Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/overview.html
- Atoti Market Risk overview
test ../ test getting-started/data-model.html
- Market Risk Data Model
test ../ test getting-started/directquery.html
- DirectQuery
test ../ test getting-started/about.html
- Using this guide
test ../ test getting-started/whats-new.html
- What's New
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/book_hierarchy.html
-- BOOK_HIERARCHY
test ../ test database/book_parent_child.html
-- BOOK_PARENT_CHILD
test ../ test database/counterparties.html
-- COUNTERPARTIES
test ../ test database/counterparty_hierarchy.html
-- COUNTERPARTY_HIERARCHY
test ../ test database/counterparty_parent_child.html
-- COUNTERPARTY_PARENT_CHILD
test ../ test database/countries.html
-- COUNTRIES
test ../ test database/cube_market_data.html
-- CUBE_MARKET_DATA
test ../ test database/curve_market_data.html
-- CURVE_MARKET_DATA
test ../ test database/fx_rate_market_data.html
-- FX_RATE_MARKET_DATA
test ../ test database/legal_entity_hierarchy.html
-- LEGAL_ENTITY_HIERARCHY
test ../ test database/legal_entity_parent_child.html
-- LEGAL_ENTITY_PARENT_CHILD
test ../ test database/market_data_sets.html
-- MARKET_DATA_SETS
test ../ test database/market_shifts.html
-- MARKET_SHIFTS
test ../ test database/market_shifts_vector.html
-- MARKET_SHIFTS_VECTOR
test ../ test database/quantiles.html
-- QUANTILES
test ../ test database/risk_factors_catalogue.html
-- RISK_FACTORS_CATALOGUE
test ../ test database/rounding_methods.html
-- ROUNDING_METHODS
test ../ test database/scenarios.html
-- SCENARIOS
test ../ test database/sign_off_digest_store.html
-- SIGN_OFF_DIGEST_STORE
test ../ test database/spot_market_data.html
-- SPOT_MARKET_DATA
test ../ test database/surface_market_data.html
-- SURFACE_MARKET_DATA
test ../ test database/trade_attributes.html
-- TRADE_ATTRIBUTES
test ../ test database/pnl-database.html
-
PnL Database Definition
test ../ test database/sensitivities.html
-
Sensitivities Database Definition
test ../ test database/vares.html
-
VaR-ES Database Definition
test ../ test sign-off.html
Sign-Off Approvals
test ../ test limits.html
Limit monitoring
test ../ test dev.html
Developer Guide
test ../ test pdf-guides.html
PDF Guides
Global Database Definition
This section describes tables that are common to all cubes, such as FX rates and trade booking.
Trade Booking
The TRADE_ATTRIBUTES table contains data relative to the trades.
The multi-level book organizational hierarchy and desk descriptions are in the BOOK_HIERARCHY table, which is indexed by BOOK and AS_OF_DATE .
Legal Entities
The multi-level legal entity organizational hierarchy is in the LEGAL_ENTITY_HIERARCHY table, which is indexed by LEGAL_ENTITY and AS_OF_DATE .
Counterparties
The multi-level counterparty organizational hierarchy is in the COUNTERPARTY_HIERARCHY table, which is indexed by COUNTERPARTY_ID and AS_OF_DATE .
The COUNTERPARTIES table indexed by COUNTERPARTY_ID and AS_OF_DATE contains additional data for counterparties.
Risk Factor Catalogue
The RISK_FACTORS_CATALOGUE table indexed by RISK_FACTOR_ID and AS_OF_DATE table contains additional data for risk factors.
Countries
The COUNTRIES table indexed by COUNTRY_CODE and AS_OF_DATE contains additional data for countries.
Quantile and Rounding Method Descriptions
The QUANTILES table contains the definitions used for quantile computations (e.g.: ‘EXCLUSIVE’, ‘EQUAL_WEIGHTS’, ‘CENTERED’) for VaR and ES.
The ROUNDING_METHODS table contains the descriptions of the methods used for rounding when computing VaR and ES.
Scenario Descriptions
The SCENARIOS table contains the VaR and ES scenario descriptions.
Market Data Sets
The MARKET_DATA_SETS table is used to provide available market data sets.
Market Shifts
The MARKET_SHIFTS and MARKET_SHIFTS_VECTOR tables is used to store market shifts.
Cube Market Data
The CUBE_MARKET_DATA table is used to contain market data defined along three axes (tenors, moneyness and underlying maturities).
Curve Market Data
The CURVE_MARKET_DATA table is used to contain market data defined along a tenor axis.
FX Rate Market Data
The FX rates are stored in the FX_RATE_MARKET_DATA table.
Spot Market Data
The SPOT_MARKET_DATA table is used to contain spot market data.
Surface Market Data
The SURFACE_MARKET_DATA table is used to contain market data defined along two axes (tenors and moneyness).