At ActiveViam, we strive to create technology that is not only innovative and powerful, but also simple to onboard, deploy and maintain. Part of this effort is to identify any task or process that is repeated in a similar fashion in different deployments and assess how we can make it easier, faster and cheaper. Today, we are unveiling a new tool to make life easier for our customers.
Atoti Market Data is a dedicated software library for accelerating and facilitating the retrieval of market data from various sources into Atoti. It is an optional module that brings about several key benefits:
For the business:
- Ensure a timely and reliable retrieval from market data source systems, making sure users have access to the data they need, when they need it.
- Rely on tried-and-trusted mathematical methods to complete missing or intermediate data points while maintaining the overall data quality of their dataset.
For IT:
- Save time on developing, maintaining and supporting any project that involves market data retrieval to Atoti
- Acquire efficient data retrieval and interpolation methods off-the-shelf rather than have to develop and maintain their own
- Customize at will: use the library either as-is, as a starting point, or integrate your own interpolation logic easily
What is in the package
Atoti Market Data contains a library of pre-written code to help process and aggregate market data pulled from a variety of sources. It is not a set of connectors to data providers, but rather serves to facilitate an array of essential processes that takes places once the connection has been established via API or other means. The data model of Atoti Market Data is very easily extensible and any type of market data can be plugged in to to benefit from the retrievals, caching and interpolation features. The functions of the library include:
Several ways to retrieve market data:
- Single Market Data Retrieval: Retrieve a single market data value based on specified coordinates (e.g., date, instrument, market data set).
- Curve Data Retrieval: Retrieve market data organized along a single axis, such as a yield curve or interest rate curve.
- Surface Data Retrieval: Retrieve market data organized along two axes, such as volatility surfaces (dependent on both tenor and moneyness).
- Cube Data Retrieval: Retrieve multi-dimensional data from a cube (e.g. swaptions data), with dimensions like tenor, moneyness, volatility and underlying maturities.
- FX Rate Data Retrieval: Retrieve foreign exchange rates from the FX rate market data store.
Interpolation techniques for estimating missing or intermediate data points within market data. They can be used as-is, customized or replaced by the client’s own algorithms
- Curve Interpolation: useful for estimating unknown values between two or more known values along a curve. For example in yield, term structure or interest rate curves.
- Surface Interpolation: Supports interpolation across two axes (e.g., tenor and moneyness) to estimate data points on a volatility surface.
Atoti Market Data is integrated as part of the Atoti Market Risk solution, or can be licensed separately as an add-on module, compatible with any Atoti project.
