The file is used to provide three-axis market prices for the greek-based PL calculations, through the CubeMarketData topic.
This Cube market data file type is identified using the pattern: **Cube_Market_Data*.csv (as specified by mr.common.file-patterns.cube-market-data).
This file is loaded using the CubeMarketData 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.cube-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
CubeId
Y
N
String
Identifier of the cube. Must match risk factor identifier in the sensitivities files
USD.OIS
Tenor
Y
N
String
A tenor, such as 3M, 5Y, and so on.
1Y
Moneyness
Y
N
String
A moneyness value
45p
UnderlyingMaturity
Y
N
String
An underlying maturity for volatility cubes.
0.5Y
Quote
Double
Market data quote to be used by the greek-based calculation. Must correspond to sensitivities to the same risk factor.