All data types used in RiskFlow are the standard JSON types (string, float, integers) with the exception of the following:
- ModelParams. An object with the following fields:
- modeldefaults: a JSON object with price factor type as the fieldname and the factor model as the value.
- modelfilters: a JSON object with price factor type as the fieldname and an array of fieldname, value pairs followed by a factor model.
- Curve. An object with two fields:
- meta: set to []. Reserved for future use.
- data: an array with floats or integers. Can be a list of pairs, triples or quads.
- Percent. Float value interpreted as being entered in percentage points.
- Basis. Float value interpreted as being entered in basis points.
- DateOffset. An object that must have at least one or several of the following distinct fields:
- days: integer
- weeks: integer
- months: integer
- years: integer
- Timestamp: String value interpreted as a date in YYYY-MM-DD date format
Note that all objects must be preceded with a '.'(period) as the fieldname in the JSON.
Correlation names
Each factor model has its own correlation name. They are as follows:
| Factor Model | Correlation Name | Number of factors | Sub Components |
|---|---|---|---|
| GBMAssetPriceModel | LognormalDiffusionProcess | 1 | |
| GBMPriceIndexModel | LognormalDiffusionProcess | 1 | |
| HullWhite1FactorInterestRateModel | HWInterestRate | 1 | F1 |
| HullWhite2FactorImpliedInterestRateModel | HWImpliedInterestRate | 2 | F1, F2 |
| HWHazardRateModel | HullWhiteProcess | 1 | |
| CSForwardPriceModel | ClewlowStricklandProcess | 1 | |
| PCAInterestRateModel | InterestRateOUProcess | 3 | PC1,PC2,PC3 |
The sections that follow refer to the Price Factor section of the market data file.
Correlation
- Value: Float. The market implied correlation between rates. Specified as "pricefactor1/pricefactor2" e.g. Correlation.FxRate.USD.ZAR/ReferencePrice.BRENT_OIL-IPE.USD