VaR module properties

Overview

These are the properties used to configure the mr-var-config module.

File values

Key Description Default value
mr.sign-off.var.custom-cube-adjustments Adjustment properties for additional cubes. This is keyed by the cube name.
mr.sign-off.var.levels List of the levels eligible for filtering in the sign-off task definition for the VaR-ES Cube. AsOfDate@Date@Dates,Book@Books@Booking,Desk@Desks@Booking
mr.sign-off.var.var-cube-adjustments.adjustable-measures List of measures eligible for cube-level adjustment in the VaR-ES Cube. [ES, VaR]
mr.sign-off.var.var-cube-adjustments.as-of-date-level The asOfDate level, used by the cube-level adjustment in the VaR-ES Cube. AsOfDate@Date@Dates
mr.sign-off.var.var-cube-adjustments.feed-level The path of the first level of the adjustment hierarchy. This is used to set up the hierarchy in the VaR-ES Cube. Feed@Sign-off Status@Sign-off
mr.sign-off.var.var-cube-adjustments.hierarchies-to-exclude The hierarchies that are not part of the cube-level adjustment location in the VaR-ES Cube. Date@Dates,MarketDataSets@MarketData,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off,CalculationIds@Risk,MarketShiftDate@Dates,displayCurrency@Currencies,DayToDay@Dates
mr.sign-off.var.var-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.var.levels. This is used to set up the hierarchy in the VaR-ES Cube. Input type@Adjustment@Sign-off
mr.sign-off.var.var-cube-adjustments.market-data-set-level The market data set level, used by the cube-level adjustment to handle the FX rate in the VaR-ES Cube. MarketDataSet@MarketDataSets@MarketData
mr.sign-off.var.var-cube-adjustments.source-level The path of the second level of the adjustment hierarchy. This is used to set up the hierarchy in the VaR-ES Cube. Source@Adjustment@Sign-off
mr.sign-off.var.var-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.var.levels, and other status coming from the sign-off. This is used to set up the hierarchy in the VaR-ES Cube. Status@Sign-off Status@Sign-off
mr.sign-off.var.var-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 VaR-ES Cube. Task@Sign-off Status@Sign-off
mr.var.agg-cache.size The size of the aggregate cache for the VaR-ES Cube. -1
mr.var.file-patterns.summary Pattern for the summary data loaded into the VaR/ES Cube. glob:**SummaryVaR*.csv
mr.var.file-patterns.trade-pnl Pattern for the Trade PnL input file. glob:**TradePnLs*.csv
mr.var.file-patterns.var-import File loading pattern for the VaR-ES Cube. glob:**VaR-ES Cube*.csv*