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.


  • Value: Float. The market implied correlation between rates. Specified as "pricefactor1/pricefactor2" e.g. Correlation.FxRate.USD.ZAR/ReferencePrice.BRENT_OIL-IPE.USD