MDK Attributes and Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
| Key | The MDK | See MDK overview |
| Name | The MDK’s long name or description | Free text |
| Asset Class | The MDK’s broad classification | RATES | FX | CREDIT |
| Instrument Type | The MDK’s instrument type | See MDK Overview below |
MDK Mapping Attributes and Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
| Key | The MDK | See MDK overview |
| Provider | The raw market data's provider for that MDK | Any existing market data provider |
| Ticker | The provider's ticker for that MDK | Any (e.g. EUSW10Y) |
| Bid/Mid/Ask | Whether the relevant provider provides bid, mid or ask data only, or both bid/ask data | Bid only | Mid Only | Ask only | Bid/Ask |
| Factor | The MDK's normalisation factor | Numeric (e.g. 100 if expressed as percentage) |
MDK Overview
IR + INFLATION Curve Node MDK Definition: MDK = Instrument & “_” & Convention
| Curve Type | Instrument Type (*) | Instrument | MDK Example | |
|---|---|---|---|---|
| IR_INDEX | FixedIborSwap | Tenor | e.g. 5Y_USD-FIXED-6M-LIBOR-3M | |
| IR_INDEX | FixedOvernightSwap | Tenor | e.g. 5Y_USD-FIXED-1Y-FED-FUND-OIS | |
| IR_INDEX | ForwardRateAgreement | FRA Settlement & "x" & Tenor + FRA Settlement | e.g. 1Mx7M_GBP-LIBOR-6M | |
| IR_INDEX | IborFuture | Serial Future | e.g. 2D+1_USD-LIBOR-3M-IMM-CME | |
| IR_INDEX/INDEX_BASIS | IborFixingDeposit | Tenor | e.g. 3M_USD-LIBOR-3M | |
| IR_INDEX/INDEX_BASIS | TermDeposit | Tenor | e.g. 3M_AUD-DEPOSIT-T0 | |
| INDEX_BASIS | IborIborSwap | Tenor | e.g. 5Y_USD-LIBOR-1M-LIBOR-3M | |
| INDEX_BASIS | OvernightIborBasisSwap | Tenor | e.g. 5Y_CAD-CORRA-OIS-6M-CDOR-3M | |
| INFLATION_INDEX | FixedInflationSwap | Tenor | e.g. 5Y_GBP-FIXED-ZC-GB-RPI | |
| XCCY_BASIS | XCcyIborIborSwap | Tenor | e.g. 5Y_GBP-LIBOR-3M-USD-LIBOR-3M | |
| XCCY_BASIS | XCCYOvernightOvernightSwap | Tenor | e.g. 5Y_EUR-ESTR-USD-SOFR | |
| XCCY_BASIS | XCCYIborOvernightSwap | Tenor | e.g. 5Y_EUR-EURIBOR-3M-USD-SOFR-OIS | |
| FX_SWAP | FxSwap | Tenor | e.g. 2Y_GBP/USD |
IR Volatility MDK Definition for Swaption and Cap/floor Points
| IR Volatility Point Type | MDK Definition | MDK Example |
|---|---|---|
| Swaption ATM | Expiry & “v” & Tenor & “_” & “ATM” & “_” & Index | 3Yv10Y_ATM_EUR-EURIBOR-6M |
| Swaption Skew - Moneyness | Expiry & “v” & Tenor &“_”& Moneyness & “_” & Index | 3Yv10Y_+100_EUR-EURIBOR-6M |
| Swaption Skew - Absolute Strike | Expiry & “v” & Tenor & “_” & Strike & “_” & Index | 3Yv10Y_2%_EUR-EURIBOR-6M |
| Cap/Floor Strike | Maturity & “_” & Strike & “CF” & Index | 3Y_-0.50%_CF_EUR-EURIBOR-6M |
FX Volatility Point MDK Definition
| FX Volatility Point Type | MDK Definition | MDK Example |
|---|---|---|
| ATM | CcyPair & “V” & Tenor | 3M_GBP/USDV |
| Skew Risk Reversal 1 | CcyPair & Delta 1 & “R” & Expiry | 1M_GBP/USD10R |
| Skew Butterfly 1 | CcyPair & Delta 1 & “B” & Expiry | 1M_GBP/USD10B |
| Skew Risk Reversal 2 | CcyPair & Delta 2 & “R” & Expiry | 1M_GBP/USD25R |
| Skew Butterfly 2 | CcyPair & Delta 2 & “B” & Expiry | 1M_GBP/USD25B |
Credit Curve Node MDK Definition
| Credit Node Type | MDK Definition(*) | MDK Example |
|---|---|---|
| QUOTED_SPREAD or PAR_SPREAD | Tenor & "_" & CurveID & "_SPREAD" | 5Y_GS_USD_SNRFOR_CR_SPREAD |
| POINTS_UPFRONT | Tenor & "_" & CurveID & "_UF" | 5Y_CDXNA_USD_UF |
| FUNDING | Tenor & "_" & CurveID & "_FUNDING" | 5Y_GS_USD_FUNDING |
Other MDK Definitions
| Node Type | MDK Definition | MDK Example |
|---|---|---|
| FX Rate | Base Ccy & “/” & Counter Ccy | GBP/USD |
Instrument Types
| Instrument Type | Description | Market Data |
|---|---|---|
| IborFixingDeposit | An Ibor fixing deposit is a financial instrument that provides a floating rate of interest for a specific term, which is effectively an exchange of a fixed rate and a floating rate based on an Ibor index on the term end date | The Ibor fixing deposit's fixed rate |
| TermDepost | A Term deposit is a financial instrument that provides a floating rate of interest for a specific term, which is effectively an exchange of a fixed rate and a floating rate based on an Ibor index on the term end date | The Term deposit's fixed rate |
| IborFuture | An Ibor future is a financial instrument that is based on the future value of an Ibor index interest rate. The profit or loss of an Ibor future is settled daily. | The Ibor future's price |
| ForwardRateAgreement | A Forward Rate Agreement (FRA) is a financial instrument that represents the one-off exchange of a fixed rate of interest for a floating rate at a future date | The FRA's fixed rate |
| FixedIborSwap (1) | In a fixed vs Ibor swap, there are two legs, one with a fixed rate and the other a floating rate against an Ibor index. | The swap's fixed rate |
| IborIborSwap (1) | In an Ibor basis swap, there are two floating rate legs against an Ibor index. | The swap's margin rate |
| FixedOvernightSwap (1) | In a fixed vs overnight swap, there are two legs, one with a fixed rate and the other a floating rate against an overnight index. | The swap's fixed rate |
| OvernightIborBasisSwap (1) | In an overnight vs Ibor basis swap, there are two floating rate legs, one against an Ibor index and the other against an overnight rate. | The swap's margin rate |
| FixedInflationSwap (1) | In a fixed vs inflation swap, there are two legs, one with a fixed rate and the other a floating rate against an inflation index (compounded). | The swap's fixed rate |
| XCcyIborIborSwap (2) | In a Xccy Ibor vs Ibor, there are two floating rate legs against an Ibor index in a different currency. | The swap's margin rate |
