Download sample file: MarketShifts.csv The file is used to provide market prices for the Taylor VaR calculations. This Market shifts for Taylor VaR file type is identified using the pattern: **MarketShifts*.csv (as specified byDocumentation Index
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mr.common.file-patterns.risk-factor-market-shifts).
This file is loaded using the MarketShifts 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
For the market data shift inputs, labels are only supported for tenors, maturities and moneyness. Dates are not currently supported.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates value date. | 2019-01-01 |
| RiskFactorId | Y | N | String | Identifier of the risk factor. Must match risk factor identifier in the sensitivities files. | USD.OIS |
| ScenarioSet | Y | N | String | String defining the market data set, for example “Trader marks” or “Official EOD” | Official EOD |
| Tenor | N | Y | String | Tenor label, such as 3M, 5Y, and so on, if applicable | 1Y |
| Maturity | N | N | String | Underlying maturity for volatility cubes, if applicable. | 0.5Y |
| Moneyness | N | N | String | Moneyness label, if applicable | ATM |
| Values | N | N | Double array (delimited by semicolons) | Market data shifts to be used by the Taylor VaR calculation. This is always an array. The length of the array corresponds to the number of scenarios used to compute the PnL data from sensitivities. | 1568.2 |