-values.reference-levels List of the possible Levels for the Reference Level Context Value that will be used by the ReferenceLevelLocationShiftLight post-processor. The empty slot behaves like the top location. [, Book@Books, Desk@Desks, Legal Entity@Legal Entities, Level 1@BookHierarchy, Level 2@BookHierarchy, Level 3@BookHierarchy, Level 4@BookHierarchy, Level 5@BookHierarchy, Level 1@LegalEntityHierarchy, Level 2@LegalEntityHierarchy, Legal Entity@Legal Entities]
mr.cubes.formatters.array-format Double array formatter with at most 2 digits after the decimal separator. DOUBLE_ARRAY[#.###########]
mr.cubes.formatters.date-format The date formatters for timestamps. DATE[HH:mm:ss]
mr.cubes.formatters.double-format The formatter for double measures with at most 2 digits after the decimal separator. DOUBLE[#,##0.00;-#,##0.00]
mr.cubes.formatters.integer-format The int formatter. INT[#,###]
mr.cubes.formatters.percent-format The formatter for percentage double measures. DOUBLE[#,##0.00%]
mr.cubes.levels.as-of-date The as-of date level. AsOfDate@Date@Dates
mr.cubes.levels.books The book level. Book@Books@Booking
mr.cubes.levels.currency Level containing the local currency. Ccy@Currencies@Currencies
mr.cubes.levels.day-to-day Slicing hierarchy used for day-to-day figures comparison. DayToDay@DayToDay@Dates
mr.cubes.levels.day-to-day-members List of specific members used to perform day-to-day operations in addition to the asOfDates. Each entry should be in the format: NAME=OFFSET, e.g Yesterday=DAY-1 [Yesterday=DAY-1, Day-2=DAY-2, Tomorrow=DAY+1, End Of Month=EOM-1, End Of Quarter=EOQ-1, End Of Year=EOY-1]
mr.cubes.levels.display-currency The display currency level name used by the cubes. displayCurrency@displayCurrency@Currencies
mr.cubes.levels.dynamic-maturities Dynamic maturity levels used for vectorized sensitivities, from analysis hierarchies. Maturity@DynamicMaturities@DynamicBucketing
mr.cubes.levels.dynamic-moneyness Dynamic moneyness levels used for vectorized sensitivities, from analysis hierarchies. Moneyness@DynamicMoneyness@DynamicBucketing
mr.cubes.levels.dynamic-tenors Dynamic tenor levels used for vectorized sensitivities, from analysis hierarchies. Tenor@DynamicTenors@DynamicBucketing
mr.cubes.levels.end-index Level used as the end index to create a sub-pnl vector for ES, VaR, EtG, VaE, and all their variations. PnLEndIndex@PnLEndIndex@PnLIndex
mr.cubes.levels.ladder-availability Sensitivity level containing the ladder shifts availability. Ladder Available@Ladder Availability@Risk
mr.cubes.levels.ladder-shifts Sensitivity level containing the ladder shifts. Ladder Shift@Ladder Shifts@Risk
mr.cubes.levels.market-data-set Level containing the market data set. MarketDataSet@MarketDataSets@MarketData
mr.cubes.levels.market-shift-date Level containing the date used to select market shifts for Taylor calculations. MarketShiftDate@MarketShiftDate@Dates
mr.cubes.levels.maturities Maturity levels used for vectorized sensitivities, from analysis hierarchies. Examples: 2022-06-30 Maturity@Maturities@Risk
mr.cubes.levels.maturities-date Maturity axis sub-level. Maturity Date@Maturities@Risk
mr.cubes.levels.maturities-date2 Second Maturity axis sub-level used for correlation printout. Maturity Date2@Maturities Secondary@Risk
mr.cubes.levels.maturities2 Second maturity axis used for correlation printout. Maturity2@Maturities Secondary@Risk
mr.cubes.levels.moneyness Moneyness levels used for vectorized sensitivities, from analysis hierarchies. Moneyness@Moneyness@Risk
mr.cubes.levels.moneyness2 Second moneyness axis used for correlation printout. Moneyness2@Moneyness Secondary@Risk
mr.cubes.levels.notional-currency Currency used for the notional value. NotionalCcy@NotionalCurrencies@TradeAttributes
mr.cubes.levels.percentile Level containing the percentile. Percentile@Percentile@Risk
mr.cubes.levels.quantile-rank The quantile rank level. QuantileName@Quantiles@Quantiles
mr.cubes.levels.risk-class Level containing the risk class. RiskClass@Risk Classes@Risk
mr.cubes.levels.risk-factor Level containing the risk factor axis. RiskFactor@Risk Factors@Risk
mr.cubes.levels.risk-factor2 Level description of second risk factor axis (used for Vanna, Correlation, etc). RiskFactor2@Risk Factors Secondary@Risk
mr.cubes.levels.rounding The rounding level. MethodName@RoundingMethods@Rounding
mr.cubes.levels.scenario Level containing the scenario analysis hierarchy. Scenario@Scenarios@Risk
mr.cubes.levels.scenario-set Level containing the scenario set. Scenario Set@Scenario Sets@Risk
mr.cubes.levels.sensitivity-kind Kind of sensitivity. Sensitivity Kind@Sensitivity Kind@Sensitivity Kind
mr.cubes.levels.sensitivity-name Level containing the sensitivity names. SensitivityName@Sensitivity@Sensitivities
mr.cubes.levels.source-currency Second currency axis, used for FX table printout. srcCurrency@srcCurrency@Currencies
mr.cubes.levels.start-index Level used as the start index to create a sub-pnl vector for ES, VaR, EtG, VaE, and all their variations. PnLStartIndex@PnLStartIndex@PnLIndex
mr.cubes.levels.tenors Tenor levels used for vectorized sensitivities, from analysis hierarchies. Examples: 1W, 6M, 5Y Tenor@Tenors@Risk
mr.cubes.levels.tenors-date Tenor axis sub-level. Tenor Date@Tenors@Risk
mr.cubes.levels.tenors-date2 Second Tenor axis sub-level used for correlation printout. Tenor Date2@Tenors Secondary@Risk
mr.cubes.levels.tenors2 Second tenor axis used for correlation printout. Tenor2@Tenors Secondary@Risk
mr.cubes.levels.trade-maturity-date Level containing the maturity date of the trade. MaturityDate@MaturityDates@TradeAttributes
mr.cubes.levels.trades The trades level. TradeId@Trades@Booking
mr.cubes.levels.var-inclusion Level containing the VaR inclusion. VaR inclusion type@VaR inclusion type@TradeAttributes
mr.data-load.csv.buffer-size The size of the buffers (in KB) used by the parser threads. 1024
mr.data-load.csv.dataset Path to the directory containing the files to load. Either an absolute path or relative to the classpath. data
mr.data-load.csv.lines-to-skip Number of lines to skip in each file before parsing. Used, for example, when column headers are present. 1
mr.data-load.csv.parser-threads Number of threads used to parse the files. 18
mr.data-load.csv.separator Separator used to parse CSV files. ,
mr.data-load.csv.synchronous-mode Boolean used to activate the synchronous mode of the CSV Sources. false
mr.data-load.format Changing the value to a lower version enables the old sensitivity file format. 5.1
mr.data-load.initial-business-dates Date filtering: date loaded in memory (filtered out if DirectQuery). Value is empty, which means that no filtering is performed by default.
mr.data-load.source Sets the location where data will be loaded from. local-file-system
mr.enable.cubes.common Set to false to disable MRCombinedCube. true
mr.enable.cubes.market-data Set to false to disable Market Data cube. true
mr.enable.cubes.pnl Set to false to disable PnL cube. true
mr.enable.cubes.pnl-summary Set to false to disable PnL Summary cube. true
mr.enable.cubes.sensi Set to false to disable Sensi cube. true
mr.enable.cubes.sensi-summary Set to false to disable Sensi Summary cube. true
mr.enable.cubes.var-es Set to false to disable VaR-ES cube. true
mr.enable.cubes.var-summary Set to false to disable VaR-ES Summary cube. true
mr.enable.data-model.aggregated Set to true to store summary data in an aggregated format. false
mr.enable.data-model.scalar-sensitivities Set to true to store sensitivities in a scalar format. true
mr.enable.tracing.open-telemetry Set to true to enable OpenTelemetry tracing configuration. false
mr.fx.common-currency Common currency used by FX Rates Service. Sets the currency to use for indirect FX rate look-ups (e.g AUD/SGD as AUD/EUR * EUR/SGD). EUR
mr.fx.display-currencies Order of the available reference currencies in the display currency level. [EUR, USD, GBP, CHF, JPY, SEK, NOK, CAD, AUD]
mr.fx.risk-class-member Risk class used to compute FX risk. FX
mr.maturities.custom-fact-dates Defines the source levels containing maturity dates for additional sensitivities. The key is the sensitivity name.
mr.maturities.custom-fact-labels Defines the source levels containing maturity labels for additional sensitivities. The key is the sensitivity name.
mr.maturities.custom-fact-levels Defines the source maturity levels to use for additional sensitivities. The key is the sensitivity name.
mr.maturities.vanna-fact-dates Defines the source levels containing maturity dates for vanna sensitivities. Maturity Date@Maturity Dates@Risk
mr.maturities.vanna-fact-labels Defines the source levels containing maturity labels for vanna sensitivities. Maturity@Maturities@Risk
mr.maturities.vanna-fact-levels Defines the source maturity levels to use for vanna sensitivities. [Maturity Date@Maturity Dates@Risk, Maturity@Maturities@Risk]
mr.maturities.vega-fact-dates Defines the source levels containing maturity dates for vega sensitivities. Maturity Date@Maturity Dates@Risk
mr.maturities.vega-fact-labels Defines the source levels containing maturity labels for vega sensitivities. Maturity@Maturities@Risk
mr.maturities.vega-fact-levels Defines the source maturity levels to use for vega sensitivities. [Maturity Date@Maturity Dates@Risk, Maturity@Maturities@Risk]
mr.maturities.volga-fact-dates Defines the source levels containing maturity dates for volga sensitivities. Maturity Date@Maturity Dates@Risk
mr.maturities.volga-fact-labels Defines the source levels containing maturity labels for volga sensitivities. Maturity@Maturities@Risk
mr.maturities.volga-fact-levels Defines the source maturity levels to use for volga sensitivities. [Maturity Date@Maturity Dates@Risk, Maturity@Maturities@Risk]
mr.messenger.protocol-file-path JGroup configuration file used for distributed cubes. jgroups-protocols/protocol-udp.xml
mr.metrics.agg-summary-list The list of the technical names of the relative metrics created for the Var-ES summary cube on the aggregated profile. [booking, top]
mr.metrics.booking.clear-filter If set to true, the top metric is taken by also clearing all the query filters.
mr.metrics.booking.exclude A list of hierarchies that are excluded from the top level computation.
mr.metrics.booking.folder Defines the sub-folder used for the relative metrics. It can be empty. \Booking
mr.metrics.booking.hierarchy Defines the axis used to find out the parent for the relative metrics. BookHierarchy@Organization
mr.metrics.booking.null-at-top If set to true, the metric returns null at the top level. true
mr.metrics.booking.post-processor Defines the post-processor that computes the reference used by the relative metrics. ParentValue
mr.metrics.booking.suffix Defines the suffix appended to the relative metrics. It can be empty. Booking
mr.metrics.custom-metrics Configuration for metrics not captured by the default properties. The key is the metric name.
mr.metrics.rlshift.clear-filter If set to true, the top metric is taken by also clearing all the query filters.
mr.metrics.rlshift.exclude A list of hierarchies that are excluded from the top level computation.
mr.metrics.rlshift.folder Defines the sub-folder used for the relative metrics. It can be empty. \Reference Level
mr.metrics.rlshift.hierarchy Defines the axis used to find out the parent for the relative metrics.
mr.metrics.rlshift.null-at-top If set to true, the metric returns null at the top level.
mr.metrics.rlshift.post-processor Defines the post-processor that computes the reference used by the relative metrics. ReferenceLevelLocationShiftLight
mr.metrics.rlshift.suffix Defines the suffix appended to the relative metrics. It can be empty. Reference Level
mr.metrics.std-list The list of the technical names of the relative metrics created for VaR-ES calculations. [booking, top, trades, rlshift]
mr.metrics.std-summary-list The list of the technical names of the relative metrics created for the Var-ES summary cube on the default/full profile. [booking, top, trades]
mr.metrics.top.clear-filter If set to true, the top metric is taken by also clearing all the query filters. false
mr.metrics.top.exclude A list of hierarchies that are excluded from the top level computation.
mr.metrics.top.folder Defines the sub-folder used for the relative metrics. It can be empty. \Top
mr.metrics.top.hierarchy Defines the axis used to find out the parent for the relative metrics.
mr.metrics.top.null-at-top If set to true, the metric returns null at the top level. false
mr.metrics.top.post-processor Defines the post-processor that computes the reference used by the relative metrics. TopPostProcessor
mr.metrics.top.suffix Defines the suffix appended to the relative metrics. It can be empty. Top
mr.metrics.trades.clear-filter If set to true, the top metric is taken by also clearing all the query filters.
mr.metrics.trades.exclude A list of hierarchies that are excluded from the top level computation.
mr.metrics.trades.folder Defines the sub-folder used for the relative metrics. It can be empty. \Trades
mr.metrics.trades.hierarchy Defines the axis used to find out the parent for the relative metrics. Trades@Booking
mr.metrics.trades.null-at-top If set to true, the metric returns null at the top level. true
mr.metrics.trades.post-processor Defines the post-processor that computes the reference used by the relative metrics. ParentValue
mr.metrics.trades.suffix Defines the suffix appended to the relative metrics. It can be empty. Trades
mr.moneyness.custom-fact-dates Defines the source levels containing moneyness dates for additional sensitivities. The key is the sensitivity name.
mr.moneyness.custom-fact-labels Defines the source levels containing moneyness labels for additional sensitivities. The key is the sensitivity name.
mr.moneyness.custom-fact-levels Defines the source moneyness levels to use for additional sensitivities. The key is the sensitivity name.
mr.moneyness.default-value Default value for moneyness. N/A
mr.moneyness.vanna-fact-dates Defines the source levels containing moneyness dates for vanna sensitivities.
mr.moneyness.vanna-fact-labels Defines the source levels containing moneyness labels for vanna sensitivities. Moneyness@Moneyness@Risk
mr.moneyness.vanna-fact-levels Defines the source moneyness levels to use for vanna sensitivities. Moneyness@Moneyness@Risk
mr.moneyness.vega-fact-dates Defines the source levels containing moneyness dates for vega sensitivities.
mr.moneyness.vega-fact-labels Defines the source levels containing moneyness labels for vega sensitivities. Moneyness@Moneyness@Risk
mr.moneyness.vega-fact-levels Defines the source moneyness levels to use for vega sensitivities. Moneyness@Moneyness@Risk
mr.moneyness.volga-fact-dates Defines the source levels containing moneyness dates for volga sensitivities.
mr.moneyness.volga-fact-labels Defines the source levels containing moneyness labels for volga sensitivities. Moneyness@Moneyness@Risk
mr.moneyness.volga-fact-levels Defines the source moneyness levels to use for volga sensitivities. Moneyness@Moneyness@Risk
mr.pnl-distribution.number-of-buckets Maximum number of buckets for PnLDistributionPostProcessor. 100
mr.risk.level-split This is used to concatenate two risk levels for market data lookup. /
mr.risk.risk-class-members Risk classes are used in order to define specific metrics.
mr.sensi.rules.cash.base.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.cash.base.interpolate True means interpolation of market data is allowed. false
mr.sensi.rules.cash.base.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.cash.base.ladder-formula The used ladder formula
mr.sensi.rules.cash.base.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.cash.base.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.cash.base.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.cash.base.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.cash.base.type The keyword defining the used formula. E.g. Absolute/Relative FXRelative
mr.sensi.rules.cash.custom Custom rules for cash PnL Explain calculations. The key is the risk class to which the rule applies.
mr.sensi.rules.correlation.base.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.correlation.base.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.correlation.base.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.correlation.base.ladder-formula The used ladder formula
mr.sensi.rules.correlation.base.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.correlation.base.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.correlation.base.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.correlation.base.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.correlation.base.type The keyword defining the used formula. E.g. Absolute/Relative Relative
mr.sensi.rules.correlation.custom Custom rules for correlation PnL Explain calculations. The key is the risk class to which the rule applies.
mr.sensi.rules.cross-gamma1.base.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.cross-gamma1.base.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.cross-gamma1.base.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.cross-gamma1.base.ladder-formula The used ladder formula
mr.sensi.rules.cross-gamma1.base.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.cross-gamma1.base.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.cross-gamma1.base.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.cross-gamma1.base.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.cross-gamma1.base.type The keyword defining the used formula. E.g. Absolute/Relative Relative
mr.sensi.rules.cross-gamma1.custom Custom rules for the risk 1st factor axis of cross gamma PnL Explain calculations. The key is the risk class to which the rule applies.
mr.sensi.rules.cross-gamma2.base.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.cross-gamma2.base.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.cross-gamma2.base.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.cross-gamma2.base.ladder-formula The used ladder formula
mr.sensi.rules.cross-gamma2.base.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.cross-gamma2.base.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.cross-gamma2.base.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.cross-gamma2.base.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.cross-gamma2.base.type The keyword defining the used formula. E.g. Absolute/Relative Relative
mr.sensi.rules.cross-gamma2.custom Custom rules for the risk 2nd factor axis of cross gamma PnL Explain calculations. The key is the risk class to which the rule applies.
mr.sensi.rules.custom Custom rules for PnL Explain calculations. The key for the outer map is the sensitivity type. The key for the inner map is the risk class to which the rule applies.
mr.sensi.rules.delta.base.derivative-order A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.delta.base.interpolate true means interpolation of market data is allowed. true
mr.sensi.rules.delta.base.ladder Are the ladders take in account LADDER_FIRST
mr.sensi.rules.delta.base.ladder-formula The used ladder formula DeltaShift
mr.sensi.rules.delta.base.post-interpolation-functions The post-interpolation function to use, keyed by axis.
mr.sensi.rules.delta.base.pre-interpolation-functions The pre-interpolation function to use, keyed by axis.
mr.sensi.rules.delta.base.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.delta.base.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.delta.base.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.delta.commodity.derivative-order A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.delta.commodity.interpolate true means interpolation of market data is allowed. true
mr.sensi.rules.delta.commodity.ladder Are the ladders take in account LADDER_FIRST
mr.sensi.rules.delta.commodity.ladder-formula The used ladder formula DeltaShift
mr.sensi.rules.delta.commodity.post-interpolation-functions The post-interpolation function to use, keyed by axis.
mr.sensi.rules.delta.commodity.pre-interpolation-functions The pre-interpolation function to use, keyed by axis.
mr.sensi.rules.delta.commodity.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.delta.commodity.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.delta.commodity.type The keyword defining the used formula. E.g. Absolute/Relative Relative
mr.sensi.rules.delta.csr-non-sec.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.delta.csr-non-sec.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.delta.csr-non-sec.ladder Are the ladders take in account LADDER_FIRST
mr.sensi.rules.delta.csr-non-sec.ladder-formula The used ladder formula DeltaShift
mr.sensi.rules.delta.csr-non-sec.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.delta.csr-non-sec.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.delta.csr-non-sec.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.delta.csr-non-sec.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.delta.csr-non-sec.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.delta.custom Custom rules for delta PnL Explain calculations. The key is the risk class to which the rule applies.
mr.sensi.rules.delta.equity.derivative-order A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.delta.equity.interpolate true means interpolation of market data is allowed. true
mr.sensi.rules.delta.equity.ladder Are the ladders take in account LADDER_FIRST
mr.sensi.rules.delta.equity.ladder-formula The used ladder formula DeltaShift
mr.sensi.rules.delta.equity.post-interpolation-functions The post-interpolation function to use, keyed by axis.
mr.sensi.rules.delta.equity.pre-interpolation-functions The pre-interpolation function to use, keyed by axis.
mr.sensi.rules.delta.equity.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.delta.equity.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.delta.equity.type The keyword defining the used formula. E.g. Absolute/Relative Relative
mr.sensi.rules.delta.fx.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.delta.fx.interpolate True means interpolation of market data is allowed. false
mr.sensi.rules.delta.fx.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.delta.fx.ladder-formula The used ladder formula
mr.sensi.rules.delta.fx.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.delta.fx.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.delta.fx.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.delta.fx.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.delta.fx.type The keyword defining the used formula. E.g. Absolute/Relative FXRelative
mr.sensi.rules.dividend.base.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.dividend.base.interpolate True means interpolation of market data is allowed. false
mr.sensi.rules.dividend.base.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.dividend.base.ladder-formula The used ladder formula
mr.sensi.rules.dividend.base.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.dividend.base.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.dividend.base.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.dividend.base.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.dividend.base.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.dividend.custom Custom rules for dividend PnL Explain calculations. The key is the risk class to which the rule applies.
mr.sensi.rules.gamma.base.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 2
mr.sensi.rules.gamma.base.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.gamma.base.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.gamma.base.ladder-formula The used ladder formula
mr.sensi.rules.gamma.base.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.gamma.base.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.gamma.base.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.gamma.base.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.gamma.base.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.gamma.commodity.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 2
mr.sensi.rules.gamma.commodity.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.gamma.commodity.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.gamma.commodity.ladder-formula The used ladder formula
mr.sensi.rules.gamma.commodity.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.gamma.commodity.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.gamma.commodity.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.gamma.commodity.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.gamma.commodity.type The keyword defining the used formula. E.g. Absolute/Relative Relative
mr.sensi.rules.gamma.custom Custom rules for gamma PnL Explain calculations. The key is the risk class to which the rule applies.
mr.sensi.rules.gamma.equity.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 2
mr.sensi.rules.gamma.equity.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.gamma.equity.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.gamma.equity.ladder-formula The used ladder formula
mr.sensi.rules.gamma.equity.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.gamma.equity.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.gamma.equity.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.gamma.equity.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.gamma.equity.type The keyword defining the used formula. E.g. Absolute/Relative Relative
mr.sensi.rules.gamma.fx.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 2
mr.sensi.rules.gamma.fx.interpolate True means interpolation of market data is allowed. false
mr.sensi.rules.gamma.fx.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.gamma.fx.ladder-formula The used ladder formula
mr.sensi.rules.gamma.fx.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.gamma.fx.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.gamma.fx.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.gamma.fx.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.gamma.fx.type The keyword defining the used formula. E.g. Absolute/Relative Relative
mr.sensi.rules.interpolate-market-shifts Flag to enable or disable interpolation of market data. true
mr.sensi.rules.theta.base.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.theta.base.interpolate True means interpolation of market data is allowed. false
mr.sensi.rules.theta.base.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.theta.base.ladder-formula The used ladder formula
mr.sensi.rules.theta.base.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.theta.base.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.theta.base.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.theta.base.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.theta.base.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.theta.custom Custom rules for theta PnL Explain calculations. The key is the risk class to which the rule applies.
mr.sensi.rules.vanna1.commodity.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vanna1.commodity.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.vanna1.commodity.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.vanna1.commodity.ladder-formula The used ladder formula
mr.sensi.rules.vanna1.commodity.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna1.commodity.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna1.commodity.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vanna1.commodity.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vanna1.commodity.type The keyword defining the used formula. E.g. Absolute/Relative Relative
mr.sensi.rules.vanna1.csr-non-sec.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vanna1.csr-non-sec.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.vanna1.csr-non-sec.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.vanna1.csr-non-sec.ladder-formula The used ladder formula
mr.sensi.rules.vanna1.csr-non-sec.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna1.csr-non-sec.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna1.csr-non-sec.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vanna1.csr-non-sec.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vanna1.csr-non-sec.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.vanna1.csr-sec-ctp.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vanna1.csr-sec-ctp.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.vanna1.csr-sec-ctp.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.vanna1.csr-sec-ctp.ladder-formula The used ladder formula
mr.sensi.rules.vanna1.csr-sec-ctp.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna1.csr-sec-ctp.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna1.csr-sec-ctp.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vanna1.csr-sec-ctp.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vanna1.csr-sec-ctp.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.vanna1.csr-sec-non-ctp.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vanna1.csr-sec-non-ctp.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.vanna1.csr-sec-non-ctp.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.vanna1.csr-sec-non-ctp.ladder-formula The used ladder formula
mr.sensi.rules.vanna1.csr-sec-non-ctp.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna1.csr-sec-non-ctp.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna1.csr-sec-non-ctp.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vanna1.csr-sec-non-ctp.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vanna1.csr-sec-non-ctp.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.vanna1.custom Custom rules for the risk 1st factor of vanna axis PnL Explain calculations. The key is the risk class to which the rule applies.
mr.sensi.rules.vanna1.equity.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vanna1.equity.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.vanna1.equity.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.vanna1.equity.ladder-formula The used ladder formula
mr.sensi.rules.vanna1.equity.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna1.equity.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna1.equity.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vanna1.equity.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vanna1.equity.type The keyword defining the used formula. E.g. Absolute/Relative Relative
mr.sensi.rules.vanna1.fx.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vanna1.fx.interpolate True means interpolation of market data is allowed. false
mr.sensi.rules.vanna1.fx.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.vanna1.fx.ladder-formula The used ladder formula
mr.sensi.rules.vanna1.fx.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna1.fx.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna1.fx.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vanna1.fx.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vanna1.fx.type The keyword defining the used formula. E.g. Absolute/Relative Relative
mr.sensi.rules.vanna1.girr.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vanna1.girr.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.vanna1.girr.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.vanna1.girr.ladder-formula The used ladder formula
mr.sensi.rules.vanna1.girr.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna1.girr.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna1.girr.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vanna1.girr.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vanna1.girr.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.vanna2.commodity.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vanna2.commodity.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.vanna2.commodity.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.vanna2.commodity.ladder-formula The used ladder formula
mr.sensi.rules.vanna2.commodity.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna2.commodity.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna2.commodity.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vanna2.commodity.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vanna2.commodity.type The keyword defining the used formula. E.g. Absolute/Relative Relative
mr.sensi.rules.vanna2.csr-non-sec.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vanna2.csr-non-sec.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.vanna2.csr-non-sec.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.vanna2.csr-non-sec.ladder-formula The used ladder formula
mr.sensi.rules.vanna2.csr-non-sec.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna2.csr-non-sec.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna2.csr-non-sec.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vanna2.csr-non-sec.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vanna2.csr-non-sec.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.vanna2.csr-sec-ctp.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vanna2.csr-sec-ctp.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.vanna2.csr-sec-ctp.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.vanna2.csr-sec-ctp.ladder-formula The used ladder formula
mr.sensi.rules.vanna2.csr-sec-ctp.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna2.csr-sec-ctp.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna2.csr-sec-ctp.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vanna2.csr-sec-ctp.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vanna2.csr-sec-ctp.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.vanna2.csr-sec-non-ctp.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vanna2.csr-sec-non-ctp.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.vanna2.csr-sec-non-ctp.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.vanna2.csr-sec-non-ctp.ladder-formula The used ladder formula
mr.sensi.rules.vanna2.csr-sec-non-ctp.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna2.csr-sec-non-ctp.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna2.csr-sec-non-ctp.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vanna2.csr-sec-non-ctp.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vanna2.csr-sec-non-ctp.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.vanna2.custom Custom rules for the risk 2nd factor axis of vanna PnL Explain calculations. The key is the risk class to which the rule applies.
mr.sensi.rules.vanna2.equity.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vanna2.equity.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.vanna2.equity.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.vanna2.equity.ladder-formula The used ladder formula
mr.sensi.rules.vanna2.equity.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna2.equity.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna2.equity.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vanna2.equity.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vanna2.equity.type The keyword defining the used formula. E.g. Absolute/Relative Relative
mr.sensi.rules.vanna2.fx.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vanna2.fx.interpolate True means interpolation of market data is allowed. false
mr.sensi.rules.vanna2.fx.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.vanna2.fx.ladder-formula The used ladder formula
mr.sensi.rules.vanna2.fx.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna2.fx.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna2.fx.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vanna2.fx.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vanna2.fx.type The keyword defining the used formula. E.g. Absolute/Relative Relative
mr.sensi.rules.vanna2.girr.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vanna2.girr.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.vanna2.girr.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.vanna2.girr.ladder-formula The used ladder formula
mr.sensi.rules.vanna2.girr.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna2.girr.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vanna2.girr.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vanna2.girr.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vanna2.girr.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.vega.commodity.derivative-order A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vega.commodity.interpolate true means interpolation of market data is allowed. true
mr.sensi.rules.vega.commodity.ladder Are the ladders take in account LADDER_FIRST
mr.sensi.rules.vega.commodity.ladder-formula The used ladder formula DeltaShift
mr.sensi.rules.vega.commodity.post-interpolation-functions The post-interpolation function to use, keyed by axis.
mr.sensi.rules.vega.commodity.pre-interpolation-functions The pre-interpolation function to use, keyed by axis.
mr.sensi.rules.vega.commodity.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vega.commodity.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vega.commodity.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.vega.csr-non-sec.derivative-order A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vega.csr-non-sec.interpolate true means interpolation of market data is allowed. true
mr.sensi.rules.vega.csr-non-sec.ladder Are the ladders take in account LADDER_FIRST
mr.sensi.rules.vega.csr-non-sec.ladder-formula The used ladder formula DeltaShift
mr.sensi.rules.vega.csr-non-sec.post-interpolation-functions The post-interpolation function to use, keyed by axis.
mr.sensi.rules.vega.csr-non-sec.pre-interpolation-functions The pre-interpolation function to use, keyed by axis.
mr.sensi.rules.vega.csr-non-sec.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vega.csr-non-sec.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vega.csr-non-sec.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.vega.csr-sec-ctp.derivative-order A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vega.csr-sec-ctp.interpolate true means interpolation of market data is allowed. true
mr.sensi.rules.vega.csr-sec-ctp.ladder Are the ladders take in account LADDER_FIRST
mr.sensi.rules.vega.csr-sec-ctp.ladder-formula The used ladder formula DeltaShift
mr.sensi.rules.vega.csr-sec-ctp.post-interpolation-functions The post-interpolation function to use, keyed by axis.
mr.sensi.rules.vega.csr-sec-ctp.pre-interpolation-functions The pre-interpolation function to use, keyed by axis.
mr.sensi.rules.vega.csr-sec-ctp.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vega.csr-sec-ctp.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vega.csr-sec-ctp.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.vega.csr-sec-non-ctp.derivative-order A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vega.csr-sec-non-ctp.interpolate true means interpolation of market data is allowed. true
mr.sensi.rules.vega.csr-sec-non-ctp.ladder Are the ladders take in account LADDER_FIRST
mr.sensi.rules.vega.csr-sec-non-ctp.ladder-formula The used ladder formula DeltaShift
mr.sensi.rules.vega.csr-sec-non-ctp.post-interpolation-functions The post-interpolation function to use, keyed by axis.
mr.sensi.rules.vega.csr-sec-non-ctp.pre-interpolation-functions The pre-interpolation function to use, keyed by axis.
mr.sensi.rules.vega.csr-sec-non-ctp.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vega.csr-sec-non-ctp.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vega.csr-sec-non-ctp.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.vega.custom Custom rules for vega PnL Explain calculations. The key is the risk class to which the rule applies.
mr.sensi.rules.vega.equity.derivative-order A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vega.equity.interpolate true means interpolation of market data is allowed. true
mr.sensi.rules.vega.equity.ladder Are the ladders take in account LADDER_FIRST
mr.sensi.rules.vega.equity.ladder-formula The used ladder formula DeltaShift
mr.sensi.rules.vega.equity.post-interpolation-functions The post-interpolation function to use, keyed by axis.
mr.sensi.rules.vega.equity.pre-interpolation-functions The pre-interpolation function to use, keyed by axis.
mr.sensi.rules.vega.equity.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vega.equity.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vega.equity.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.vega.fx.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vega.fx.interpolate True means interpolation of market data is allowed. false
mr.sensi.rules.vega.fx.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.vega.fx.ladder-formula The used ladder formula
mr.sensi.rules.vega.fx.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vega.fx.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.vega.fx.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vega.fx.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vega.fx.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.vega.girr.derivative-order A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. 1
mr.sensi.rules.vega.girr.interpolate true means interpolation of market data is allowed. true
mr.sensi.rules.vega.girr.ladder Are the ladders take in account LADDER_FIRST
mr.sensi.rules.vega.girr.ladder-formula The used ladder formula DeltaShift
mr.sensi.rules.vega.girr.post-interpolation-functions The post-interpolation function to use, keyed by axis.
mr.sensi.rules.vega.girr.pre-interpolation-functions The pre-interpolation function to use, keyed by axis.
mr.sensi.rules.vega.girr.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.vega.girr.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.vega.girr.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.volga.commodity.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 2
mr.sensi.rules.volga.commodity.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.volga.commodity.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.volga.commodity.ladder-formula The used ladder formula
mr.sensi.rules.volga.commodity.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.volga.commodity.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.volga.commodity.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.volga.commodity.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.volga.commodity.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.volga.csr-non-sec.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 2
mr.sensi.rules.volga.csr-non-sec.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.volga.csr-non-sec.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.volga.csr-non-sec.ladder-formula The used ladder formula
mr.sensi.rules.volga.csr-non-sec.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.volga.csr-non-sec.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.volga.csr-non-sec.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.volga.csr-non-sec.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.volga.csr-non-sec.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.volga.csr-sec-ctp.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 2
mr.sensi.rules.volga.csr-sec-ctp.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.volga.csr-sec-ctp.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.volga.csr-sec-ctp.ladder-formula The used ladder formula
mr.sensi.rules.volga.csr-sec-ctp.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.volga.csr-sec-ctp.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.volga.csr-sec-ctp.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.volga.csr-sec-ctp.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.volga.csr-sec-ctp.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.volga.csr-sec-non-ctp.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 2
mr.sensi.rules.volga.csr-sec-non-ctp.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.volga.csr-sec-non-ctp.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.volga.csr-sec-non-ctp.ladder-formula The used ladder formula
mr.sensi.rules.volga.csr-sec-non-ctp.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.volga.csr-sec-non-ctp.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.volga.csr-sec-non-ctp.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.volga.csr-sec-non-ctp.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.volga.csr-sec-non-ctp.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.volga.custom Custom rules for volga PnL Explain calculations. The key is the risk class to which the rule applies.
mr.sensi.rules.volga.equity.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 2
mr.sensi.rules.volga.equity.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.volga.equity.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.volga.equity.ladder-formula The used ladder formula
mr.sensi.rules.volga.equity.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.volga.equity.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.volga.equity.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.volga.equity.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.volga.equity.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.volga.fx.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 2
mr.sensi.rules.volga.fx.interpolate True means interpolation of market data is allowed. false
mr.sensi.rules.volga.fx.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.volga.fx.ladder-formula The used ladder formula
mr.sensi.rules.volga.fx.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.volga.fx.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.volga.fx.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.volga.fx.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.volga.fx.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sensi.rules.volga.girr.derivative-order A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. 2
mr.sensi.rules.volga.girr.interpolate True means interpolation of market data is allowed. true
mr.sensi.rules.volga.girr.ladder Are the ladders take in account SENSI_ONLY
mr.sensi.rules.volga.girr.ladder-formula The used ladder formula
mr.sensi.rules.volga.girr.post-interpolation-functions The post-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.volga.girr.pre-interpolation-functions The pre-interpolation function to use, keyed by axis. Accepted values for interpolation function: “VOLATILITY_TO_VARIANCE”, “VARIANCE_TO_VOLATILITY”.
mr.sensi.rules.volga.girr.price-factor A scale applied to the sensitivity ( sensitivity * priceFactor). 1
mr.sensi.rules.volga.girr.shift A shift that is added to the sensitivity ( sensitivity + shift ).
mr.sensi.rules.volga.girr.type The keyword defining the used formula. E.g. Absolute/Relative Absolute
mr.sign-off.common.hierarchy.level1.live The intra-days data, the latest data. INTRA-DAY
mr.sign-off.common.hierarchy.level1.official Live or approved. OFFICIAL
mr.sign-off.common.hierarchy.level1.snapshot The total aggregated data including the under review (frozen) data. TOTAL REVIEWABLE
mr.sign-off.common.hierarchy.level2.approved The name of the status for approved tasks. APPROVED
mr.sign-off.common.hierarchy.level2.other The data that are not in any ongoing reviewing process. UNAPPROVED
mr.sparse-vectors.density-threshold Enable sparse vector compression for sensi store. 0.2
mr.sparse-vectors.enable-for-sensi-stores Enable sparse vector compression for the list of columns of kind “store:field”. [TradeSensitivities:Values, TradeSensitivities:Ladder]
mr.taylor.market-shift-date-specific Specific dates used to fill the MarketShiftDate hierarchy. Each entry should be in the format: NAME=OFFSET, e.g TODAY=DAY0 [TODAY=DAY0, YESTERDAY=DAY-1]
mr.tenors-and-maturities.default-value Default value for tenors and maturities. N/A
mr.tenors.correlation-fact-dates Defines the source levels containing tenor dates for correlation sensitivities. Tenor Date@Tenor Dates@Risk
mr.tenors.correlation-fact-labels Defines the source levels containing tenor labels for correlation sensitivities. Tenor@Tenors@Risk
mr.tenors.correlation-fact-levels Defines the source tenor levels to use for correlation sensitivities. [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk]
mr.tenors.custom-fact-dates Defines the source levels containing tenor dates for additional sensitivities. The key is the sensitivity name.
mr.tenors.custom-fact-labels Defines the source levels containing tenor labels for additional sensitivities. The key is the sensitivity name.
mr.tenors.custom-fact-levels Defines the source tenor levels to use for additional sensitivities. The key is the sensitivity name.
mr.tenors.delta-fact-dates Defines the source levels containing tenor dates for delta sensitivities. Tenor Date@Tenor Dates@Risk
mr.tenors.delta-fact-labels Defines the source levels containing tenor labels for delta sensitivities. Tenor@Tenors@Risk
mr.tenors.delta-fact-levels Defines the source tenor levels to use for delta sensitivities. [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk]
mr.tenors.gamma-fact-dates Defines the source levels containing tenor dates for gamma sensitivities. Tenor Date@Tenor Dates@Risk
mr.tenors.gamma-fact-labels Defines the source levels containing tenor labels for gamma sensitivities. Tenor@Tenors@Risk
mr.tenors.gamma-fact-levels Defines the source tenor levels to use for gamma sensitivities. [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk]
mr.tenors.vanna-fact-dates Defines the source levels containing tenor dates for vanna sensitivities. Tenor Date@Tenor Dates@Risk
mr.tenors.vanna-fact-labels Defines the source levels containing tenor labels for vanna sensitivities. Tenor@Tenors@Risk
mr.tenors.vanna-fact-levels Defines the source tenor levels to use for vanna sensitivities. [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk]
mr.tenors.vega-fact-dates Defines the source levels containing tenor dates for vega sensitivities. Tenor Date@Tenor Dates@Risk
mr.tenors.vega-fact-labels Defines the source levels containing tenor labels for vega sensitivities. Tenor@Tenors@Risk
mr.tenors.vega-fact-levels Defines the source tenor levels to use for vega sensitivities. [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk]
mr.tenors.volga-fact-dates Defines the source levels containing tenor dates for volga sensitivities. Tenor Date@Tenor Dates@Risk
mr.tenors.volga-fact-labels Defines the source levels containing tenor labels for volga sensitivities. Tenor@Tenors@Risk
mr.tenors.volga-fact-levels Defines the source tenor levels to use for volga sensitivities. [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk]
mr.var.component.regression-length Length of the regression when calculating Component VaR. By default this property is not set. The size of the underlying PnL vector is used instead. Must be less than or equal to the length of the loaded PnL vectors.
mr.var.weighted.pnl-oldest-first Flag for weighted measures to specify whether the historical PnL vectors input contains the oldest PnL data at index 0 (in that case the flag is set to: true), or whether it contains the most recent PnL data at index 0 (in that case the flag is set to: false). false