Creating dynamic maturities

The Dynamic Bucketing feature in Atoti Market Risk re-buckets sensitivities according to predefined structures defined by the following configuration and data files:

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Points to note

For the Tenors and Maturities, the number of days is taken into account for each tenor/maturity. For Moneyness, the shift from the strike price is taken into account for each moneyness label (see step-by-step procedure below).

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Step-by-step procedure

1. In the application.yaml file, add the property that corresponds to the type of data that you want to update: mr.bucketing.sets.tenors, mr.bucketing.sets.maturities or mr.bucketing.sets.moneyness.
2. Add the name of the bucket structure that you want to create in the relevant property, for example: mr.bucketing.sets.tenors = DEFAULT,REDUCED,DECADE,CUSTOM_BUCKET_STRUCTURE
3. In the relevant csv file DynamicTenors.csv, DynamicMaturities.csv or DynamicMoneyness.csv, add the entries that correspond to your new bucket structure. Example: TenorLabels,NumberOfDays,SensitivityName,TenorSet 10Y,3600,Delta,CUSTOM_BUCKET_STRUCTURE 20Y,7200,Delta,CUSTOM_BUCKET_STRUCTURE

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Note on values