Download sample file: IMA_ES_ScenarioFX.csv This file provides FX spot rates used in IMA ES scenarios. This IMA ES Scenario FX Rates file type is identified using the pattern: **/IMA_ES_ScenarioFX*.csv (as specified by ima.es.scenario-fx.file-pattern). A sample file isDocumentation Index
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IMA_ES_ScenarioFX. This file is loaded using the EsScenarioFxRates topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
FXHistorical Topic
TheEsScenarioFxHistorical topic has the same file format as IMA_ES_ScenarioFX.csv. The difference is the file location.
- When loading the
EsScenarioFxRatestopic, the as-of date is provided in the scope and the file will be loaded from the corresponding directory. - When loading the
EsScenarioFxHistoricaltopic, no as-of date is provided in the scope and all IMA_ES_ScenarioFX.csv files from the historical directory are loaded.
FxRate Lookup
The for converting the input currency value into the target currency value is obtained based on the data in the EsScenarioFxRates store. Similar to the scalar base FX rates, a common currency is used to calculate cross rates.| Field | Key | Null | FieldType | Description | Example |
| DataSet | Y | Y | String | The data set to which the entry belongs.The following different values are possible:“Full Set Current”: data for the last 12 months, “Reduced Set Stressed”: data with the reduced set of risk factors for the 12-month stress period, “Reduced Set Current”: data with the reduced set of risk factors for the last 12 months | |
| RiskClass | Y | N | String | The risk class, which will be one of the following:GIRR, CSR, Equity, Commodity, FX, allin | |
| LiquidityHorizon | Y | Y | String | The Liquidity Horizon in days: 10, 20, 40, 60, or 120. | |
| BaseCurrency | Y | N | String | The left side of the currency pair. | |
| CounterCurrency | Y | N | String | The right side of the currency pair | |
| Rates | N | N | Double Vector | The vector of FX rates between the two currencies. The vector is index by the same scenarios as the corresponding IMA ES PV vector. | |
| AsOfDate | Y | N | Date ‘YYYY-MM-DD’ | Timestamp (at close of business) for the data. |