Deprecated Market Data Retrieval Service

The deprecated market data retrieval service continues to provide market shift vectors for Taylor VaR calculations. All new custom measures should use Atoti Market Data instead.

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Spring

The market data retrieval service provides the com.activeviam.accelerator.common.services.IMarketDataRetrievalService interface as a Spring Bean. The Bean is instantiated on the com.activeviam.mr.common.measures.MarketDataRetrievalServiceConfig Spring configuration file. It has several implementations depending on the Spring configuration.

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Services

• getMarketData: returns a list of market data.
• getPnlVector: returns a list of PnL vectors used for the Taylor VaR.
• getCorporateAction: returns any corporate action related to the market data, such as dividend, coupon, or split.

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Multi-dimension handling

The services are able to handle multi-dimension market data. The size of the IPillarSet[] requestedPillars on the services input parameters provides the number of requested dimensions. The returned array will contain the values for all the requested coordinates. For instance, for a 3 dimensions request, the values for (x, y, z) will be at the location: (x * requestedPillars[1].getSize() + y) * requestedPillars[2].getSize() + z The request provides a pillar set of size 1 and then get back a single value.

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Customization

Most of the customization should be performed on the IInterpolationConfiguration Bean that is injected to the service. If you need to rely on additional parameters (extra levels for instance), the property List<Object> ServiceContext.leafCoordinates; can be used. It is filled by the custom user service Bean com.activeviam.accelerator.common.services.ICustomParameters, instantiated in com.activeviam.mr.common.measures.CustomParametersConfig. If the input data need to be retrieved elsewhere or in a different way than the standard one, you can override or replace com.activeviam.mr.common.services.impl.MarketDataRetrievalService or com.activeviam.mr.common.services.impl.ScalarMarketDataRetrievalService for the service implementation. If the non-interpolated way of matching pillars needs to be changed, the class com.activeviam.accelerator.common.utils.ModifiedPillarSetOfPillar should be used to encapsulate the requested pillar set. It overrides the equality between pillars by a custom lambda function. This has to be done on the InterpolationConfiguration.fixPillarSet(…) method. The default double value for empty slots can be set on the constructor of the service Bean.

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Interpolation

We can choose to interpolate or not a dataset on the configuration Bean. We can set the following options:

• Enable or disable the interpolation.
• Set the interpolation order.
• Specify a transformation to apply to a specific axis before the interpolation: $y = f(pillar, x)$ and $x = f^{-1}(pillar, y)$ have to be provided.

The interpolation logic is embedded on the class:

• com.activeviam.accelerator.common.services.impl.marketdataretrieval.InterpolationDouble for double interpolation.
• com.activeviam.accelerator.common.services.impl.marketdataretrieval.InterpolationVector for IVector interpolation.

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Nominal, absolute or relative price

The service can handle absolute or relative price. Take the following example of a bond: We can see that the MtM of the Bond is Price * Nominal / 100 = 16116.00 EUR. For PnL computation we need to use the MtM, absolute price. To achieve this, the following must be configured in the InterpolationConfiguration class:

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Retrieving the market price

The service and, by extension, the MarketDataPostProcessor can retrieve the market data as an absolute or relative price. This is done with the MarketType typeOfMarketData parameter. For PnL explain and VaR, the market data must be expressed in absolute price.

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Corporate Action

The corporate action can be stored in the CorporateAction store or via any customization. Atoti Market Risk handles two corporate actions: dividend and split. Use the getCorporateAction function to retrieve these input data.

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Split

The market data retrieval service provides an option to integrate corporate splits into the market price to calculate PnL. This integration is defined by the function corporateActionOperator in the InterpolationConfiguration class.