Input file formats

Out of the box, Atoti Market Risk will work with a predefined file format, CSV. If you produce your data in this format, you can load and use Atoti Market Risk with no customizations needed. However, you can of course edit and configure Atoti Market Risk to work with any format or file, database source, etc. that Atoti is compatible with.

Sample CSV input files are included in the source distribution. These files are loaded during testing of the MR application and provide examples of each of the file types.

Download PDF version of this chapter: Atoti Market Risk Input File Formats 5.4

Overview of input files

The input files for Atoti Market Risk comprise the following set:

Relevant for	Input file name
Trade attributes	Trade Attributes
VaR / ES calculations	Trade PnLs
	VaR-ES Cube
Scenario names	Scenarios
	Market data
	Market shifts for Taylor VaR
	Cube market data
	Curve market data
	FX rate market data
	Spot market data
	Surface market data
Reference data - Portfolio and hierarchy configuration	Legal Entity Parent Child
	Book Parent Child
	Counterparty Parent Child
Reference data	Counterparties
	Countries
Sensitivities	Cross Sensitivities
	Dividend
	Ladder Definition
	Risk Factors Catalog
	Sensitivities
	Sensitivity Cube
	Split Ratio
	Dynamic Tenors
	Dynamic Maturities
	Dynamic Moneyness
	Summary Sensitivity
PL Actual	Profit & Loss
	Profit & Loss Product Control
	Profit & Loss without Product Control
	Profit & Loss without Product Control Summary
	PL Cube
Cube-level Adjustments	Cube Adjustments

File name patterns

Atoti Market Risk uses glob patterns with the (*) asterisk wildcard character to identify the relevant file names for each category of input file. So you can add characters before and after the listed names, such as timestamps or ID numbers.

For example, the pattern **/TradePnLs*.csv matches all CSV files with names beginning with the string “TradePnL” in any subdirectory.

In this guide, the file pattern section for each of the input files specifies the glob pattern used. However, the glob prefix is omitted as it is now injected automatically.

You can customize the glob patterns by setting the appropriate file-pattern property in the application.yaml file.

Note on AsOfDate

The files in this document that contain an AsOfDate column will rely on that AsOfDate when loaded into the Atoti Server datastores. For the files that do not specify this column (whether described in this document or not), the AsOfDate is taken from the directory structure – these files should reside in the appropriate folder (usually ./data/20xx-yy-zz/ … /*.csv).

Key and optional fields

For each input file, the key and optional fields are indicated in the Key and Null columns respectively.

Labels and dates for pillars

For the pillar information (Tenors and Maturities), both a label and and date field are available, to allow any combination of source data:

• Pillars as labels, with no equivalent dates available in the source system

• Pillars as dates, with no equivalent labels available in the source system

• Pillars as both labels and dates

The dynamic re-bucketing converts the pillar information into a number of days, this is the basis on which the destination bucket is calculated. The primary cube level upon which this conversion is performed can be configured. Atoti Market Risk will attempt to use the configured converter to transform the value of the primary level into a number of days, only using the secondary level if the primary has no value.

To allow the slicing and dicing of input data on source pillars, both fields are selected as levels in the cube.

Examples

Source Label	Source Date	Configured Primary Level	As Of Date	Converted Number Of Days	Destination Buckets (M=30)
2M	-	Dates	2019-09-05	60	2M
2M	-	Labels	2019-09-05	60	2M
-	2019-11-05	Dates	2019-09-05	61	2M & 3M
-	2019-11-05	Labels	2019-09-05	61	2M & 3M
2M	2019-11-05	Dates	2019-09-05	61	2M & 3M
2M	2019-11-05	Labels	2019-09-05	60	2M