There are two types of data used in Xplain:
- market data (*) which will be stored in a in a market data group and will be required when defining a market data environment.
- valuation data (*) which will be stored in a valuation data group and will be required when defining a valuation data environment.
(*) Market data are (daily) market values associated for instance to a curve node (e.g. 10Y USD SOFR swap) or to a volatility point (e.g. 5Y into 10Y ATM swaption volatility for USD SOFR).
(**) Valuation data are (daily) trade valuations sourced from third-party providers.
Xplain offers pre-configured options including ‘3PM LONDON’ and ‘COB LONDON’ data groups - which are available as off-the-shelf to use when performing your valuations or data anomaly detection. For more details, please refer to our sandbox environment page.
Market Data Environment
To have a market data environment ready for trade valuation (including curve calibration) or market data anomaly detection, you will need to:
- define market data providers (static data) (*)
- define market data keys (MDK) (**) and their mapping to market data tickers (static data) (*)
- upload (daily) market data and fixings
(*) One-off process
(**) For each curve node and volatility point, Xplain automatically generates a unique identifier, referred to as an MDK, which is derived from the instrument’s characteristics (e.g. tenor) and the underlying index convention. Such MDKs can be viewed or exported at the curve group level or, when in edit mode, at the curve configuration level.
Valuation Data Environment
For valuation data anomaly detection, you will need to:
- define valuation data providers (static data) (*)
- upload (daily) third-party valuation data (daily)
- ensure that the trade valuation process is ready to go if Xplain is one of the valuation data provider (including market data anomaly detection, if applicable)
(*) One-off process
