This page details the adjustment types available in , together with details of the execution workflow.Documentation Index
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Adjustment types
Multiple adjustment types are available out of the box in .| Cube | Metric | Adjustment type | Description | Input value type | Base value type |
|---|---|---|---|---|---|
| StandardisedApproachCube | Default Risk Charge | Add-one | Add-on value. Results in a single new row per adjustment. | Scalar value | Scalar |
| StandardisedApproachCube | Default Risk Charge | Scaling | Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Scalar value | Scalar |
| StandardisedApproachCube | Default Risk Charge | Override | Override of the base value. Results in two rows, for the inversion of the base value and the new value. | Scalar value | Scalar |
| StandardisedApproachCube | Equity Delta Sensitivities, FX Delta Sensitivities | Add-one | Add-on value. Results in a single new row per adjustment. | Scalar value | Vector |
| StandardisedApproachCube | Equity Delta Sensitivities, FX Delta Sensitivities | Scaling | Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Scalar value | Vector |
| StandardisedApproachCube | Equity Delta Sensitivities, FX Delta Sensitivities | Override | Override of the base value. Results in two rows, for the inversion of the base value and the new value. | Scalar value | Vector |
| StandardisedApproachCube | Commodity Delta Sensitivities, CSR non-Sec Delta Sensitivities, CSR Sec CTP Delta Sensitivities, GIRR Delta Sensitivities | Add-one | Add-on value. Results in a single new row per adjustment. | Scalar value | Vector |
| StandardisedApproachCube | Commodity Delta Sensitivities, CSR non-Sec Delta Sensitivities, CSR Sec CTP Delta Sensitivities, GIRR Delta Sensitivities | Scaling | Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Scalar value | Vector |
| StandardisedApproachCube | Commodity Delta Sensitivities, CSR non-Sec Delta Sensitivities, CSR Sec CTP Delta Sensitivities, GIRR Delta Sensitivities | Override | Override of the base value. Results in two rows, for the inversion of the base value and the new value. | Scalar value | Vector |
| StandardisedApproachCube | CSR non-Sec Curvature CVR Up, Commodity Curvature CVR Up, CSR Sec CTP Curvature CVR Up, Equity Curvature CVR Up, FX Curvature CVR Up, GIRR Curvature CVR Up | Add-one | Add-on value. Results in a single new row per adjustment. | Scalar value | Vector |
| StandardisedApproachCube | CSR non-Sec Curvature CVR Up, Commodity Curvature CVR Up, CSR Sec CTP Curvature CVR Up, Equity Curvature CVR Up, FX Curvature CVR Up, GIRR Curvature CVR Up | Scaling | Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Scalar value | Vector |
| StandardisedApproachCube | CSR non-Sec Curvature CVR Up, Commodity Curvature CVR Up, CSR Sec CTP Curvature CVR Up, Equity Curvature CVR Up, FX Curvature CVR Up, GIRR Curvature CVR Up | Override | Override of the base value. Results in two rows, for the inversion of the base value and the new value. | Scalar value | Vector |
| StandardisedApproachCube | CSR non-Sec Curvature CVR Down, Commodity Curvature CVR Down, CSR Sec CTP Curvature CVR Down, Equity Curvature CVR Down, FX Curvature CVR Down, GIRR Curvature CVR Down | Add-one | Add-on value. Results in a single new row per adjustment. | Scalar value | Vector |
| StandardisedApproachCube | CSR non-Sec Curvature CVR Down, Commodity Curvature CVR Down, CSR Sec CTP Curvature CVR Down, Equity Curvature CVR Down, FX Curvature CVR Down, GIRR Curvature CVR Down | Scaling | Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Scalar value | Vector |
| StandardisedApproachCube | CSR non-Sec Curvature CVR Down, Commodity Curvature CVR Down, CSR Sec CTP Curvature CVR Down, Equity Curvature CVR Down, FX Curvature CVR Down, GIRR Curvature CVR Down | Override | Override of the base value. Results in two rows, for the inversion of the base value and the new value. | Scalar value | Vector |
| StandardisedApproachCube | Commodity Vega Sensitivities, CSR non-Sec Vega Sensitivities, CSR Sec CTP Vega Sensitivities, GIRR Vega Sensitivities, Equity Vega Sensitivities, FX Vega Sensitivities | Add-one | Add-on value. Results in a single new row per adjustment. | Scalar value | Vector |
| StandardisedApproachCube | Commodity Vega Sensitivities, CSR non-Sec Vega Sensitivities, CSR Sec CTP Vega Sensitivities, GIRR Vega Sensitivities, Equity Vega Sensitivities, FX Vega Sensitivities | Scaling | Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Scalar value | Vector |
| StandardisedApproachCube | Commodity Vega Sensitivities, CSR non-Sec Vega Sensitivities, CSR Sec CTP Vega Sensitivities, GIRR Vega Sensitivities, Equity Vega Sensitivities, FX Vega Sensitivities | Override | Override of the base value. Results in two rows, for the inversion of the base value and the new value. | Scalar value | Vector |
| InternalModelApproachCube | IMCC | Scaling | Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Date | Vector |
Execution details
Functional workflow
Executing an adjustment should conform to the following steps:| Step | Details |
|---|---|
| Retrieve supported adjustments from the appropriate REST endpoint | The adjustment requests need to conform to the specification returned by the supported adjustments service, but once the requests are created, this step isn’t necessary. |
| Initiate the sign-off task | The status of of the sign-off process for the filters defined in the association sign-off task is set to ‘INITIATED’. |
| Request adjustment. | Adjustment requests will be executed asynchronously on the sign-off snapshot. There is no limit to the number of adjustments that can be requested for a snapshot. |
| Approve the sign-off task | The status of of the sign-off process for the filters defined in the association sign-off task is set to ‘APPROVED’. |
| Retrieve the status of an adjustment execution | As adjustments are executed asynchronously, a service is provided for retrieving the status of a given adjustment execution. Any errors in the execution of an adjustment will result in a FAILED status being returned by the status service. |