Download sample file: Cube_Market_Data.csv The file is used to provide three-axis market prices for the greek-based PL calculations, through theDocumentation Index
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CubeMarketData topic.
This Cube market data file type is identified using the pattern: **Cube_Market_Data*.csv (as specified by mr.common.file-patterns.cube-market-data).
This file is loaded using the CubeMarketData topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
For information on the glob patterns used and how to customize them, see note on File name patterns
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates value date | 2019-01-01 |
| MarketDataSet | Y | N | String | String defining the market data set, for example “Trader marks” or “Official EOD” | Official EOD |
| CubeId | Y | N | String | Identifier of the cube. Must match risk factor identifier in the sensitivities files | USD.OIS |
| Tenor | Y | N | String | A tenor, such as 3M, 5Y, and so on. | 1Y |
| Moneyness | Y | N | String | A moneyness value | 45p |
| UnderlyingMaturity | Y | N | String | An underlying maturity for volatility cubes. | 0.5Y |
| Quote | Double | Market data quote to be used by the greek-based calculation. Must correspond to sensitivities to the same risk factor. | 2453.1 |