Static Data - Market Data Key Mapping

For each curve node and volatility point, Xplain automatically generates a unique identifier, referred to as a market data key (MDK), which is derived from the instrument’s characteristics (e.g. tenor) and the underlying index convention. MDKs can be viewed or exported at the curve group level or, when in edit mode, at the curve configuration level. For more detail, you can refer to the MDK Naming Convention section below.

Market data keys will be used to map historical market data to the relevant instrument.

The two steps required to define an MDK are as follows:

Create an MDK; and
Add data provider mappings.

1. Creating an MDK

Under Data/Static Data/Market Data Keys, at the MDK list level, you can IMPORT a list of MDK or manually create one by clicking on ADD NEW (or edit an existing one by double-clicking on the line item).

Alt for image — Creating an MDK
Data/Static Data/Market Data Keys

A description of an MDK’s attributes and corresponding permissible values are set out in the table below:

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

2. Mapping an MDK to a Provider/Ticker

Under Data/Static Data/Market Data Keys, at the MDK list level, you can IMPORT a list of mapping between MDKs and data providers/tickers. Alternatively, at the MDK level, you can manually create one by clicking on ADD NEW.

A description of an MDK’s attributes and corresponding permissible values are set out in the table below:

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 Naming Convention

MDK are automatically generated by Xplain for each curve node and volatility point. MDK are derived from the instrument’s characteristics and the underlying index convention, as set out in the tables below:

For an IR and inflation curve node: MDK = Instrument & “” & _Convention, where Instrument is defined on a curve type basis as set out in the table below.

Curve Type	Instrument Type ^(*)	Instrument
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

^(*) For the Instrument Type definition, see the Curves Permissible Values section.

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 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 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

^(*) For CDS curves, CurveID = Reference & "_" & Ccy &"_" & Seniority &"_" & DocClause

^(*) For Index curves, CurveID = Reference & "_" & Ccy

Instrument Type	MDK Definition	MDK Example
BondYield	MaturityDate ("DDMMMYYYY") & "_" & Cusip	06MAR2023_BY690737

Node Type	MDK Definition	MDK Example
FX Rate	Base Ccy & “/” & Counter Ccy	GBP/USD

Note that under the Curves/Curve Configurations menu item, at the curve configuration level, by exporting “MDK Definitions and Providers”, you can generate i) a .csv file with the MDK definitions and ii) a .csv file with the providers mapping associated to such curve configuration, including a suggested Name attribute which can subsequently be overridden. Similarly, under the Curves/CURVE GROUPS menu item, at the curve group level, you will also be able to export the relevant “MDK Definitions”.

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