This page details the adjustment types available in Atoti Market Risk, together with details of the execution workflow.Documentation Index
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Adjustment types
Multiple adjustment types are available out of the box in Atoti Market Risk.| Cube | Adjustment type | Description | Input value type | Base value type |
|---|---|---|---|---|
| Sensitivity Cube | Add-on | Time-bucket indexed (tenors, maturities, and moneyness, where applicable) add-on value. Results in a single new row per adjustment. | Double | Double |
| Scaling | Time-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. | Double | Double | |
| Override | Time-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. | Double | Double | |
| Roll-over | Performed 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. | Date | Double | |
| Cube | Performed for a desk, a book or a trade. | Date, Currency, Value | Double | |
| PLCube | Add-on value. Results in a single new row per adjustment. | Add-on | Double | Double |
| Scaling | Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Double | Double | |
| Override | Override of the base value. Results in two rows, for the inversion of the base value and the new value. | Double | Double | |
| Roll-over | Performed 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. | Date | Double | |
| Cube | Performed for a desk, a book, or a trade. | Date, Currency, Value | Double | |
| VaR-ES Cube | Add-on | Scenario-indexed add-on value. Results in a single new row per adjustment. | Double | Double vector |
| Scaling | Scenario-indexed scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value. | Double | Double vector | |
| Override | Scenario-indexed override of the base value. Results in two rows, for the inversion of the base value and the new value. | Double | Double vector | |
| Roll-over | Performed 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. | Date | Double vector | |
| Cube | Performed for a desk, a book, or a trade. | Date, Currency, Value | Double |
Execution details
Functional workflow
Executing an adjustment should conform to the following steps:| Step | Details |
|---|---|
| Retrieve supported adjustments from the appropriate REST endpoint | The 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 task | The 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 task | The 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 execution | As 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. |