Market data

Documentation Index

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Previous versions of Atoti Market Risk provided market data measures targeted at particular sensitivity types, with measures such as Delta Current MD representing the market data used for that PnL Explain computation. This led to significant duplication. For example, Delta Current MD and Gamma Current MD would be the same market data for any given risk factor. In addition, logic pertaining to a specific market data type was hard to modify: for instance, curve interpolation logic would have to be modified for each sensitivity that uses curves to compute PnL Explain. While a technical measure with the previous name still exists for sensitivities using more than one market data type (for example, Volga Current MD will return either the Surface MD Current or Cube MD Current value depending on the risk factor), we no longer duplicate the underlying data into multiple measures. Each market data type now has its own set of measures, described below.

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Available market data

Several types of market data are available in the Sensitivity Cube, with next date, current date, and previous date measures for each. To add additional types of market data to your project, use the Atoti Market Data APIs.

Market data	Store	ID hierarchy	Interpolation	Additional information
Spot MD	SpotMarketData	Risk Factors	None
Spot MD on RiskFactor2	SpotMarketData	Risk Factors Secondary	None	Could have distinct values from the main measure due to fewer facts contributing to the secondary risk factors.
Split Ratio	SplitRatioMarketData	Risk Factors	None
Split Ratio 2	SplitRatioMarketData	Risk Factors Secondary	None	Could have distinct values from the main measure due to fewer facts contributing to the secondary risk factors.
Spot MD w/ Split	SpotMarketData	Risk Factors	None	On the next as-of date, the base measure is multiplied by the primary risk factor split ratio.
Spot MD w/ Split on RiskFactor2	SpotMarketData	Risk Factors Secondary	None	On the next as-of date, the base measure is multiplied by the secondary risk factor split ratio. Could have distinct values from the main measure due to fewer facts contributing to the secondary risk factors.
Curve MD	CurveMarketData	Risk Factors	Linear
Curve MD On RiskFactor2	CurveMarketData	Risk Factors Secondary	Linear	Could have distinct values from the main measure due to fewer facts contributing to the secondary risk factors.
Surface MD	SurfaceMarketData	Risk Factors	Linear
Cube MD	CubeMarketData	Risk Factors	None	Interpolation is not supported for cube market data, even if mathematically possible.
Correlation MD	CorrelationMarketData	Risk Factors	None
Dividend	DividendMarketData	Risk Factors	None
Theta MD	None	Risk Factors	None	While considered a type of market data, the Theta market data is a function of the time to maturity of the trade.

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Market data usage by sensitivity

Risk Type	Spot	Spot with Split Ratio multiplication	FX Spot	Curve	Surface	Cube
Delta	Equities or other risk classes.	Equities or other risk classes, on the next as-of date.	FX	GIRR
Gamma	Equities or other risk classes.	Equities or other risk classes, on the next as-of date.	FX	GIRR
Vega					Any risk class.	GIRR
CrossGamma.1	Equities or other risk classes.	Equities or other risk classes, on the next as-of date.
CrossGamma.2	Equities or other risk classes.	Equities or other risk classes, on the next as-of date.
Vanna.1					Any risk class.	GIRR
Vanna.2	Equities or other risk classes.	Equities or other risk classes, on the next as-of date.		GIRR
Volga					Any risk class.	GIRR

Where a sensitivity is defined against two risk factors, the second market data type used will be defined against the Risk Factors Secondary hierarchy.

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Cube MD

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Curve MD

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FX Spot MD

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FX Rate

The target currency is defined by the hierarchy [Currencies].[displayCurrency].

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Split Ratio

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Split Ratio 2

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Spot MD

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Surface MD

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Sensitivity-specific

The following measures are maintained for compatibility with sensitivities that use more than one market data type. For all other use cases, use the type-specific measures above.

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Correlation MD

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Delta MD

Delta Current MD displays Spot MD Current, FX Spot MD Current, or Curve MD Current values depending on the Risk Class and Sensitivity. Delta Next MD displays Spot MD Next w/ Split, FX Spot MD Next, or Curve MD Next values depending on the Risk Class and Sensitivity. Delta Previous MD displays Spot MD Previous, FX Spot MD Previous, or Curve MD Previous values depending on the Risk Class and Sensitivity.

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Dividend

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Gamma MD

Gamma Current MD displays Spot MD Current, FX Spot MD Current, or Curve MD Current values depending on the Risk Class and Sensitivity. Gamma Next MD displays Spot MD Next w/ Split, FX Spot MD Next, or Curve MD Next values depending on the Risk Class and Sensitivity. Gamma Previous MD displays Spot MD Previous, FX Spot MD Previous, or Curve MD Previous values depending on the Risk Class and Sensitivity.

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Theta MD

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Vanna MD

Vanna Current MD displays Surface MD Current or Cube MD Current values depending on the Risk Class and Sensitivity. Vanna Current MD 2 displays Spot MD Current On RiskFactor2 or Curve MD Current On RiskFactor2 values depending on the Risk Class and Sensitivity. Vanna Next MD displays Surface MD Next or Cube MD Next values depending on the Risk Class and Sensitivity. Vanna Next MD 2 displays Spot MD Next w/ Split On RiskFactor2 or Curve MD Next On RiskFactor2 values depending on the Risk Class and Sensitivity. Vanna Previous MD displays Surface MD Previous or Cube MD Previous values depending on the Risk Class and Sensitivity. Vanna Previous MD 2 displays Spot MD Previous On RiskFactor2 or Curve MD Previous On RiskFactor2 values depending on the Risk Class and Sensitivity.

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Vega MD

Vega Current MD displays Surface MD Current or Cube MD Current values depending on the Risk Class and Sensitivity. Vega Next MD displays Surface MD Next or Cube MD Next values depending on the Risk Class and Sensitivity. Vega Previous MD displays Surface MD Previous or Cube MD Previous values depending on the Risk Class and Sensitivity.

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Volga MD

Volga Current MD displays Surface MD Current or Cube MD Current values depending on the Risk Class and Sensitivity. Volga Next MD displays Surface MD Next or Cube MD Next values depending on the Risk Class and Sensitivity. Volga Previous MD displays Surface MD Previous or Cube MD Previous values depending on the Risk Class and Sensitivity.