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 are used in Xplain to map 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 (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 (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”.

Auto-rolling Provider Tickers for Serial Instruments

On the Market Data Keys Mapping page, after importing “MDK Definitions and Providers”, serial instruments (IBOR futures and IMM Forward Rate Agreement MDKs) can be auto‑rolled. Auto‑roll creates future versions of provider/ticker mappings for selected serial nodes, grouped by curve and provider.

The process comprises two steps:

Define the curve/provider combinations to include in the roll.
Execute the roll to create provider/ticker mappings for the selected curves for the required number of future iterations.

Step 1 is performed in the Serial Instruments Rolling Rules panel on the Market Data Keys Mapping page and is used to define the curve/provider combinations to which auto‑roll applies.

Step 2 is executed from the same panel using the Roll Mapping action. Specify the number of future versions of the serial instruments to create.

The “Create missing MDK Definition/Provider mapping boolean” toggle automatically creates missing MDKs (Definitions & Providers) if there are any missing. For example, if you have 2D+1, 2D+3 but missing 2D+2. Xplain will automatically create the 2D+2 MDK and populate this with the relevant tickers.

The roll performs the following actions:

Shifts the mapped ticker up by one position in the provider’s serial list for each future version created. For example, a mapping at 2D+2 becomes 2D+1 after the roll date.
Creates the requested number of future versions in one run, allowing you to prepare multiple upcoming rolls in advance or run it just before each roll date.
Produces future major versions of the MDK provider mappings. The anchor date of each version determines which ticker is mapped to each MDK.
Archives any MDK provider mappings that no longer have a mapped ticker after the shift. These archived mappings can subsequently be updated via imports/provider mapping uploads, replacing duplicates and appending any missing mappings as needed.

Serial Instruments Version List

After a successful role it is possible to visualise up to the next 10 serial instruments. Select a curve and Xplain will display the future rolls dates and tickers that will be used for the relevant MDK on that given date.

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