Supported What-If operations in MR - Atoti Hub

Atoti Market Risk includes delta operations for the Sensitivities Cube and PnL vector operations for the VaR-ES Cube, executed synchronously on a target branch via REST.

What-if operations

Multiple operations are available out of the box in Atoti Market Risk.

Cube	Operation	Description	Input value type	Base value type
Sensitivity Cube	Delta Add-on	Trade ID and optionally risk factor-indexed delta add-on value indexed by risk-factor.	Double	Double
	Delta Scaling	Trade ID and optionally risk factor-indexed delta scaling of the base value.	Double	Double
	Delta Roll-over	Performed for a trade, and optionally for a risk factor ID.	Date	Double
	Delta Book Scaling	Performed for a book, and optionally for a risk factor ID.	Double	Double
	Delta Book Add-on	Performed for a book, and optionally for a risk factor ID.	Double	Double
VaR-ES Cube	Roll-over	Performed for a trade, and optionally for a risk factor ID.	Date	Double vector
	Book Scaling	Trade ID and optionally risk factor-indexed delta scaling of the base value.	Double	Double vector
	Trade Add-on	Performed for a trade, and optionally for a risk factor ID.	Double	Double vector
	Trade Scaling	Performed for a trade, and optionally for a risk factor ID.	Double	Double vector
	Scenario Scaling	Performed for a trade, a scenario, and optionally for a risk factor ID.	Double, String	Double vector
	Scenario Add-on	Performed for a trade, a scenario, and optionally for a risk factor ID.	Double, String	Double vector
	Book Add-on	Performed for a book, and optionally for a risk factor ID.	Double	Double vector
	Book Scaling	Performed for a book, and optionally for a risk factor ID.	Double	Double vector

Execution details

Functional workflow

Executing an operation must conform to the following steps:

Step	Details
Retrieve supported what-if operations from the appropriate REST endpoint	What-if operations requests must conform to the specification returned by the supported What-if operations service. However, once the requests are created, this step is not necessary.
Request what-if operation.	What-if requests will be executed synchronously on the target branch.