Insert Reference Index

Overview

In the previous section, we cleared the riskdata store to prepare it for new sample data. Now, we will insert sample reference indexes, scenarios, and contract behavior model samples while explaining each step.

This section focuses on creating and saving market reference index projections.

Accessing Sample ACTUS Commands

To follow along, you need access to the sample ACTUS commands folder. If you have installed ACTUS Basic Quickstart, the commands are available at:

ACTUS-QUICKSTART_HOME/actus-docker-networks/test

To run the commands, open a terminal/command window in this folder.

Note: If using Windows, open a Linux PowerShell.

Creating a Market Reference Index

Run the following command to create and save a new reference index:

source putMSFT_rising.txt

This command creates a new reference index with:

ID: MSFT_rising

Stored in: referenceIndex collection of the riskdata database.

What Is MSFT_rising?

It is a projection of future Microsoft Stock prices in a risk scenario. The objective is to estimate the likely path of 5-year U.S. Treasury interest rates over the coming five years, enabling more informed investment and policy decisions. For proper risk analysis, multiple scenarios can be created:

• MSFT_steady (stable market)

• MSFT_falling (declining market)

A financial contract involving Microsoft Stock (Futures, Options, Purchases, or Sales) can be simulated under different market risk scenarios, generating distinct cashflow sequences.

Reference Index Attributes

Each reference index includes:

Attribute	Description
riskFactorID	Unique identifier for the reference index
marketObjectCode	Market object being projected
base	Scaling type (absolute values or percentages)
data	Time series of <date, value> pairs

Sample JSON for MSFT_rising

The command in Test_B/putMSFT_rising.txt contains JSON data stored in MongoDB. Formatted, it looks like:

{
  "riskFactorID": "MSFT_rising",
  "marketObjectCode": "MSFT",
  "base": 1.0,
  "data": [
    { "time": "2023-06-01T00:00:00", "value": 105 },
    { "time": "2023-09-01T00:00:00", "value": 112 },
    { "time": "2024-01-01T00:00:00", "value": 129 }
  ]
}

Creating a Reference Index for US Treasury Bonds (5-Year)

To create a reference index for 5-year U.S. Treasury bonds, run:

source putUst5Y_falling.txt

This command creates:

ID: ust5Y_falling

Purpose: A future projection of 5-year U.S. Treasury bond interest rates.

Why Use ust5Y_falling?

• Variable-rate loans adjust interest rates at specific dates.

• The contract defines a market rate to calculate new rates.

• The new interest rate is calculated as:

new rate = contract spread + current reference index value

To analyze cashflow variability, multiple indexes can be used:

ust5Y_falling

ust5Y_steady

ust5Y_rising

Viewing the ust5Y_falling Attributes

To see the data, format the file:

putUst5Y_falling.txt