Market data - Atoti Hub

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.

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.

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.

Cube MD

Measure	Description	Required hierarchies
Cube MD Current	Cube market data for the current as-of date, using the primary risk factor as a cube ID.	Risk Factors, Tenors, Moneyness, Maturities
Cube MD Next	Cube market data for the next as-of date, using the primary risk factor as a cube ID.	Risk Factors, Tenors, Moneyness, Maturities
Cube MD Previous	Cube market data for the previous as-of date, using the primary risk factor as a cube ID.	Risk Factors, Tenors, Moneyness, Maturities

Curve MD

Measure	Description	Required hierarchies
Curve MD Current	Curve market data for the current as-of date, using the primary risk factor as a curve ID.	Risk Factors, Tenors
Curve MD Current On RiskFactor2	Curve market data for the current as-of date, using the secondary risk factor as a curve ID.	Risk Factors Secondary, Tenors
Curve MD Next	Curve market data for the next as-of date, using the primary risk factor as a curve ID.	Risk Factors, Tenors
Curve MD Next On RiskFactor2	Curve market data for the next as-of date, using the secondary risk factor as a curve ID.	Risk Factors Secondary, Tenors
Curve MD Previous	Curve market data for the previous as-of date, using the primary risk factor as a curve ID.	Risk Factors, Tenors
Curve MD Previous On RiskFactor2	Curve market data for the previous as-of date, using the secondary risk factor as a curve ID.	Risk Factors Secondary, Tenors

FX Spot MD

Measure	Description	Required hierarchies
FX Spot MD Current	The FX rate between the primary risk factor currencies (in an XXX/YYY format) for the current as-of date.	Risk Factors
FX Spot MD Next	The FX rate between the primary risk factor currencies (in an XXX/YYY format) for the next as-of date.	Risk Factors
FX Spot MD Previous	The FX rate between the primary risk factor currencies (in an XXX/YYY format) for the previous as-of date.	Risk Factors

FX Rate

Measure	Description	Required hierarchies
FX Rate Current	An FX rate between the currency in the Currencies hierarchy and the display currency, for the current as-of date.	Currencies
FX Rate Next	An FX rate between the currency in the Currencies hierarchy and the display currency, for the next as-of date.	Currencies
FX Rate Previous	An FX rate between the currency in the Currencies hierarchy and the display currency, for the previous as-of date.	Currencies

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

Split Ratio

Measure	Description	Required hierarchies
Split Ratio Current	The split ratio for the current as-of date, using the primary risk factor as an instrument ID.	Risk Factors
Split Ratio Next	The split ratio for the next as-of date, using the primary risk factor as an instrument ID.	Risk Factors
Split Ratio Previous	The split ratio for the previous as-of date, using the primary risk factor as an instrument ID.	Risk Factors

Split Ratio 2

Measure	Description	Required hierarchies
Split Ratio 2 Current	The split ratio for the current as-of date, using the secondary risk factor as an instrument ID.	Risk Factors Secondary
Split Ratio 2 Next	The split ratio for the next as-of date, using the secondary risk factor as an instrument ID.	Risk Factors Secondary
Split Ratio 2 Previous	The split ratio for the previous as-of date, using the secondary risk factor as an instrument ID.	Risk Factors Secondary

Spot MD

Measure	Description	Required hierarchies
Spot MD Current	The spot market data for the current as-of date, using the primary risk factor as an instrument ID.	Risk Factors
Spot MD Current On RiskFactor2	The spot market data for the current as-of date, using the secondary risk factor as an instrument ID.	Risk Factors Secondary
Spot MD Next	The spot market data for the next as-of date, using the primary risk factor as an instrument ID.	Risk Factors
Spot MD Next On RiskFactor2	The spot market data for the next as-of date, using the secondary risk factor as an instrument ID.	Risk Factors Secondary
Spot MD Previous	The spot market data for the previous as-of date, using the primary risk factor as an instrument ID.	Risk Factors
Spot MD Previous On RiskFactor2	The spot market data for the previous as-of date, using the secondary risk factor as an instrument ID.	Risk Factors Secondary

Surface MD

Measure	Description	Required hierarchies
Surface MD Current	Surface market data for the current as-of date, using the primary risk factor as a surface ID.	Risk Factors, Tenors, Moneyness
Surface MD Next	Surface market data for the next as-of date, using the primary risk factor as a surface ID.	Risk Factors, Tenors, Moneyness
Surface MD Previous	Surface market data for the previous as-of date, using the primary risk factor as a surface ID.	Risk Factors, Tenors, Moneyness

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.

Correlation MD

Measure	Description	Required hierarchies
Correlation MD Current	Primary risk factor market data for correlation-driven PnL for the current as-of date	Risk Classes, Risk Factors, Risk Factors Secondary, Sensitivity, Tenors
Correlation MD Next	Primary risk factor market data for correlation-driven PnL for the next as-of date	Risk Classes, Risk Factors, Risk Factors Secondary, Sensitivity, Tenors
Correlation MD Previous	Primary risk factor market data for correlation-driven PL for the previous as-of date	Risk Classes, Risk Factors, Risk Factors Secondary, Sensitivity, Tenors

Delta MD

Measure	Description	Required hierarchies
Delta Current MD	Primary risk factor market data for delta-driven PL for the current as-of date	Risk Classes, Risk Factors, Sensitivity, Tenors
Delta Next MD	Primary risk factor market data for delta-driven PL for the next as-of date	Risk Classes, Risk Factors, Sensitivity, Tenors
Delta Previous MD	Primary risk factor market data for delta-driven PL for the previous as-of date	Risk Classes, Risk Factors, Sensitivity, Tenors

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.

Dividend

Measure	Description	Required hierarchies
Dividend Current	Paid dividend or detached coupon amount for the current as-of date	Risk Classes, Risk Factors, Sensitivity
Dividend Next	Paid dividend or detached coupon amount for the next as-of date	Risk Classes, Risk Factors, Sensitivity
Dividend Previous	Paid dividend or detached coupon amount for the previous as-of date	Risk Classes, Risk Factors, Sensitivity

Gamma MD

Measure	Description	Required hierarchies
Gamma Current MD	Primary risk factor market data for gamma-driven PL for the current as-of date	Risk Classes, Risk Factors, Sensitivity, Tenors
Gamma Next MD	Primary risk factor market data for gamma-driven PL for the next as-of date	Risk Classes, Risk Factors, Sensitivity, Tenors
Gamma Previous MD	Primary risk factor market data for gamma-driven PL for the previous as-of date	Risk Classes, Risk Factors, Sensitivity, Tenors

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.

Theta MD

Measure	Description	Required hierarchies
Theta Current MD	Primary risk factor market data for theta-driven PL for the current as-of date. It contains the duration of the deal.	Risk Factors, TradeMaturityDates
Theta Previous MD	Primary risk factor market data for theta-driven PL for the previous as-of date. It contains the duration of the deal.	Risk Factors, TradeMaturityDates

Vanna MD

Measure	Description	Required hierarchies
Vanna Current MD	Primary risk factor market data for vanna-driven PL for the current as-of date	Risk Classes, Risk Factors, Sensitivity, Tenors, Moneyness, Maturities
Vanna Current MD 2	Secondary risk factor market data for vanna-driven PL for the current as-of date	Risk Classes, Risk Factors Secondary, Sensitivity, Tenors
Vanna Next MD	Primary risk factor market data for vanna-driven PL for the next as-of date	Risk Classes, Risk Factors, Sensitivity, Tenors, Moneyness, Maturities
Vanna Next MD 2	Secondary risk factor market data for vanna-driven PL for the next as-of date	Risk Classes, Risk Factors Secondary, Sensitivity, Tenors
Vanna Previous MD	Primary risk factor market data for vanna-driven PL for the previous as-of date	Risk Classes, Risk Factors, Sensitivity, Tenors, Moneyness, Maturities
Vanna Previous MD 2	Secondary risk factor market data for vanna-driven PL for the previous as-of date	Risk Classes, Risk Factors Secondary, Sensitivity, Tenors

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.

Vega MD

Measure	Description	Required hierarchies
Vega Current MD	Primary risk factor market data for vega-driven PL for the current as-of date	Risk Classes, Risk Factors, Sensitivity, Tenors, Moneyness, Maturities
Vega Next MD	Primary risk factor market data for vega-driven PL for the next as-of date	Risk Classes, Risk Factors, Sensitivity, Tenors, Moneyness, Maturities
Vega Previous MD	Primary risk factor market data for vega-driven PL for the previous as-of date	Risk Classes, Risk Factors, Sensitivity, Tenors, Moneyness, Maturities

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.

Volga MD

Measure	Description	Required hierarchies
Volga Current MD	Primary risk factor market data for volga-driven PL for the current as-of date	Risk Classes, Risk Factors, Sensitivity, Tenors, Moneyness, Maturities
Volga Next MD	Primary risk factor market data for volga-driven PL for the next as-of date	Risk Classes, Risk Factors, Sensitivity, Tenors, Moneyness, Maturities
Volga Previous MD	Primary risk factor market data for volga-driven PL for the previous as-of date	Risk Classes, Risk Factors, Sensitivity, Tenors, Moneyness, Maturities

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.

​Available market data

​Market data usage by sensitivity

​Cube MD

​Curve MD

​FX Spot MD

​FX Rate

​Split Ratio

​Split Ratio 2

​Spot MD

​Surface MD

​Sensitivity-specific

​Correlation MD

​Delta MD

​Dividend

​Gamma MD

​Theta MD

​Vanna MD

​Vega MD

​Volga MD