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This page details the adjustment types available in Atoti Market Risk, together with details of the execution workflow.

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Adjustment types

Multiple adjustment types are available out of the box in Atoti Market Risk.
CubeAdjustment typeDescriptionInput value typeBase value type
Sensitivity CubeAdd-onTime-bucket indexed (tenors, maturities, and moneyness, where applicable) add-on value. Results in a single new row per adjustment.DoubleDouble
ScalingTime-bucket indexed (tenors, maturities, and moneyness, where applicable) scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.DoubleDouble
OverrideTime-bucket indexed (tenors, maturities, and moneyness, where applicable) override of the base value. Results in two rows, for the inversion of the base value and the new value.DoubleDouble
Roll-overPerformed for a desk, a book, or a trade. Results in inversions of all the rows matching the current as-of date, and new rows for all the matches on the previous as-of date.DateDouble
CubePerformed for a desk, a book or a trade.Date, Currency, ValueDouble
PLCubeAdd-on value. Results in a single new row per adjustment.Add-onDoubleDouble
ScalingScaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.DoubleDouble
OverrideOverride of the base value. Results in two rows, for the inversion of the base value and the new value.DoubleDouble
Roll-overPerformed for a desk, a book, or a trade. Results in inversions of all the rows matching the current as-of date, and new rows for all the matches on the previous as-of date.DateDouble
CubePerformed for a desk, a book, or a trade.Date, Currency, ValueDouble
VaR-ES CubeAdd-onScenario-indexed add-on value. Results in a single new row per adjustment.DoubleDouble vector
ScalingScenario-indexed scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.DoubleDouble vector
OverrideScenario-indexed override of the base value. Results in two rows, for the inversion of the base value and the new value.DoubleDouble vector
Roll-overPerformed for a desk, a book, or a trade. Results in inversions of all the rows matching the current as-of date, and new rows for all the matches on the previous as-of date.DateDouble vector
CubePerformed for a desk, a book, or a trade.Date, Currency, ValueDouble

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Execution details

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Functional workflow

Executing an adjustment should conform to the following steps:
StepDetails
Retrieve supported adjustments from the appropriate REST endpointThe 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 taskThe status 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 taskThe status 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 executionAs 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.