Documentation Index
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Overview
These are the properties used to configure the mr-common-config module.The properties beginning
mr.sensi.rules.<sensitivity-type>.taylor-var enable you to configure the behavior of Taylor VAR calculations. If these properties are not set, the values of the corresponding mr.sensi.rules.<sensi>.pnl-explain properties are used for Taylor VAR calculations.Module properties
| Key | Description | Default value |
|---|---|---|
| mr.application.what-if.persistence | A map intended to hold Hibernate-related properties in a hibernate.key.path -> value format. The default properties held in this map cannot be overridden individually. Once properties are explicitly set in the Spring context, the entire default map is discarded. | [hibernate.hbm2ddl.auto: create, hibernate.current_session_context_class: thread, hibernate.connection.url: jdbc:h2:mem:what-if;DB_CLOSE_DELAY=-1, hibernate.connection.driver_class: org.h2.Driver] |
| mr.bucketing.days.month | Number of days to use months when converting pillars for bucketing purposes. Used in the buckets level comparator. | 30 |
| mr.bucketing.days.week | Number of days to use weeks when converting pillars for bucketing purposes. Used in the buckets level comparator. | 7 |
| mr.bucketing.days.year | Number of days to use years when converting pillars for bucketing purposes. Used in the buckets level comparator. | 360 |
| mr.bucketing.sets.maturities | The names of the available maturity sets to be selectable in a context value. Must match inputs in the DynamicMaturities files. | [DEFAULT, REDUCED] |
| mr.bucketing.sets.moneyness | The names of the available moneyness sets to be selectable in a context value. Must match inputs in the DynamicMoneyness file. | [DEFAULT, NO_SMILE] |
| mr.bucketing.sets.tenors | The names of the available tenor sets to be selectable in a context value. Must match inputs in the DynamicTenors files. | [DEFAULT, REDUCED, DECADE] |
| mr.common.file-patterns.book-parent-child | Pattern for the Book Parent Child input file. | glob:**BookParentChild*.csv |
| mr.common.file-patterns.counterparties | Pattern for the Counterparties input file. | glob:**Counterparties*.csv |
| mr.common.file-patterns.counterparty-parent-child | Pattern for the Counterparty Parent Child input file. | glob:**CounterpartyParentChild*.csv |
| mr.common.file-patterns.countries | Pattern for the Countries input file. | glob:**Countries*.csv |
| mr.common.file-patterns.cube-level-adjustment | Pattern for the Cube Adjustments input file. | glob:**cubeAdjustment*.csv* |
| mr.common.file-patterns.cube-market-data | Pattern for the MR 5.3+ Cube Market Data input file. | glob:**Cube_Market_Data*.csv |
| mr.common.file-patterns.curve-market-data | Pattern for the MR 5.3+ Curve Market Data input file. | glob:**Curve_Market_Data*.csv |
| mr.common.file-patterns.fx-rate-market-data | Pattern for the MR 5.4+ FX Rate Market Data input file. | glob:**FX_Rate_Market_Data*.csv |
| mr.common.file-patterns.fx-rates | Pattern for the FX Rates input file. | glob:**FXRates*.csv |
| mr.common.file-patterns.legal-entity-parent-child | Pattern for the Legal Entity Parent Child input file. | glob:**LegalEntityParentChild*.csv |
| mr.common.file-patterns.market-data | Pattern for the MR 5.2 Market Data input file. | regex:(?=.*MarketData)(?:(?!Sets).)+.csv |
| mr.common.file-patterns.risk-factor-catalog | Pattern for the Risk Factors Catalog input file. | glob:**RiskFactorsCatalog*.csv |
| mr.common.file-patterns.risk-factor-market-shifts | Pattern for the Risk Factor Market Shifts input file. | glob:**MarketShifts*.csv |
| mr.common.file-patterns.scenarios | Pattern for the Scenarios input file. | glob:**Scenarios*.csv |
| mr.common.file-patterns.spot-market-data | Pattern for the MR 5.3+ Spot Market Data input file. | glob:**Spot_Market_Data*.csv |
| mr.common.file-patterns.surface-market-data | Pattern for the MR 5.3+ Surface Market Data input file. | glob:**Surface_Market_Data*.csv |
| mr.common.file-patterns.trade-attributes | Pattern for the Trade Attributes input file. | glob:**TradeAttributes*.csv |
| mr.confidence.defaults.expected-shortfall | Expected shortfall default confidence percentage. | 97.5 |
| mr.confidence.defaults.expected-tail-gain | Expected tail gain default confidence percentage. | 97.5 |
| mr.confidence.defaults.shift-percentile | Shift Percentile default context value. | 95 |
| mr.confidence.defaults.value-at-earnings | Value at earnings default confidence percentage. | 95 |
| mr.confidence.defaults.value-at-risk | Value at risk default confidence percentage. | 99 |
| mr.confidence.defaults.weighted-var-lambda | Weighted VaR default lambda parameter. | 0.94 |
| mr.confidence.levels | Confidence levels used to define specific measures. | [97.5, 99] |
| mr.configuration.virtual-hierarchies | List of hierarchies that are set as virtual | |
| mr.cubes.context-values.defaults.market-data-set | Default market data set to use for the calculations. | Official EOD |
| mr.cubes.context-values.defaults.pnl.type | Default PnL type for PnL cube. | Actual PL Attributed |
| mr.cubes.context-values.defaults.pnl.vector-size | PnL vector size. Used for setting context value maximum values. | 250 |
| mr.cubes.context-values.defaults.quantile | Default quantile for Tail measure calculations. | EQUAL_WEIGHT |
| mr.cubes.context-values.defaults.queries-time-limit-combined | The query time limit in seconds for the combined query cube, defined by the “queriesTimeLimit” context value. | 30 |
| mr.cubes.context-values.defaults.queries-time-limit-data | The query time limit in seconds for all the data cubes, defined by the “queriesTimeLimit” context value. | 30 |
| mr.cubes.context-values.defaults.rounding-method | Default rounding method for Tail measure calculations. | CEIL |
| mr.cubes.context-values.defaults.var-es.time-period | The default number of days used to scale the VaR metric. | 1 |
| mr.cubes.context-values.display-names.quantiles | The display names of quantiles used for Tail measure calculations. The key is the plugin key for the IVaRQuantile implementation, and the value is the name to use in the UI. | [EQUAL_WEIGHT: Equal Weight, CENTERED: Centered, EXCLUSIVE: Exclusive, SIMPLE: Simple] |
| mr.cubes.context-values.display-names.rounding-methods | The display names of rounding methods used for Tail measure calculations. The key is the plugin key for the IVaRRounding implementation, and the value is the name to use in the UI. | [FLOOR: Floor, CEIL: Ceil, ROUND: Round, ROUND_EVEN: Round Even, WEIGHTED: Weighted] |
| mr.cubes.context-values.reference-levels | List of the possible Levels for the Reference Level Context Value that will be used by the ReferenceLevelLocationShiftLight post-processor. The empty slot behaves like the top location. | [, Book@Books, Desk@Desks, Legal Entity@Legal Entities, Level 1@BookHierarchy, Level 2@BookHierarchy, Level 3@BookHierarchy, Level 4@BookHierarchy, Level 5@BookHierarchy, Level 1@LegalEntityHierarchy, Level 2@LegalEntityHierarchy, Legal Entity@Legal Entities] |
| mr.cubes.formatters.array-format | Double array formatter with at most 2 digits after the decimal separator. | DOUBLE_ARRAY[#.###########] |
| mr.cubes.formatters.date-format | The date formatters for timestamps. | DATE[HH:mm:ss] |
| mr.cubes.formatters.double-format | The formatter for double measures with at most 2 digits after the decimal separator. | DOUBLE[#,##0.00;-#,##0.00] |
| mr.cubes.formatters.integer-format | The int formatter. | INT[#,###] |
| mr.cubes.formatters.percent-format | The formatter for percentage double measures. | DOUBLE[#,##0.00%] |
| mr.cubes.levels.as-of-date | The as-of date level. | AsOfDate@Date@Dates |
| mr.cubes.levels.base-currency | The base currency level defining the currency used fo the FX risk on VaR computation. | Base Currency@Base Currency@Base Currency |
| mr.cubes.levels.books | The book level. | Book@Books@Booking |
| mr.cubes.levels.currency | Level containing the local currency. | Ccy@Currencies@Currencies |
| mr.cubes.levels.day-to-day | Slicing hierarchy used for day-to-day figures comparison. | DayToDay@DayToDay@Dates |
| mr.cubes.levels.day-to-day-members | List of specific members used to perform day-to-day operations in addition to the asOfDates. Each entry should be in the format: NAME=OFFSET, e.g Yesterday=DAY-1 | [Yesterday=DAY-1, Day-2=DAY-2, Tomorrow=DAY+1, End Of Month=EOM-1, End Of Quarter=EOQ-1, End Of Year=EOY-1] |
| mr.cubes.levels.display-currency | The display currency level name used by the cubes. | displayCurrency@displayCurrency@Currencies |
| mr.cubes.levels.dynamic-maturities | Dynamic maturity levels used for vectorized sensitivities, from analysis hierarchies. | Maturity@DynamicMaturities@DynamicBucketing |
| mr.cubes.levels.dynamic-moneyness | Dynamic moneyness levels used for vectorized sensitivities, from analysis hierarchies. | Moneyness@DynamicMoneyness@DynamicBucketing |
| mr.cubes.levels.dynamic-tenors | Dynamic tenor levels used for vectorized sensitivities, from analysis hierarchies. | Tenor@DynamicTenors@DynamicBucketing |
| mr.cubes.levels.end-index | Level used as the end index to create a sub-pnl vector for ES, VaR, EtG, VaE, and all their variations. | PnLEndIndex@PnLEndIndex@PnLIndex |
| mr.cubes.levels.fx-effect | The level that contains the FX effect. Used for decomposition between local and FX risk. | FX Attribution@FX Effect@Base Currency |
| mr.cubes.levels.ladder-availability | Sensitivity level containing the ladder shifts availability. | Ladder Available@Ladder Availability@Risk |
| mr.cubes.levels.ladder-shifts | Sensitivity level containing the ladder shifts. | Ladder Shift@Ladder Shifts@Risk |
| mr.cubes.levels.liquidity-horizon-level | The level that contains the liquidity horizon related to the current scenario | Liquidity Horizon@Liquidity Horizons@Risk |
| mr.cubes.levels.market-data-set | Level containing the market data set. | MarketDataSet@MarketDataSets@MarketData |
| mr.cubes.levels.market-shift-date | Level containing the date used to select market shifts for Taylor calculations. | MarketShiftDate@MarketShiftDate@Dates |
| mr.cubes.levels.maturities | Maturity levels used for vectorized sensitivities, from analysis hierarchies. Examples: 2022-06-30 | Maturity@Maturities@Risk |
| mr.cubes.levels.maturities-date | Maturity axis sub-level. | Maturity Date@Maturities@Risk |
| mr.cubes.levels.maturities-date2 | Second Maturity axis sub-level used for correlation printout. | Maturity Date2@Maturities Secondary@Risk |
| mr.cubes.levels.maturities2 | Second maturity axis used for correlation printout. | Maturity2@Maturities Secondary@Risk |
| mr.cubes.levels.moneyness | Moneyness levels used for vectorized sensitivities, from analysis hierarchies. | Moneyness@Moneyness@Risk |
| mr.cubes.levels.moneyness2 | Second moneyness axis used for correlation printout. | Moneyness2@Moneyness Secondary@Risk |
| mr.cubes.levels.notional-currency | Currency used for the notional value. | NotionalCcy@NotionalCurrencies@TradeAttributes |
| mr.cubes.levels.percentile | Level containing the percentile. | Percentile@Percentile@Risk |
| mr.cubes.levels.quantile-rank | The quantile rank level. | QuantileName@Quantiles@Quantiles |
| mr.cubes.levels.risk-class | Level containing the risk class. | RiskClass@Risk Classes@Risk |
| mr.cubes.levels.risk-factor | Level containing the risk factor axis. | RiskFactor@Risk Factors@Risk |
| mr.cubes.levels.risk-factor2 | Level description of second risk factor axis (used for Vanna, Correlation, etc). | RiskFactor2@Risk Factors Secondary@Risk |
| mr.cubes.levels.rounding | The rounding level. | MethodName@RoundingMethods@Rounding |
| mr.cubes.levels.scenario | Level containing the scenario analysis hierarchy. | Scenario@Scenarios@Risk |
| mr.cubes.levels.scenario-set | Level containing the scenario set. | Scenario Set@Scenario Sets@Risk |
| mr.cubes.levels.sensitivity-kind | Kind of sensitivity. | Sensitivity Kind@Sensitivity Kind@Sensitivity Kind |
| mr.cubes.levels.sensitivity-name | Level containing the sensitivity names. | SensitivityName@Sensitivity@Sensitivities |
| mr.cubes.levels.sensitivity-type-level | Level name of the rebucketing hierarchy used to group sensitivity names by type. For instance “Delta EQ”, “repo margin”, “Delta IR” will be grouped under “Delta”. | SensitivityType@SensitivityType@Sensitivities |
| mr.cubes.levels.slicing-market-data-set | This toggles whether the market data set hierarchy is slicing or not. Please note this is likely to significantly impact calculations. | true |
| mr.cubes.levels.source-currency | Second currency axis, used for FX table printout. | srcCurrency@srcCurrency@Currencies |
| mr.cubes.levels.start-index | Level used as the start index to create a sub-pnl vector for ES, VaR, EtG, VaE, and all their variations. | PnLStartIndex@PnLStartIndex@PnLIndex |
| mr.cubes.levels.tenors | Tenor levels used for vectorized sensitivities, from analysis hierarchies. Examples: 1W, 6M, 5Y | Tenor@Tenors@Risk |
| mr.cubes.levels.tenors-date | Tenor axis sub-level. | Tenor Date@Tenors@Risk |
| mr.cubes.levels.tenors-date2 | Second Tenor axis sub-level used for correlation printout. | Tenor Date2@Tenors Secondary@Risk |
| mr.cubes.levels.tenors2 | Second tenor axis used for correlation printout. | Tenor2@Tenors Secondary@Risk |
| mr.cubes.levels.trade-maturity-date | Level containing the maturity date of the trade. | TradeMaturityDate@TradeMaturityDates@TradeAttributes |
| mr.cubes.levels.trades | The trades level. | TradeId@Trades@Booking |
| mr.cubes.levels.var-inclusion | Level containing the VaR inclusion. | VaR inclusion type@VaR inclusion type@TradeAttributes |
| mr.data-load.format | Changing the value to a lower version enables the old sensitivity file format. | 6.0 |
| mr.data-load.initial-business-dates | Date filtering: date loaded in memory (filtered out if DirectQuery). Value is empty, which means that no filtering is performed by default. | |
| mr.data-load.initial-load-source | The Source used for the initial data load. This can be set when more than one source is defined. | |
| mr.enable.cubes.combined | Set to false to disable MRCombinedCube. | true |
| mr.enable.cubes.pnl | Set to false to disable PnL cube. | true |
| mr.enable.cubes.pnl-summary | Set to false to disable PnL Summary cube. | true |
| mr.enable.cubes.sensi | Set to false to disable Sensi cube. | true |
| mr.enable.cubes.sensi-summary | Set to false to disable Sensi Summary cube. | true |
| mr.enable.cubes.var-es | Set to false to disable VaR-ES cube. | true |
| mr.enable.cubes.var-summary | Set to false to disable VaR-ES Summary cube. | true |
| mr.enable.data-model.aggregated | Set to true to store summary data in an aggregated format. | false |
| mr.enable.dtd-absolute-increase | If set, the “XXX DtD % Difference” measure will use the formula , if no set the formula | false |
| mr.enable.preview.directquery-cache | Set to true to enable a new DirectQuery cache that is available for preview. This caches slices of standalone tables in-memory to improve the performance of getByKeyQueries. The number of slices held at any one time can be configured to optimize memory usage. Currently, this is only available for market data stores. | false |
| mr.enable.tracing.open-telemetry | Set to true to enable OpenTelemetry tracing configuration. | false |
| mr.fx.common-currency | Common currency used by FX Rates Service. Sets the currency to use for indirect FX rate look-ups (e.g AUD/SGD as AUD/EUR * EUR/SGD). | EUR |
| mr.fx.default-fx-rate | The default FX rate value to use when the currency pair cannot be found. | |
| mr.fx.display-currencies | Order of the available reference currencies in the display currency level. | [EUR, USD, GBP, CHF, JPY, SEK, NOK, CAD, AUD] |
| mr.fx.enable-fx-risk-location-shift | If enabled, the FX risk will be shifted when computing the VaR to the FX risk class, the delta risk type and the exchange rate risk factor. | true |
| mr.fx.enable-var-base-currency-dimension | Whether to enable the Base Currency Dimension. It activates the FX Effect hierarchy to see the contribution of the ccy change to the VaR, and the Base Currency hierarchy to see the effect of different risk currencies to the VaR. | false |
| mr.fx.enable-var-base-currency-dimension-on-var-cube | Controls whether the Base Currency dimension / FX Effect hierarchy is enabled on the VaR cube independently of the Sensi cube. Defaults to {@link VarCubeFxMode#MATCH_SENSI_CUBE}, which follows the value of {@link #enableVarBaseCurrencyDimension}. | MATCH_SENSI_CUBE |
| mr.fx.fx-risk-member | The fx risk part of the VaR, this is a member of the FX Effect hierarchy. | FX Effect |
| mr.fx.local-risk-member | The local risk part of the VaR, this is a member of the FX Effect hierarchy. | Local Risk |
| mr.fx.risk-class-member | Risk class used to compute FX risk (FX Delta). | FX |
| mr.fx.risk-disable-member | The member of the Base Currency hierarchy used to disable the risky currency effect. | Local Risk |
| mr.fx.risk-display-member | The member of the Base Currency hierarchy used to wire it back to the display ccy. | Display Ccy |
| mr.fx.sensitivity-name-member | Name of the sensitivity name level member that contains the FX risk (FX Delta). | Delta |
| mr.fx.shift-factor | This value is used to scale the FX shift when computing the FX effect on VaR. | 1 |
| mr.maturities.custom-fact-dates | Defines the source levels containing maturity dates for additional sensitivities. The key is the sensitivity name. | |
| mr.maturities.custom-fact-labels | Defines the source levels containing maturity labels for additional sensitivities. The key is the sensitivity name. | |
| mr.maturities.custom-fact-levels | Defines the source maturity levels to use for additional sensitivities. The key is the sensitivity name. | |
| mr.maturities.vanna-fact-dates | Defines the source levels containing maturity dates for vanna sensitivities. | Maturity Date@Maturity Dates@Risk |
| mr.maturities.vanna-fact-labels | Defines the source levels containing maturity labels for vanna sensitivities. | Maturity@Maturities@Risk |
| mr.maturities.vanna-fact-levels | Defines the source maturity levels to use for vanna sensitivities. | [Maturity Date@Maturity Dates@Risk, Maturity@Maturities@Risk] |
| mr.maturities.vega-fact-dates | Defines the source levels containing maturity dates for vega sensitivities. | Maturity Date@Maturity Dates@Risk |
| mr.maturities.vega-fact-labels | Defines the source levels containing maturity labels for vega sensitivities. | Maturity@Maturities@Risk |
| mr.maturities.vega-fact-levels | Defines the source maturity levels to use for vega sensitivities. | [Maturity Date@Maturity Dates@Risk, Maturity@Maturities@Risk] |
| mr.maturities.volga-fact-dates | Defines the source levels containing maturity dates for volga sensitivities. | Maturity Date@Maturity Dates@Risk |
| mr.maturities.volga-fact-labels | Defines the source levels containing maturity labels for volga sensitivities. | Maturity@Maturities@Risk |
| mr.maturities.volga-fact-levels | Defines the source maturity levels to use for volga sensitivities. | [Maturity Date@Maturity Dates@Risk, Maturity@Maturities@Risk] |
| mr.messenger.protocol-file-path | JGroup configuration file used for distributed cubes. | jgroups-protocols/protocol-udp.xml |
| mr.metrics.agg-summary-list | The list of the technical names of the relative metrics created for the Var-ES summary cube on the aggregated profile. | [booking, top] |
| mr.metrics.booking.clear-filter | If set to true, the top metric is taken by also clearing all the query filters. | |
| mr.metrics.booking.exclude | A list of hierarchies that are excluded from the top level computation. | |
| mr.metrics.booking.folder | Defines the sub-folder used for the relative metrics. It can be empty. | \Booking |
| mr.metrics.booking.hierarchy | Defines the axis used to find out the parent for the relative metrics. | BookHierarchy@Organization |
| mr.metrics.booking.null-at-top | If set to true, the metric returns null at the top level. | true |
| mr.metrics.booking.post-processor | Defines the post-processor that computes the reference used by the relative metrics. | ParentValue |
| mr.metrics.booking.suffix | Defines the suffix appended to the relative metrics. It can be empty. | Booking |
| mr.metrics.custom-metrics | Configuration for metrics not captured by the default properties. The key is the metric name. | |
| mr.metrics.rlshift.clear-filter | If set to true, the top metric is taken by also clearing all the query filters. | |
| mr.metrics.rlshift.exclude | A list of hierarchies that are excluded from the top level computation. | |
| mr.metrics.rlshift.folder | Defines the sub-folder used for the relative metrics. It can be empty. | \Reference Level |
| mr.metrics.rlshift.hierarchy | Defines the axis used to find out the parent for the relative metrics. | |
| mr.metrics.rlshift.null-at-top | If set to true, the metric returns null at the top level. | |
| mr.metrics.rlshift.post-processor | Defines the post-processor that computes the reference used by the relative metrics. | ReferenceLevelLocationShiftLight |
| mr.metrics.rlshift.suffix | Defines the suffix appended to the relative metrics. It can be empty. | Reference Level |
| mr.metrics.std-list | The list of the technical names of the relative metrics created for VaR-ES calculations. | [booking, top, trades, rlshift] |
| mr.metrics.std-summary-list | The list of the technical names of the relative metrics created for the Var-ES summary cube on the default/full profile. | [booking, top, trades] |
| mr.metrics.top.clear-filter | If set to true, the top metric is taken by also clearing all the query filters. | false |
| mr.metrics.top.exclude | A list of hierarchies that are excluded from the top level computation. | |
| mr.metrics.top.folder | Defines the sub-folder used for the relative metrics. It can be empty. | \Top |
| mr.metrics.top.hierarchy | Defines the axis used to find out the parent for the relative metrics. | |
| mr.metrics.top.null-at-top | If set to true, the metric returns null at the top level. | false |
| mr.metrics.top.post-processor | Defines the post-processor that computes the reference used by the relative metrics. | TopPostProcessor |
| mr.metrics.top.suffix | Defines the suffix appended to the relative metrics. It can be empty. | Top |
| mr.metrics.trades.clear-filter | If set to true, the top metric is taken by also clearing all the query filters. | |
| mr.metrics.trades.exclude | A list of hierarchies that are excluded from the top level computation. | |
| mr.metrics.trades.folder | Defines the sub-folder used for the relative metrics. It can be empty. | \Trades |
| mr.metrics.trades.hierarchy | Defines the axis used to find out the parent for the relative metrics. | Trades@Booking |
| mr.metrics.trades.null-at-top | If set to true, the metric returns null at the top level. | true |
| mr.metrics.trades.post-processor | Defines the post-processor that computes the reference used by the relative metrics. | ParentValue |
| mr.metrics.trades.suffix | Defines the suffix appended to the relative metrics. It can be empty. | Trades |
| mr.moneyness.custom-fact-dates | Defines the source levels containing moneyness dates for additional sensitivities. The key is the sensitivity name. | |
| mr.moneyness.custom-fact-labels | Defines the source levels containing moneyness labels for additional sensitivities. The key is the sensitivity name. | |
| mr.moneyness.custom-fact-levels | Defines the source moneyness levels to use for additional sensitivities. The key is the sensitivity name. | |
| mr.moneyness.default-value | Default value for moneyness. | N/A |
| mr.moneyness.vanna-fact-dates | Defines the source levels containing moneyness dates for vanna sensitivities. | |
| mr.moneyness.vanna-fact-labels | Defines the source levels containing moneyness labels for vanna sensitivities. | Moneyness@Moneyness@Risk |
| mr.moneyness.vanna-fact-levels | Defines the source moneyness levels to use for vanna sensitivities. | Moneyness@Moneyness@Risk |
| mr.moneyness.vega-fact-dates | Defines the source levels containing moneyness dates for vega sensitivities. | |
| mr.moneyness.vega-fact-labels | Defines the source levels containing moneyness labels for vega sensitivities. | Moneyness@Moneyness@Risk |
| mr.moneyness.vega-fact-levels | Defines the source moneyness levels to use for vega sensitivities. | Moneyness@Moneyness@Risk |
| mr.moneyness.volga-fact-dates | Defines the source levels containing moneyness dates for volga sensitivities. | |
| mr.moneyness.volga-fact-labels | Defines the source levels containing moneyness labels for volga sensitivities. | Moneyness@Moneyness@Risk |
| mr.moneyness.volga-fact-levels | Defines the source moneyness levels to use for volga sensitivities. | Moneyness@Moneyness@Risk |
| mr.parent-child.book-depth | The maximum depth of the BookHierarchy hierarchy, it will also change the number of columns of the BookHierarchy store. | 15 |
| mr.parent-child.counterparty-depth | The maximum depth of the CounterpartyHierarchy hierarchy, it will also change the number of columns of the CounterpartyHierarchy store. | 10 |
| mr.parent-child.legal-entity-depth | The maximum depth of the LegalEntityHierarchy hierarchy, it will also change the number of columns of the LegalEntityHierarchy store. | 5 |
| mr.partitioning.as-of-date.number-of-partitions | This property configures the number of partitions for the field AsOfDate in base stores and aggregate providers when modulo partitioning is used | 0 |
| mr.partitioning.as-of-date.partition-type | This property to configure the type of partitioning used on the field AsOfDate in base stores and aggregate providers | value |
| mr.pnl-distribution.number-of-buckets | Maximum number of buckets for PnLDistributionPostProcessor. | 100 |
| mr.risk.level-split | This is used to concatenate two risk levels for market data lookup. | / |
| mr.risk.risk-class-members | Risk classes are used in order to define specific metrics. | |
| mr.sensi.market-data.correlation.any.any.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | correlation |
| mr.sensi.market-data.correlation.any.custom | Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class. | |
| mr.sensi.market-data.correlation.custom | Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class. | |
| mr.sensi.market-data.cross-gamma1.any.any.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | spot |
| mr.sensi.market-data.cross-gamma1.any.custom | Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class. | |
| mr.sensi.market-data.cross-gamma1.any.equity.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | eq spot |
| mr.sensi.market-data.cross-gamma1.custom | Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class. | |
| mr.sensi.market-data.cross-gamma2.any.any.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | spot |
| mr.sensi.market-data.cross-gamma2.any.custom | Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class. | |
| mr.sensi.market-data.cross-gamma2.any.equity.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | eq spot |
| mr.sensi.market-data.cross-gamma2.custom | Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class. | |
| mr.sensi.market-data.custom | ||
| mr.sensi.market-data.delta.any.any.interpolation-mode | The type of interpolator to use: linear, cubic, spline etc. To disable interpolation, use {@link InterpolationMode#NONE}. | linear |
| mr.sensi.market-data.delta.any.any.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | curve |
| mr.sensi.market-data.delta.any.custom | Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class. | |
| mr.sensi.market-data.delta.any.equity.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | eq spot |
| mr.sensi.market-data.delta.any.fx.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | fx spot |
| mr.sensi.market-data.delta.custom | Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class. | |
| mr.sensi.market-data.dividend.any.any.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | dividend |
| mr.sensi.market-data.dividend.any.custom | Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class. | |
| mr.sensi.market-data.dividend.custom | Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class. | |
| mr.sensi.market-data.gamma.any.any.interpolation-mode | The type of interpolator to use: linear, cubic, spline etc. To disable interpolation, use {@link InterpolationMode#NONE}. | linear |
| mr.sensi.market-data.gamma.any.any.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | curve |
| mr.sensi.market-data.gamma.any.custom | Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class. | |
| mr.sensi.market-data.gamma.any.equity.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | eq spot |
| mr.sensi.market-data.gamma.any.fx.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | fx spot |
| mr.sensi.market-data.gamma.custom | Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class. | |
| mr.sensi.market-data.vanna1.any.any.interpolation-mode | The type of interpolator to use: linear, cubic, spline etc. To disable interpolation, use {@link InterpolationMode#NONE}. | linear |
| mr.sensi.market-data.vanna1.any.any.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | surface |
| mr.sensi.market-data.vanna1.any.custom | Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class. | |
| mr.sensi.market-data.vanna1.any.girr.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | cube |
| mr.sensi.market-data.vanna1.custom | Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class. | |
| mr.sensi.market-data.vanna2.any.any.interpolation-mode | The type of interpolator to use: linear, cubic, spline etc. To disable interpolation, use {@link InterpolationMode#NONE}. | linear |
| mr.sensi.market-data.vanna2.any.any.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | curve |
| mr.sensi.market-data.vanna2.any.custom | Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class. | |
| mr.sensi.market-data.vanna2.any.equity.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | eq spot |
| mr.sensi.market-data.vanna2.custom | Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class. | |
| mr.sensi.market-data.vega.any.any.interpolation-mode | The type of interpolator to use: linear, cubic, spline etc. To disable interpolation, use {@link InterpolationMode#NONE}. | linear |
| mr.sensi.market-data.vega.any.any.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | surface |
| mr.sensi.market-data.vega.any.custom | Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class. | |
| mr.sensi.market-data.vega.any.girr.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | cube |
| mr.sensi.market-data.vega.custom | Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class. | |
| mr.sensi.market-data.volga.any.any.interpolation-mode | The type of interpolator to use: linear, cubic, spline etc. To disable interpolation, use {@link InterpolationMode#NONE}. | linear |
| mr.sensi.market-data.volga.any.any.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | surface |
| mr.sensi.market-data.volga.any.custom | Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class. | |
| mr.sensi.market-data.volga.any.girr.market-data-type | The type of market data. This will be used to decide which market data store to retrieve the data from. For example, spot, curve, cube. | cube |
| mr.sensi.market-data.volga.custom | Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class. | |
| mr.sensi.rules.correlation.pnl-explain.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.pnl-explain.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.pnl-explain.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.pnl-explain.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.pnl-explain.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.pnl-explain.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.pnl-explain.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.pnl-explain.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.pnl-explain.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.pnl-explain.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.pnl-explain.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.pnl-explain.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.pnl-explain.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.pnl-explain.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.pnl-explain.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.pnl-explain.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.pnl-explain.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.pnl-explain.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.pnl-explain.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.pnl-explain.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.pnl-explain.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.pnl-explain.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.pnl-explain.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.pnl-explain.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.pnl-explain.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.pnl-explain.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.pnl-explain.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.pnl-explain.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.pnl-explain.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.pnl-explain.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.pnl-explain.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.correlation.pnl-explain.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.pnl-explain.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.pnl-explain.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.pnl-explain.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.pnl-explain.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.pnl-explain.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.pnl-explain.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.pnl-explain.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.pnl-explain.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.pnl-explain.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.pnl-explain.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.pnl-explain.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.pnl-explain.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.pnl-explain.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.pnl-explain.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.pnl-explain.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.pnl-explain.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.pnl-explain.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.taylor-var.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.taylor-var.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.taylor-var.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.taylor-var.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.taylor-var.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.taylor-var.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.taylor-var.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.taylor-var.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.taylor-var.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.taylor-var.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.taylor-var.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.taylor-var.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.taylor-var.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.taylor-var.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.taylor-var.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.taylor-var.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.taylor-var.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.taylor-var.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.taylor-var.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.taylor-var.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.taylor-var.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.taylor-var.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.taylor-var.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.taylor-var.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.taylor-var.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.taylor-var.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.taylor-var.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.taylor-var.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.taylor-var.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.taylor-var.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.taylor-var.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.correlation.taylor-var.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.taylor-var.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.taylor-var.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.taylor-var.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.taylor-var.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.taylor-var.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.taylor-var.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.taylor-var.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.taylor-var.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.taylor-var.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.taylor-var.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.taylor-var.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.correlation.taylor-var.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.correlation.taylor-var.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.correlation.taylor-var.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.correlation.taylor-var.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.correlation.taylor-var.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.correlation.taylor-var.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.pnl-explain.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.pnl-explain.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.pnl-explain.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.pnl-explain.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.pnl-explain.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.pnl-explain.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.pnl-explain.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.pnl-explain.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.pnl-explain.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.pnl-explain.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.cross-gamma1.pnl-explain.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.pnl-explain.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.pnl-explain.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.pnl-explain.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.pnl-explain.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.pnl-explain.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.pnl-explain.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.pnl-explain.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.pnl-explain.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.pnl-explain.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.pnl-explain.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.pnl-explain.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.pnl-explain.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.taylor-var.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.taylor-var.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.taylor-var.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.taylor-var.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.taylor-var.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.taylor-var.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.taylor-var.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.taylor-var.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.taylor-var.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.taylor-var.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.cross-gamma1.taylor-var.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.taylor-var.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.taylor-var.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.taylor-var.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.taylor-var.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.taylor-var.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.taylor-var.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.taylor-var.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma1.taylor-var.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma1.taylor-var.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma1.taylor-var.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma1.taylor-var.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma1.taylor-var.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.pnl-explain.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.pnl-explain.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.pnl-explain.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.pnl-explain.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.pnl-explain.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.pnl-explain.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.pnl-explain.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.pnl-explain.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.pnl-explain.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.pnl-explain.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.cross-gamma2.pnl-explain.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.pnl-explain.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.pnl-explain.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.pnl-explain.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.pnl-explain.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.pnl-explain.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.pnl-explain.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.pnl-explain.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.pnl-explain.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.pnl-explain.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.pnl-explain.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.pnl-explain.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.pnl-explain.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.taylor-var.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.taylor-var.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.taylor-var.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.taylor-var.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.taylor-var.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.taylor-var.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.taylor-var.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.taylor-var.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.taylor-var.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.taylor-var.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.cross-gamma2.taylor-var.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.taylor-var.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.taylor-var.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.taylor-var.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.taylor-var.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.taylor-var.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.taylor-var.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.taylor-var.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.cross-gamma2.taylor-var.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.cross-gamma2.taylor-var.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.cross-gamma2.taylor-var.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.cross-gamma2.taylor-var.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.cross-gamma2.taylor-var.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.delta.pnl-explain.any.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.pnl-explain.any.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.delta.pnl-explain.any.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.delta.pnl-explain.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.pnl-explain.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.pnl-explain.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.delta.pnl-explain.commodity.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.pnl-explain.commodity.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.delta.pnl-explain.commodity.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.delta.pnl-explain.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.pnl-explain.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.pnl-explain.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.delta.pnl-explain.csr-non-sec.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.pnl-explain.csr-non-sec.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.delta.pnl-explain.csr-non-sec.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.delta.pnl-explain.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.pnl-explain.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.pnl-explain.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.delta.pnl-explain.csr-sec-ctp.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.pnl-explain.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.delta.pnl-explain.csr-sec-ctp.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.delta.pnl-explain.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.pnl-explain.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.pnl-explain.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.delta.pnl-explain.csr-sec-non-ctp.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.pnl-explain.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.delta.pnl-explain.csr-sec-non-ctp.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.delta.pnl-explain.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.pnl-explain.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.pnl-explain.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.delta.pnl-explain.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.delta.pnl-explain.equity.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.pnl-explain.equity.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.delta.pnl-explain.equity.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.delta.pnl-explain.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.pnl-explain.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.pnl-explain.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.delta.pnl-explain.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.pnl-explain.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.delta.pnl-explain.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.delta.pnl-explain.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.pnl-explain.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.pnl-explain.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | FXRelative |
| mr.sensi.rules.delta.pnl-explain.girr.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.pnl-explain.girr.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.delta.pnl-explain.girr.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.delta.pnl-explain.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.pnl-explain.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.pnl-explain.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.delta.taylor-var.any.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.taylor-var.any.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.delta.taylor-var.any.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.delta.taylor-var.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.taylor-var.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.taylor-var.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.delta.taylor-var.commodity.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.taylor-var.commodity.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.delta.taylor-var.commodity.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.delta.taylor-var.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.taylor-var.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.taylor-var.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.delta.taylor-var.csr-non-sec.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.taylor-var.csr-non-sec.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.delta.taylor-var.csr-non-sec.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.delta.taylor-var.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.taylor-var.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.taylor-var.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.delta.taylor-var.csr-sec-ctp.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.taylor-var.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.delta.taylor-var.csr-sec-ctp.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.delta.taylor-var.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.taylor-var.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.taylor-var.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.delta.taylor-var.csr-sec-non-ctp.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.taylor-var.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.delta.taylor-var.csr-sec-non-ctp.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.delta.taylor-var.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.taylor-var.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.taylor-var.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.delta.taylor-var.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.delta.taylor-var.equity.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.taylor-var.equity.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.delta.taylor-var.equity.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.delta.taylor-var.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.taylor-var.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.taylor-var.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.delta.taylor-var.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.taylor-var.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.delta.taylor-var.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.delta.taylor-var.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.taylor-var.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.taylor-var.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | FXRelative |
| mr.sensi.rules.delta.taylor-var.girr.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.delta.taylor-var.girr.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.delta.taylor-var.girr.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.delta.taylor-var.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.delta.taylor-var.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.delta.taylor-var.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.pnl-explain.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.pnl-explain.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.pnl-explain.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.pnl-explain.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.pnl-explain.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.pnl-explain.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.pnl-explain.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.pnl-explain.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.pnl-explain.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.pnl-explain.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.pnl-explain.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.pnl-explain.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.pnl-explain.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.pnl-explain.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.pnl-explain.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.pnl-explain.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.pnl-explain.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.pnl-explain.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.pnl-explain.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.pnl-explain.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.pnl-explain.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.pnl-explain.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.pnl-explain.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.pnl-explain.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.pnl-explain.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.pnl-explain.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.pnl-explain.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.pnl-explain.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.pnl-explain.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.pnl-explain.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.pnl-explain.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.dividend.pnl-explain.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.pnl-explain.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.pnl-explain.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.pnl-explain.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.pnl-explain.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.pnl-explain.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.pnl-explain.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.pnl-explain.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.pnl-explain.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.pnl-explain.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.pnl-explain.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.pnl-explain.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.pnl-explain.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.pnl-explain.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.pnl-explain.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.pnl-explain.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.pnl-explain.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.pnl-explain.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.taylor-var.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.taylor-var.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.taylor-var.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.taylor-var.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.taylor-var.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.taylor-var.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.taylor-var.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.taylor-var.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.taylor-var.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.taylor-var.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.taylor-var.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.taylor-var.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.taylor-var.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.taylor-var.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.taylor-var.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.taylor-var.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.taylor-var.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.taylor-var.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.taylor-var.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.taylor-var.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.taylor-var.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.taylor-var.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.taylor-var.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.taylor-var.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.taylor-var.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.taylor-var.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.taylor-var.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.taylor-var.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.taylor-var.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.taylor-var.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.taylor-var.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.dividend.taylor-var.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.taylor-var.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.taylor-var.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.taylor-var.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.taylor-var.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.taylor-var.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.taylor-var.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.taylor-var.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.taylor-var.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.taylor-var.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.taylor-var.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.taylor-var.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.dividend.taylor-var.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.dividend.taylor-var.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.dividend.taylor-var.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.dividend.taylor-var.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.dividend.taylor-var.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.dividend.taylor-var.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.gamma.pnl-explain.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.pnl-explain.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.pnl-explain.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.pnl-explain.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.pnl-explain.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.pnl-explain.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.gamma.pnl-explain.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.pnl-explain.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.pnl-explain.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.pnl-explain.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.pnl-explain.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.pnl-explain.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.gamma.pnl-explain.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.pnl-explain.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.pnl-explain.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.pnl-explain.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.pnl-explain.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.pnl-explain.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.gamma.pnl-explain.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.pnl-explain.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.pnl-explain.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.pnl-explain.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.pnl-explain.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.pnl-explain.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.gamma.pnl-explain.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.pnl-explain.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.pnl-explain.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.pnl-explain.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.pnl-explain.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.pnl-explain.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.gamma.pnl-explain.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.gamma.pnl-explain.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.pnl-explain.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.pnl-explain.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.pnl-explain.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.pnl-explain.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.pnl-explain.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.gamma.pnl-explain.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.pnl-explain.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.pnl-explain.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.pnl-explain.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.pnl-explain.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.pnl-explain.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.gamma.pnl-explain.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.pnl-explain.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.pnl-explain.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.pnl-explain.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.pnl-explain.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.pnl-explain.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.gamma.taylor-var.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.taylor-var.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.taylor-var.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.taylor-var.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.taylor-var.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.taylor-var.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.gamma.taylor-var.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.taylor-var.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.taylor-var.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.taylor-var.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.taylor-var.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.taylor-var.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.gamma.taylor-var.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.taylor-var.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.taylor-var.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.taylor-var.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.taylor-var.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.taylor-var.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.gamma.taylor-var.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.taylor-var.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.taylor-var.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.taylor-var.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.taylor-var.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.taylor-var.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.gamma.taylor-var.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.taylor-var.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.taylor-var.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.taylor-var.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.taylor-var.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.taylor-var.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.gamma.taylor-var.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.gamma.taylor-var.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.taylor-var.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.taylor-var.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.taylor-var.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.taylor-var.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.taylor-var.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.gamma.taylor-var.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.taylor-var.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.taylor-var.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.taylor-var.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.taylor-var.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.taylor-var.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.gamma.taylor-var.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.gamma.taylor-var.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.gamma.taylor-var.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.gamma.taylor-var.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.gamma.taylor-var.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.gamma.taylor-var.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.interpolate-market-shifts | Flag to enable or disable interpolation of market data. | true |
| mr.sensi.rules.theta.pnl-explain.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.pnl-explain.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.pnl-explain.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.pnl-explain.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.pnl-explain.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.pnl-explain.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.pnl-explain.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.pnl-explain.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.pnl-explain.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.pnl-explain.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.pnl-explain.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.pnl-explain.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.pnl-explain.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.pnl-explain.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.pnl-explain.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.pnl-explain.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.pnl-explain.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.pnl-explain.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.pnl-explain.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.pnl-explain.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.pnl-explain.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.pnl-explain.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.pnl-explain.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.pnl-explain.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.pnl-explain.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.pnl-explain.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.pnl-explain.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.pnl-explain.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.pnl-explain.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.pnl-explain.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.pnl-explain.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.theta.pnl-explain.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.pnl-explain.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.pnl-explain.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.pnl-explain.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.pnl-explain.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.pnl-explain.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.pnl-explain.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.pnl-explain.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.pnl-explain.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.pnl-explain.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.pnl-explain.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.pnl-explain.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.pnl-explain.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.pnl-explain.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.pnl-explain.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.pnl-explain.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.pnl-explain.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.pnl-explain.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.taylor-var.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.taylor-var.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.taylor-var.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.taylor-var.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.taylor-var.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.taylor-var.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.taylor-var.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.taylor-var.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.taylor-var.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.taylor-var.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.taylor-var.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.taylor-var.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.taylor-var.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.taylor-var.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.taylor-var.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.taylor-var.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.taylor-var.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.taylor-var.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.taylor-var.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.taylor-var.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.taylor-var.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.taylor-var.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.taylor-var.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.taylor-var.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.taylor-var.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.taylor-var.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.taylor-var.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.taylor-var.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.taylor-var.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.taylor-var.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.taylor-var.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.theta.taylor-var.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.taylor-var.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.taylor-var.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.taylor-var.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.taylor-var.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.taylor-var.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.taylor-var.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.taylor-var.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.taylor-var.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.taylor-var.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.taylor-var.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.taylor-var.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.theta.taylor-var.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.theta.taylor-var.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.theta.taylor-var.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.theta.taylor-var.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.theta.taylor-var.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.theta.taylor-var.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna1.pnl-explain.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.pnl-explain.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.pnl-explain.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.pnl-explain.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.pnl-explain.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.pnl-explain.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna1.pnl-explain.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.pnl-explain.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.pnl-explain.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.pnl-explain.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.pnl-explain.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.pnl-explain.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna1.pnl-explain.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.pnl-explain.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.pnl-explain.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.pnl-explain.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.pnl-explain.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.pnl-explain.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna1.pnl-explain.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.pnl-explain.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.pnl-explain.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.pnl-explain.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.pnl-explain.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.pnl-explain.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna1.pnl-explain.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.pnl-explain.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.pnl-explain.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.pnl-explain.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.pnl-explain.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.pnl-explain.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna1.pnl-explain.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.vanna1.pnl-explain.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.pnl-explain.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.pnl-explain.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.pnl-explain.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.pnl-explain.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.pnl-explain.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna1.pnl-explain.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.pnl-explain.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.pnl-explain.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.pnl-explain.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.pnl-explain.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.pnl-explain.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna1.pnl-explain.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.pnl-explain.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.pnl-explain.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.pnl-explain.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.pnl-explain.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.pnl-explain.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna1.taylor-var.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.taylor-var.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.taylor-var.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.taylor-var.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.taylor-var.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.taylor-var.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna1.taylor-var.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.taylor-var.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.taylor-var.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.taylor-var.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.taylor-var.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.taylor-var.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna1.taylor-var.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.taylor-var.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.taylor-var.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.taylor-var.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.taylor-var.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.taylor-var.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna1.taylor-var.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.taylor-var.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.taylor-var.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.taylor-var.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.taylor-var.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.taylor-var.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna1.taylor-var.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.taylor-var.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.taylor-var.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.taylor-var.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.taylor-var.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.taylor-var.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna1.taylor-var.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.vanna1.taylor-var.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.taylor-var.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.taylor-var.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.taylor-var.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.taylor-var.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.taylor-var.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna1.taylor-var.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.taylor-var.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.taylor-var.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.taylor-var.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.taylor-var.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.taylor-var.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna1.taylor-var.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna1.taylor-var.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna1.taylor-var.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna1.taylor-var.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna1.taylor-var.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna1.taylor-var.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna2.pnl-explain.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.pnl-explain.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.pnl-explain.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.pnl-explain.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.pnl-explain.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.pnl-explain.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna2.pnl-explain.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.pnl-explain.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.pnl-explain.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.pnl-explain.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.pnl-explain.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.pnl-explain.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna2.pnl-explain.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.pnl-explain.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.pnl-explain.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.pnl-explain.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.pnl-explain.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.pnl-explain.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna2.pnl-explain.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.pnl-explain.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.pnl-explain.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.pnl-explain.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.pnl-explain.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.pnl-explain.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna2.pnl-explain.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.pnl-explain.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.pnl-explain.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.pnl-explain.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.pnl-explain.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.pnl-explain.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna2.pnl-explain.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.vanna2.pnl-explain.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.pnl-explain.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.pnl-explain.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.pnl-explain.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.pnl-explain.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.pnl-explain.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna2.pnl-explain.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.pnl-explain.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.pnl-explain.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.pnl-explain.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.pnl-explain.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.pnl-explain.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna2.pnl-explain.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.pnl-explain.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.pnl-explain.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.pnl-explain.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.pnl-explain.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.pnl-explain.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna2.taylor-var.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.taylor-var.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.taylor-var.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.taylor-var.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.taylor-var.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.taylor-var.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna2.taylor-var.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.taylor-var.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.taylor-var.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.taylor-var.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.taylor-var.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.taylor-var.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna2.taylor-var.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.taylor-var.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.taylor-var.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.taylor-var.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.taylor-var.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.taylor-var.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna2.taylor-var.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.taylor-var.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.taylor-var.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.taylor-var.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.taylor-var.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.taylor-var.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna2.taylor-var.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.taylor-var.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.taylor-var.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.taylor-var.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.taylor-var.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.taylor-var.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vanna2.taylor-var.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.vanna2.taylor-var.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.taylor-var.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.taylor-var.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.taylor-var.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.taylor-var.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.taylor-var.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna2.taylor-var.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.taylor-var.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.taylor-var.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.taylor-var.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.taylor-var.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.taylor-var.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Relative |
| mr.sensi.rules.vanna2.taylor-var.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vanna2.taylor-var.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vanna2.taylor-var.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vanna2.taylor-var.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vanna2.taylor-var.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vanna2.taylor-var.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.pnl-explain.any.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.pnl-explain.any.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.vega.pnl-explain.any.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.vega.pnl-explain.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.pnl-explain.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.pnl-explain.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.pnl-explain.commodity.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.pnl-explain.commodity.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.vega.pnl-explain.commodity.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.vega.pnl-explain.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.pnl-explain.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.pnl-explain.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.pnl-explain.csr-non-sec.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.pnl-explain.csr-non-sec.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.vega.pnl-explain.csr-non-sec.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.vega.pnl-explain.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.pnl-explain.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.pnl-explain.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.pnl-explain.csr-sec-ctp.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.pnl-explain.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.vega.pnl-explain.csr-sec-ctp.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.vega.pnl-explain.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.pnl-explain.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.pnl-explain.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.pnl-explain.csr-sec-non-ctp.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.pnl-explain.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.vega.pnl-explain.csr-sec-non-ctp.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.vega.pnl-explain.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.pnl-explain.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.pnl-explain.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.pnl-explain.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.vega.pnl-explain.equity.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.pnl-explain.equity.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.vega.pnl-explain.equity.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.vega.pnl-explain.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.pnl-explain.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.pnl-explain.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.pnl-explain.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.pnl-explain.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vega.pnl-explain.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vega.pnl-explain.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.pnl-explain.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.pnl-explain.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.pnl-explain.girr.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.pnl-explain.girr.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.vega.pnl-explain.girr.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.vega.pnl-explain.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.pnl-explain.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.pnl-explain.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.taylor-var.any.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.taylor-var.any.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.vega.taylor-var.any.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.vega.taylor-var.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.taylor-var.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.taylor-var.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.taylor-var.commodity.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.taylor-var.commodity.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.vega.taylor-var.commodity.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.vega.taylor-var.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.taylor-var.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.taylor-var.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.taylor-var.csr-non-sec.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.taylor-var.csr-non-sec.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.vega.taylor-var.csr-non-sec.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.vega.taylor-var.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.taylor-var.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.taylor-var.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.taylor-var.csr-sec-ctp.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.taylor-var.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.vega.taylor-var.csr-sec-ctp.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.vega.taylor-var.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.taylor-var.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.taylor-var.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.taylor-var.csr-sec-non-ctp.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.taylor-var.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.vega.taylor-var.csr-sec-non-ctp.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.vega.taylor-var.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.taylor-var.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.taylor-var.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.taylor-var.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.vega.taylor-var.equity.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.taylor-var.equity.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.vega.taylor-var.equity.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.vega.taylor-var.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.taylor-var.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.taylor-var.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.taylor-var.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.taylor-var.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.vega.taylor-var.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.vega.taylor-var.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.taylor-var.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.taylor-var.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.vega.taylor-var.girr.derivative-order | A number defining the derivative order or the sensitivity, 1 for delta, 2 for gamma. | 1 |
| mr.sensi.rules.vega.taylor-var.girr.ladder | Specifies if the ladders are taken into account. | LADDER_FIRST |
| mr.sensi.rules.vega.taylor-var.girr.ladder-formula | The used ladder formula | DeltaShift |
| mr.sensi.rules.vega.taylor-var.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.vega.taylor-var.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.vega.taylor-var.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.pnl-explain.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.pnl-explain.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.pnl-explain.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.pnl-explain.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.pnl-explain.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.pnl-explain.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.pnl-explain.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.pnl-explain.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.pnl-explain.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.pnl-explain.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.pnl-explain.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.pnl-explain.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.pnl-explain.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.pnl-explain.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.pnl-explain.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.pnl-explain.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.pnl-explain.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.pnl-explain.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.pnl-explain.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.pnl-explain.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.pnl-explain.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.pnl-explain.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.pnl-explain.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.pnl-explain.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.pnl-explain.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.pnl-explain.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.pnl-explain.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.pnl-explain.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.pnl-explain.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.pnl-explain.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.pnl-explain.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.volga.pnl-explain.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.pnl-explain.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.pnl-explain.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.pnl-explain.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.pnl-explain.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.pnl-explain.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.pnl-explain.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.pnl-explain.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.pnl-explain.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.pnl-explain.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.pnl-explain.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.pnl-explain.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.pnl-explain.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.pnl-explain.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.pnl-explain.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.pnl-explain.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.pnl-explain.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.pnl-explain.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.taylor-var.any.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.taylor-var.any.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.taylor-var.any.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.taylor-var.any.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.taylor-var.any.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.taylor-var.any.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.taylor-var.commodity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.taylor-var.commodity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.taylor-var.commodity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.taylor-var.commodity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.taylor-var.commodity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.taylor-var.commodity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.taylor-var.csr-non-sec.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.taylor-var.csr-non-sec.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.taylor-var.csr-non-sec.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.taylor-var.csr-non-sec.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.taylor-var.csr-non-sec.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.taylor-var.csr-non-sec.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.taylor-var.csr-sec-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.taylor-var.csr-sec-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.taylor-var.csr-sec-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.taylor-var.csr-sec-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.taylor-var.csr-sec-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.taylor-var.csr-sec-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.taylor-var.csr-sec-non-ctp.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.taylor-var.csr-sec-non-ctp.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.taylor-var.csr-sec-non-ctp.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.taylor-var.csr-sec-non-ctp.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.taylor-var.csr-sec-non-ctp.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.taylor-var.csr-sec-non-ctp.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.taylor-var.custom | Custom rules for calculations. The key is the risk class to which the rule applies. | |
| mr.sensi.rules.volga.taylor-var.equity.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.taylor-var.equity.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.taylor-var.equity.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.taylor-var.equity.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.taylor-var.equity.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.taylor-var.equity.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.taylor-var.fx.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.taylor-var.fx.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.taylor-var.fx.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.taylor-var.fx.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.taylor-var.fx.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.taylor-var.fx.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sensi.rules.volga.taylor-var.girr.derivative-order | A number defining the derivative order of the sensitivity, 1 for delta, 2 for gamma. | 2 |
| mr.sensi.rules.volga.taylor-var.girr.ladder | Specifies if the ladders are taken into account. | SENSI_ONLY |
| mr.sensi.rules.volga.taylor-var.girr.ladder-formula | The used ladder formula | |
| mr.sensi.rules.volga.taylor-var.girr.price-factor | A scale applied to the sensitivity ( sensitivity * priceFactor). | 1 |
| mr.sensi.rules.volga.taylor-var.girr.shift | A shift that is added to the sensitivity ( sensitivity + shift ). | |
| mr.sensi.rules.volga.taylor-var.girr.type | The keyword defining the used formula. E.g. Absolute/Relative | Absolute |
| mr.sign-off.common.hierarchy.level1.live | The name given to intra-days data, the latest data, in the first level of the sign-off hierarchy. | INTRA-DAY |
| mr.sign-off.common.hierarchy.level1.official | The name given to live or approved data in the first level of the sign-off hierarchy. | OFFICIAL |
| mr.sign-off.common.hierarchy.level1.snapshot | The name given to the total aggregated data, including the under review (frozen) data, in the first level of the sign-off hierarchy. | TOTAL REVIEWABLE |
| mr.sign-off.common.hierarchy.level2.approved | The name of the status for approved tasks. | EXPORT_SUCCEEDED |
| mr.sign-off.common.hierarchy.level2.other | The data that are not in any ongoing reviewing process. | UNAPPROVED |
| mr.sparse-vectors.density-threshold | Enable sparse vector compression for sensi store. | 0.2 |
| mr.sparse-vectors.enable-for-sensi-stores | Enable sparse vector compression for the list of columns of kind “store:field”. | TradeSensitivities:Ladder |
| mr.taylor.market-shift-date-specific | Specific dates used to fill the MarketShiftDate hierarchy. Each entry should be in the format: NAME=OFFSET, e.g TODAY=DAY0 | [TODAY=DAY0, YESTERDAY=DAY-1] |
| mr.tenors-and-maturities.default-value | Default value for tenors and maturities. | N/A |
| mr.tenors.correlation-fact-dates | Defines the source levels containing tenor dates for correlation sensitivities. | Tenor Date@Tenor Dates@Risk |
| mr.tenors.correlation-fact-labels | Defines the source levels containing tenor labels for correlation sensitivities. | Tenor@Tenors@Risk |
| mr.tenors.correlation-fact-levels | Defines the source tenor levels to use for correlation sensitivities. | [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk] |
| mr.tenors.custom-fact-dates | Defines the source levels containing tenor dates for additional sensitivities. The key is the sensitivity name. | |
| mr.tenors.custom-fact-labels | Defines the source levels containing tenor labels for additional sensitivities. The key is the sensitivity name. | |
| mr.tenors.custom-fact-levels | Defines the source tenor levels to use for additional sensitivities. The key is the sensitivity name. | |
| mr.tenors.delta-fact-dates | Defines the source levels containing tenor dates for delta sensitivities. | Tenor Date@Tenor Dates@Risk |
| mr.tenors.delta-fact-labels | Defines the source levels containing tenor labels for delta sensitivities. | Tenor@Tenors@Risk |
| mr.tenors.delta-fact-levels | Defines the source tenor levels to use for delta sensitivities. | [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk] |
| mr.tenors.gamma-fact-dates | Defines the source levels containing tenor dates for gamma sensitivities. | Tenor Date@Tenor Dates@Risk |
| mr.tenors.gamma-fact-labels | Defines the source levels containing tenor labels for gamma sensitivities. | Tenor@Tenors@Risk |
| mr.tenors.gamma-fact-levels | Defines the source tenor levels to use for gamma sensitivities. | [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk] |
| mr.tenors.vanna-fact-dates | Defines the source levels containing tenor dates for vanna sensitivities. | Tenor Date@Tenor Dates@Risk |
| mr.tenors.vanna-fact-labels | Defines the source levels containing tenor labels for vanna sensitivities. | Tenor@Tenors@Risk |
| mr.tenors.vanna-fact-levels | Defines the source tenor levels to use for vanna sensitivities. | [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk] |
| mr.tenors.vega-fact-dates | Defines the source levels containing tenor dates for vega sensitivities. | Tenor Date@Tenor Dates@Risk |
| mr.tenors.vega-fact-labels | Defines the source levels containing tenor labels for vega sensitivities. | Tenor@Tenors@Risk |
| mr.tenors.vega-fact-levels | Defines the source tenor levels to use for vega sensitivities. | [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk] |
| mr.tenors.volga-fact-dates | Defines the source levels containing tenor dates for volga sensitivities. | Tenor Date@Tenor Dates@Risk |
| mr.tenors.volga-fact-labels | Defines the source levels containing tenor labels for volga sensitivities. | Tenor@Tenors@Risk |
| mr.tenors.volga-fact-levels | Defines the source tenor levels to use for volga sensitivities. | [Tenor Date@Tenor Dates@Risk, Tenor@Tenors@Risk] |
| mr.var.component.regression-length | Length of the regression when calculating Component VaR. By default this property is not set. The size of the underlying PnL vector is used instead. Must be less than or equal to the length of the loaded PnL vectors. | |
| mr.var.scenario-sets | This defines the default scenarios used by the [Risk][Scenario Sets] hierarchy. The first item in the list defines the default one, the list defines the order. | [Historical, Stressed] |
| mr.var.weighted.pnl-oldest-first | Flag for weighted measures to specify whether the historical PnL vectors input contains the oldest PnL data at index 0 (in that case the flag is set to: true), or whether it contains the most recent PnL data at index 0 (in that case the flag is set to: false). | false |
| mr.enable.cubes.common | Set to false to disable MRCombinedCube. | true |
| mr.sensi.rules.delta.pnl-explain.fx.interpolate | True means interpolation of market data is allowed. @deprecated since 5.3.0 as this is now available from the MarketDataConfigurationService. | true |
| mr.sensi.rules.delta.taylor-var.fx.interpolate | True means interpolation of market data is allowed. @deprecated since 5.3.0 as this is now available from the MarketDataConfigurationService. | true |