Supported sign-off adjustments

This page details the adjustment types available in Atoti Market Risk, together with details of the execution workflow.

Adjustment types

Multiple adjustment types are available out of the box in Atoti Market Risk.

Cube	Adjustment type	Description	Input value type	Base value type
Sensitivity Cube	Add-on	Time-bucket indexed (tenors, maturities, and moneyness, where applicable) add-on value. Results in a single new row per adjustment.	Scalar (with extra input required for vectorized base values)	Scalar or vectorized, depending on the enabled Spring profile
	Scaling	Time-bucket indexed (tenors, maturities, and moneyness, where applicable) scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.	Scalar (with extra input required for vectorized base values)	Scalar or vectorized, depending on the enabled Spring profile
	Override	Time-bucket indexed (tenors, maturities, and moneyness, where applicable) override of the base value. Results in two rows, for the inversion of the base value and the new value.	Scalar (with extra input required for vectorized base values)	Scalar or vectorized, depending on the enabled Spring profile
	Roll-over	Performed for a desk, a book, or a trade. Results in inversions of all the rows matching the current as-of date, and new rows for all the matches on the previous as-of date.	Date	Scalar or vectorized
	Cube	Performed for a desk, a book or a trade.	Date, Currency, Value	Scalar or vectorized
PLCube	Add-on value. Results in a single new row per adjustment.	Add-on	Scalar	Scalar
	Scaling	Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.	Scalar	Scalar
	Override	Override of the base value. Results in two rows, for the inversion of the base value and the new value.	Scalar	Scalar
	Roll-over	Performed for a desk, a book, or a trade. Results in inversions of all the rows matching the current as-of date, and new rows for all the matches on the previous as-of date.	Date	Scalar
	Cube	Performed for a desk, a book, or a trade.	Date, Currency, Value	Scalar or vectorized
VaR-ES Cube	Add-on	Scenario-indexed add-on value. Results in a single new row per adjustment.	Scalar (with extra input required for vectorized base values)	Scalar or vectorized, depending on the enabled Spring profile
	Scaling	Scenario-indexed scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.	Scalar (with extra input required for vectorized base values)	Scalar or vectorized, depending on the enabled Spring profile
	Override	Scenario-indexed override of the base value. Results in two rows, for the inversion of the base value and the new value.	Scalar (with extra input required for vectorized base values)	Scalar or vectorized, depending on the enabled Spring profile
	Roll-over	Performed for a desk, a book, or a trade. Results in inversions of all the rows matching the current as-of date, and new rows for all the matches on the previous as-of date.	Date	vectorized
	Cube	Performed for a desk, a book, or a trade.	Date, Currency, Value	Scalar or vectorized

Execution details

Functional workflow

Executing an adjustment should conform to the following steps:

Step	Details
Retrieve supported adjustments from the appropriate REST endpoint	The adjustment requests need to conform to the specification returned by the supported adjustments service, but once the requests are created, this step isn’t necessary.
Initiate the sign-off task	The status of the Sign-off process for the filters defined in the association Sign-off task is set to ‘INITIATED’.
Request adjustment.	Adjustment requests will be executed asynchronously on the Sign-off snapshot. There is no limit to the number of adjustments that can be requested for a snapshot.
Approve the sign-off task	The status of the Sign-off process for the filters defined in the association Sign-off task is set to ‘APPROVED’.
Retrieve the status of an adjustment execution	As adjustments are executed asynchronously, a service is provided for retrieving the status of a given adjustment execution. Any errors in the execution of an adjustment will result in a FAILED status being returned by the status service.