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Market data APIs

Atoti Market Risk uses two market data APIs, with distinct data models and services.

Deprecated market data API

note

This API is now deprecated for customizations. Taylor VaR measures implemented in Atoti Market Risk still use this implementation for retrieval of market shifts, but will be migrated in the future.

Any newly created custom measures should use Atoti Market Data, wherever possible.

The deprecated Market Data API combines retrieval and interpolation into a single market data retrieval service. The data model of this deprecated API does not differentiate between market data types based on the number of axes.

For detailed information about the implementation, see the following sections:

Topic Section
Retrieval and interpolation Market Data Retrieval Service
Store Market Shift Store
Data loading Market Shifts File Format

Atoti Market Data

Atoti Market Data is an independent module with distinct versioning. The full documentation can be found here.

Atoti Market Data provides a new data model, although Atoti Market Risk includes backwards compatible sources that enable the old market data input file format to be used. Atoti Market Data includes retrieval and interpolation services split by the number of axes of the market data.

note

Several features of the deprecated API are not currently included in Atoti Market Data and may not be added:

  • Nominal, absolute, and relative prices
  • Corporate action
  • Splits
  • Dividends/Coupons

Market Data shifts will be migrated to Atoti Market Data in the future.

Atoti Market Data is enabled in Atoti Market Risk by default by importing the Spring Boot Starter module as a dependency:

<dependency>
    <groupId>com.activeviam.apps.market-data</groupId>
    <artifactId>market-data-spring-boot-starter</artifactId>
    <version>${market-data.version}</version>
</dependency>

The Spring Boot Starter will autoconfigure the default Spring beans. You can disable autoconfiguration of beans that are not required or, if you only require parts of Atoti Market Data, you can instead use the library dependency:

<dependency>
    <groupId>com.activeviam.apps.market-data</groupId>
    <artifactId>market-data-lib</artifactId>
    <version>${market-data.version}</version>
</dependency>