Sensitivities module properties
Overview
These are the properties used to configure the mr-sensi-config module.
File values
| Key | Description | Default value |
|---|---|---|
| mr.sensi.agg-cache.size | The size of the aggregate cache for the Sensitivity Cube. | -1 |
| mr.sensi.file-patterns.cash | Pattern for the Cash Sensitivities input file. | glob:**CashSensitivities*.csv |
| mr.sensi.file-patterns.corporate-action | Pattern for the Corporate Action input file. | glob:**CorporateAction*.csv* |
| mr.sensi.file-patterns.correlation | Pattern for the Correlation Sensitivities input file. | glob:**CorrelationSensitivities*.csv |
| mr.sensi.file-patterns.cross-gamma | Pattern for the Cross Gamma Sensitivities input file. | glob:**CrossGammaSensitivities*.csv |
| mr.sensi.file-patterns.delta | Pattern for the Delta Sensitivities input file. | glob:**DeltaSensitivities*.csv |
| mr.sensi.file-patterns.dyn-maturities | Pattern for the Dynamic Maturity Labels input file. | glob:**DynamicMaturities*.csv |
| mr.sensi.file-patterns.dyn-moneyness | Pattern for the Dynamic Moneyness Labels input file. | glob:**DynamicMoneyness*.csv |
| mr.sensi.file-patterns.dyn-tenors | Pattern for the Dynamic Tenor Labels input file. | glob:**DynamicTenors*.csv |
| mr.sensi.file-patterns.gamma | Pattern for the Gamma Sensitivities input file. | regex:^(?i).*Gamma(?<!CrossGamma)Sensitivities.*\.csv.*$ |
| mr.sensi.file-patterns.ladders | Pattern for the Ladder Definition input file. | glob:**LadderDefinition*.csv |
| mr.sensi.file-patterns.maturities | Pattern for the Static Maturity Labels input file. | glob:**StaticMaturities*.csv |
| mr.sensi.file-patterns.moneyness | Pattern for the Static Moneyness Labels input file. | glob:**StaticMoneyness*.csv |
| mr.sensi.file-patterns.sensi-import | File loading pattern for the Sensitivities Cube. | glob:**Sensitivity Cube*.csv* |
| mr.sensi.file-patterns.summary | Pattern for the summary data loaded into the Sensitivity Cube. | glob:**SummarySensitivity*.csv |
| mr.sensi.file-patterns.tenors | Pattern for the Static Tenor Labels input file. | glob:**StaticTenors*.csv |
| mr.sensi.file-patterns.theta | Pattern for the Theta Sensitivities input file. | glob:**ThetaSensitivities*.csv |
| mr.sensi.file-patterns.vanna | Pattern for the Vanna Sensitivities input file. | glob:**VannaSensitivities*.csv |
| mr.sensi.file-patterns.vega | Pattern for the Vega Sensitivities input file. | glob:**VegaSensitivities*.csv |
| mr.sensi.file-patterns.volga | Pattern for the Volga Sensitivities input file. | glob:**VolgaSensitivities*.csv |
| mr.sensi.maturity.default.theta | The default maturity date used for theta PnL computation when the maturity provided by the mr.cubes.levels.trade-maturity-date is empty. Format is YYYY-MM-DD. | 2040-01-01 |
| mr.sensi.types.cash.regex | Regular expression used to find the relevant metric from the sensitivity name. | ^(?i).*cash.*$ |
| mr.sensi.types.correlation.regex | Regular expression used to find the relevant metric from the sensitivity name. | ^(?i).*correlation.*$ |
| mr.sensi.types.crossgamma.regex | Regular expression used to find the relevant metric from the sensitivity name. | ^(?i).*(?:cross|x).?gamma.*$ |
| mr.sensi.types.custom | Configuration for sensitivity types not captured by the default properties. | |
| mr.sensi.types.delta.regex | Regular expression used to find the relevant metric from the sensitivity name. | ^(?i).*(?:delta|dividends|repo margin).*$ |
| mr.sensi.types.dividend.regex | Regular expression used to find the relevant metric from the sensitivity name. | ^(?i).*(?:delta|dividends).*$ |
| mr.sensi.types.gamma.regex | Regular expression used to find the relevant metric from the sensitivity name. | ^(?i).*(gamma)(?<!((?:cross|x).?gamma)).*$ |
| mr.sensi.types.theta.regex | Regular expression used to find the relevant metric from the sensitivity name. | ^(?i).*theta.*$ |
| mr.sensi.types.vanna.regex | Regular expression used to find the relevant metric from the sensitivity name. | ^(?i).*vanna.*$ |
| mr.sensi.types.vega.regex | Regular expression used to find the relevant metric from the sensitivity name. | ^(?i).*vega.*$ |
| mr.sensi.types.volga.regex | Regular expression used to find the relevant metric from the sensitivity name. | ^(?i).*(?:volga|vomma).*$ |
| mr.sign-off.sensi.custom-cube-adjustments | Adjustment properties for additional cubes. This is keyed by the cube name. | |
| mr.sign-off.sensi.levels | List of the levels eligible for filtering in the sign-off task definition for the Sensitivity Cube. | AsOfDate@Date@Dates,Book@Books@Booking,Desk@Desks@Booking |
| mr.sign-off.sensi.sensi-cube-adjustments.adjustable-measures | List of measures eligible for cube-level adjustment in the Sensitivity Cube. | [Delta, Gamma, Vega] |
| mr.sign-off.sensi.sensi-cube-adjustments.as-of-date-level | The asOfDate level, used by the cube-level adjustment in the Sensitivity Cube. | AsOfDate@Date@Dates |
| mr.sign-off.sensi.sensi-cube-adjustments.feed-level | The path of the first level of the adjustment hierarchy. This is used to set up the hierarchy in the Sensitivity Cube. | Feed@Sign-off Status@Sign-off |
| mr.sign-off.sensi.sensi-cube-adjustments.hierarchies-to-exclude | The hierarchies that are not part of the cube-level adjustment location in the Sensitivity Cube. | Date@Dates,MarketDataSets@MarketData,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off,DynamicMaturities@DynamicBucketing,DynamicMoneyness@DynamicBucketing,DynamicTenors@DynamicBucketing,DayToDay@Dates |
| mr.sign-off.sensi.sensi-cube-adjustments.input-type-level | The path of the first level of the sign-off analysis hierarchy. It contains the first two members defined by mr.sign-off.sensi.levels. This is used to set up the hierarchy in the Sensitivity Cube. | Input type@Adjustment@Sign-off |
| mr.sign-off.sensi.sensi-cube-adjustments.market-data-set-level | The market data set level, used by the cube-level adjustment to handle the FX rate in the Sensitivity Cube. | MarketDataSet@MarketDataSets@MarketData |
| mr.sign-off.sensi.sensi-cube-adjustments.source-level | The path of the second level of the adjustment hierarchy. This is used to set up the hierarchy in the Sensitivity Cube. | Source@Adjustment@Sign-off |
| mr.sign-off.sensi.sensi-cube-adjustments.status-level | The path of the second level of the sign-off analysis hierarchy. It will contain the last member defined by mr.sign-off.sensi.levels, and other status coming from the sign-off. This is used to set up the hierarchy in the Sensitivity Cube. | Status@Sign-off Status@Sign-off |
| mr.sign-off.sensi.sensi-cube-adjustments.task-level | The path of the third level of the sign-off analysis hierarchy. It will contain the task IDs coming from the sign-off. This is used to set up the hierarchy in the Sensitivity Cube. | Task@Sign-off Status@Sign-off |