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.correlation-market-data Pattern for the Correlation Market Data input file. glob:**Correlation_Market_Data*.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.dividends Pattern for the Dividend input file. glob:**Dividends*.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.split-ratio Pattern for the Split Ratio input file. glob:**SplitRatio*.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,MarketShiftDate@Dates,displayCurrency@Currencies,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