Version: Upcoming

SpanRiskCalculator

This table allows custom span risk calculations based on either user or SR supplied input values.

METADATA

Attribute	Value
Topic	5030-srse-calculators
MLink Token	SRMLinkAnalytics
Product	SRAnalytics
accessType	SELECT,UPDATE,INSERT,DELETE
MLink Endpoint	MLink-Live

Table Definition

Field	Type	Key	Default Value	Comment
secKey_at	enum - AssetType	PRI	'None'
secKey_ts	enum - TickerSrc	PRI	'None'
secKey_tk	VARCHAR(12)	PRI	''
secKey_yr	SMALLINT UNSIGNED	PRI, SEC	0
secKey_mn	TINYINT UNSIGNED	PRI, SEC	0
secKey_dy	TINYINT UNSIGNED	PRI, SEC	0
secKey_xx	DOUBLE	PRI	0
secKey_cp	enum - CallPut	PRI	'Call'
secType	enum - SpdrKeyType	PRI	'None'
userName	VARCHAR(24)	PRI	''
vol	DOUBLE		0	volatility
volSrc	enum - FieldSrc		'Default'
uPrc	DOUBLE		0	underlying price
uPrcSrc	enum - FieldSrc		'Default'
years	DOUBLE		0	yearstoexpiration default uses SR volatility time value
yearsSrc	enum - FieldSrc		'Default'
sdiv	DOUBLE		0	continuous stock dividend using for pricing
sdivSrc	enum - FieldSrc		'Default'
rate	DOUBLE		0	discount rate used for pricing
rateSrc	enum - FieldSrc		'Default'
exType	enum - ExerciseType		'None'	exercise type of the option American or European
exTypeSrc	enum - FieldSrc		'Default'
effStrike	DOUBLE		0	effective strike used for pricing default is okeyStrike
effStrikeSrc	enum - FieldSrc		'Default'
symRatio	DOUBLE		0	underlying symbol ratio for nonstandard options discrete dividend will be scaled by this factor
symRatioSrc	enum - FieldSrc		'Default'
divString	TINYTEXT		''	discrete dividend string yearsToExpiry years1amt1 years2amt2 or 1 date1amt1 date2amt2
divSrc	enum - FieldSrc		'Default'
modelType	enum - CalcModelType		'None'	LogNormalExact LogNormalApprox NormalExact NormalApprox
modelTypeSrc	enum - FieldSrc		'Default'
calcPrecision	enum - CalcPrecision		'Low'	numerical precision of steps if a numerical method is used more steps will be slower to calculate
pointValue	DOUBLE		0	value of a point in the underlying product
pointCurrency	enum - Currency		'None'
pointValueSrc	enum - FieldSrc		'Default'
prcSpanUp	FLOAT		0
prcSpanDn	FLOAT		0
prcSpanType	enum - PrcSpanType		'Exch'
volSpan	FLOAT		0
volSpanType	enum - VolSpanType		'Exch'
spanCalcType	enum - SpanCalcType		'PnL'
hedgeDeltaNeutral	enum - YesNo		'No'	all option will be assumed hedged delta neutral stock and futures will not have slide values
adjYears	DOUBLE		-1	year adjustment effYears years adjYears 1 no limit
maxYears	DOUBLE		-1	upper bound for years effYears MINmaxYears effYears 1 no limit
span01	FLOAT		0	span1 uPrcunch volup
span02	FLOAT		0	span2 uPrcunch voldown
span03	FLOAT		0	span3 uPrc33 volup
span04	FLOAT		0	span4 uPrc33 voldn
span05	FLOAT		0	span5 uPrc33 volup
span06	FLOAT		0	span6 uPrc33 voldown
span07	FLOAT		0	span7 uPrc67 volup
span08	FLOAT		0	span8 uPrc67 voldown
span09	FLOAT		0	span9 uPrc67 volup
span10	FLOAT		0	span10 uPrc67 voldown
span11	FLOAT		0	span11 uPrc100 volup
span12	FLOAT		0	span12 uPrc100 voldown
span13	FLOAT		0	span13 uPrc100 volup
span14	FLOAT		0	span14 uPrc100 voldown
span15	FLOAT		0	span15 uPrc300 price slide 033
span16	FLOAT		0	span16 uPrc300 price slide 033
error	VARCHAR(32)		''	calculation error
timestamp	DATETIME(6)		'2000-01-01'

PRIMARY KEY DEFINITION (Unique)

Field	Sequence
secKey_tk	1
secKey_yr	2
secKey_mn	3
secKey_dy	4
secKey_xx	5
secKey_cp	6
secKey_at	7
secKey_ts	8
secType	9
userName	10

SECONDARY INDEX (ExpirationIndex) (Not Unique)

Field	Sequence
secKey_yr	1
secKey_mn	2
secKey_dy	3

SELECT TABLE EXAMPLE QUERY

SELECT *
FROM `SRAnalytics`.`MsgSpanRiskCalculator`
WHERE 
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */ 
    `secKey_at` = 'None'
  AND
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX') */ 
    `secKey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `secKey_tk` = 'Example_secKey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `secKey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `secKey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `secKey_dy` = 1
  AND
    /* Replace with a DOUBLE */ 
    `secKey_xx` = 4.56
  AND
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `secKey_cp` = 'Call'
  AND
    /* Replace with a ENUM('None','Stock','Future','Option','MLeg') */ 
    `secType` = 'None'
  AND
    /* Replace with a VARCHAR(24) */ 
    `userName` = 'Example_userName';

UPDATE TABLE EXAMPLE QUERY

UPDATE `SRAnalytics`.`MsgSpanRiskCalculator` 
SET
    /* Replace with a DOUBLE */
    `vol` = 4.56,
    /* Replace with a ENUM('Default','User') */
    `volSrc` = 'Default',
    /* Replace with a DOUBLE */
    `uPrc` = 4.56,
    /* Replace with a ENUM('Default','User') */
    `uPrcSrc` = 'Default',
    /* Replace with a DOUBLE */
    `years` = 4.56,
    /* Replace with a ENUM('Default','User') */
    `yearsSrc` = 'Default',
    /* Replace with a DOUBLE */
    `sdiv` = 4.56,
    /* Replace with a ENUM('Default','User') */
    `sdivSrc` = 'Default',
    /* Replace with a DOUBLE */
    `rate` = 4.56,
    /* Replace with a ENUM('Default','User') */
    `rateSrc` = 'Default',
    /* Replace with a ENUM('None','American','European','Asian','Cliquet') */
    `exType` = 'None',
    /* Replace with a ENUM('Default','User') */
    `exTypeSrc` = 'Default',
    /* Replace with a DOUBLE */
    `effStrike` = 4.56,
    /* Replace with a ENUM('Default','User') */
    `effStrikeSrc` = 'Default',
    /* Replace with a DOUBLE */
    `symRatio` = 4.56,
    /* Replace with a ENUM('Default','User') */
    `symRatioSrc` = 'Default',
    /* Replace with a TINYTEXT */
    `divString` = 'dummy tiny text',
    /* Replace with a ENUM('Default','User') */
    `divSrc` = 'Default',
    /* Replace with a ENUM('None','LogNormal','Normal') */
    `modelType` = 'None',
    /* Replace with a ENUM('Default','User') */
    `modelTypeSrc` = 'Default',
    /* Replace with a ENUM('None','Low','Normal','High','Custom') */
    `calcPrecision` = 'Low',
    /* Replace with a DOUBLE */
    `pointValue` = 4.56,
    /* Replace with a ENUM('None','AUD','BRL','CAD','CHF','CNH','CNY','EUR','GBP','JPY','KRW','MXN','MYR','NOK','NZD','SEK','TRY','USD','USDCents','CZK','ZAR','HUF','USX','GBX','DKK','GEL') */ 
    `pointCurrency` = 'None',
    /* Replace with a ENUM('Default','User') */
    `pointValueSrc` = 'Default',
    /* Replace with a FLOAT */
    `prcSpanUp` = 1.23,
    /* Replace with a FLOAT */
    `prcSpanDn` = 1.23,
    /* Replace with a ENUM('None','Pct','Log','Pts','SD1d','Exch') */
    `prcSpanType` = 'Exch',
    /* Replace with a FLOAT */
    `volSpan` = 1.23,
    /* Replace with a ENUM('None','Pct','Log','Pts','Abs','vAnn','Exch') */
    `volSpanType` = 'Exch',
    /* Replace with a ENUM('PnL','Delta','Vega','WVega','TVega','WtVega','Gamma','Theta') */
    `spanCalcType` = 'PnL',
    /* Replace with a ENUM('None','Yes','No') */
    `hedgeDeltaNeutral` = 'No',
    /* Replace with a DOUBLE */
    `adjYears` = 4.56,
    /* Replace with a DOUBLE */
    `maxYears` = 4.56,
    /* Replace with a FLOAT */
    `span01` = 1.23,
    /* Replace with a FLOAT */
    `span02` = 1.23,
    /* Replace with a FLOAT */
    `span03` = 1.23,
    /* Replace with a FLOAT */
    `span04` = 1.23,
    /* Replace with a FLOAT */
    `span05` = 1.23,
    /* Replace with a FLOAT */
    `span06` = 1.23,
    /* Replace with a FLOAT */
    `span07` = 1.23,
    /* Replace with a FLOAT */
    `span08` = 1.23,
    /* Replace with a FLOAT */
    `span09` = 1.23,
    /* Replace with a FLOAT */
    `span10` = 1.23,
    /* Replace with a FLOAT */
    `span11` = 1.23,
    /* Replace with a FLOAT */
    `span12` = 1.23,
    /* Replace with a FLOAT */
    `span13` = 1.23,
    /* Replace with a FLOAT */
    `span14` = 1.23,
    /* Replace with a FLOAT */
    `span15` = 1.23,
    /* Replace with a FLOAT */
    `span16` = 1.23,
    /* Replace with a VARCHAR(32) */
    `error` = 'Example_error',
    /* Replace with a DATETIME(6) */
    `timestamp` = '2022-01-01 12:34:56.000000'
WHERE
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */ 
    `secKey_at` = 'None'
  AND
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX') */ 
    `secKey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `secKey_tk` = 'Example_secKey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `secKey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `secKey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `secKey_dy` = 1
  AND
    /* Replace with a DOUBLE */ 
    `secKey_xx` = 4.56
  AND
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `secKey_cp` = 'Call'
  AND
    /* Replace with a ENUM('None','Stock','Future','Option','MLeg') */ 
    `secType` = 'None'
  AND
    /* Replace with a VARCHAR(24) */ 
    `userName` = 'Example_userName';

INSERT TABLE EXAMPLE QUERY

INSERT INTO `SRAnalytics`.`MsgSpanRiskCalculator`(
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */ 
    `secKey_at`,
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX') */ 
    `secKey_ts`,
    /* Replace with a VARCHAR(12) */ 
    `secKey_tk`,
    /* Replace with a SMALLINT UNSIGNED */ 
    `secKey_yr`,
    /* Replace with a TINYINT UNSIGNED */ 
    `secKey_mn`,
    /* Replace with a TINYINT UNSIGNED */ 
    `secKey_dy`,
    /* Replace with a DOUBLE */ 
    `secKey_xx`,
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `secKey_cp`,
    /* Replace with a ENUM('None','Stock','Future','Option','MLeg') */ 
    `secType`,
    /* Replace with a VARCHAR(24) */ 
    `userName`,
    /* Replace with a DOUBLE */
    `vol`,
    /* Replace with a ENUM('Default','User') */
    `volSrc`,
    /* Replace with a DOUBLE */
    `uPrc`,
    /* Replace with a ENUM('Default','User') */
    `uPrcSrc`,
    /* Replace with a DOUBLE */
    `years`,
    /* Replace with a ENUM('Default','User') */
    `yearsSrc`,
    /* Replace with a DOUBLE */
    `sdiv`,
    /* Replace with a ENUM('Default','User') */
    `sdivSrc`,
    /* Replace with a DOUBLE */
    `rate`,
    /* Replace with a ENUM('Default','User') */
    `rateSrc`,
    /* Replace with a ENUM('None','American','European','Asian','Cliquet') */
    `exType`,
    /* Replace with a ENUM('Default','User') */
    `exTypeSrc`,
    /* Replace with a DOUBLE */
    `effStrike`,
    /* Replace with a ENUM('Default','User') */
    `effStrikeSrc`,
    /* Replace with a DOUBLE */
    `symRatio`,
    /* Replace with a ENUM('Default','User') */
    `symRatioSrc`,
    /* Replace with a TINYTEXT */
    `divString`,
    /* Replace with a ENUM('Default','User') */
    `divSrc`,
    /* Replace with a ENUM('None','LogNormal','Normal') */
    `modelType`,
    /* Replace with a ENUM('Default','User') */
    `modelTypeSrc`,
    /* Replace with a ENUM('None','Low','Normal','High','Custom') */
    `calcPrecision`,
    /* Replace with a DOUBLE */
    `pointValue`,
    /* Replace with a ENUM('None','AUD','BRL','CAD','CHF','CNH','CNY','EUR','GBP','JPY','KRW','MXN','MYR','NOK','NZD','SEK','TRY','USD','USDCents','CZK','ZAR','HUF','USX','GBX','DKK','GEL') */ 
    `pointCurrency`,
    /* Replace with a ENUM('Default','User') */
    `pointValueSrc`,
    /* Replace with a FLOAT */
    `prcSpanUp`,
    /* Replace with a FLOAT */
    `prcSpanDn`,
    /* Replace with a ENUM('None','Pct','Log','Pts','SD1d','Exch') */
    `prcSpanType`,
    /* Replace with a FLOAT */
    `volSpan`,
    /* Replace with a ENUM('None','Pct','Log','Pts','Abs','vAnn','Exch') */
    `volSpanType`,
    /* Replace with a ENUM('PnL','Delta','Vega','WVega','TVega','WtVega','Gamma','Theta') */
    `spanCalcType`,
    /* Replace with a ENUM('None','Yes','No') */
    `hedgeDeltaNeutral`,
    /* Replace with a DOUBLE */
    `adjYears`,
    /* Replace with a DOUBLE */
    `maxYears`,
    /* Replace with a FLOAT */
    `span01`,
    /* Replace with a FLOAT */
    `span02`,
    /* Replace with a FLOAT */
    `span03`,
    /* Replace with a FLOAT */
    `span04`,
    /* Replace with a FLOAT */
    `span05`,
    /* Replace with a FLOAT */
    `span06`,
    /* Replace with a FLOAT */
    `span07`,
    /* Replace with a FLOAT */
    `span08`,
    /* Replace with a FLOAT */
    `span09`,
    /* Replace with a FLOAT */
    `span10`,
    /* Replace with a FLOAT */
    `span11`,
    /* Replace with a FLOAT */
    `span12`,
    /* Replace with a FLOAT */
    `span13`,
    /* Replace with a FLOAT */
    `span14`,
    /* Replace with a FLOAT */
    `span15`,
    /* Replace with a FLOAT */
    `span16`,
    /* Replace with a VARCHAR(32) */
    `error`,
    /* Replace with a DATETIME(6) */
    `timestamp`
) 
VALUES(
    'None',
    'None',
    'Example_secKey_tk',
    123,
    1,
    1,
    4.56,
    'Call',
    'None',
    'Example_userName',
    4.56,
    'Default',
    4.56,
    'Default',
    4.56,
    'Default',
    4.56,
    'Default',
    4.56,
    'Default',
    'None',
    'Default',
    4.56,
    'Default',
    4.56,
    'Default',
    'dummy tiny text',
    'Default',
    'None',
    'Default',
    'Low',
    4.56,
    'None',
    'Default',
    1.23,
    1.23,
    'Exch',
    1.23,
    'Exch',
    'PnL',
    'No',
    4.56,
    4.56,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    1.23,
    'Example_error',
    '2022-01-01 12:34:56.000000'
);

DELETE TABLE EXAMPLE QUERY

DELETE FROM `SRAnalytics`.`MsgSpanRiskCalculator` 
WHERE
    /* Replace with a ENUM('None','EQT','IDX','BND','CUR','COM','FUT','SYN','WAR','FLX','MUT','SPD','MM','MF','COIN','TOKEN','ANY','RATE') */ 
    `secKey_at` = 'None'
  AND
    /* Replace with a ENUM('None','SR','NMS','CME','ICE','CFE','CBOT','NYMEX','COMEX','RUT','CIDX','ARCA','NYSE','OTC','NSDQ','MFQS','MIAX','DJI','CUSIP','ISIN','BXE','SCE','ANY','CXE','DXE','NXAM','NXBR','NXLS','NXML','NXOS','NXP','EUREX','CEDX','ICEFEC','ICEFEF','CEQT','TSX','TMX') */ 
    `secKey_ts` = 'None'
  AND
    /* Replace with a VARCHAR(12) */ 
    `secKey_tk` = 'Example_secKey_tk'
  AND
    /* Replace with a SMALLINT UNSIGNED */ 
    `secKey_yr` = 123
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `secKey_mn` = 1
  AND
    /* Replace with a TINYINT UNSIGNED */ 
    `secKey_dy` = 1
  AND
    /* Replace with a DOUBLE */ 
    `secKey_xx` = 4.56
  AND
    /* Replace with a ENUM('Call','Put','Pair') */ 
    `secKey_cp` = 'Call'
  AND
    /* Replace with a ENUM('None','Stock','Future','Option','MLeg') */ 
    `secType` = 'None'
  AND
    /* Replace with a VARCHAR(24) */ 
    `userName` = 'Example_userName';

Doc Columns Query

SELECT * FROM SRAnalytics.doccolumns WHERE TABLE_NAME='SpanRiskCalculator' ORDER BY ordinal_position ASC;

METADATA​

Table Definition​

PRIMARY KEY DEFINITION (Unique)​

SECONDARY INDEX (ExpirationIndex) (Not Unique)​

SELECT TABLE EXAMPLE QUERY​

UPDATE TABLE EXAMPLE QUERY​

INSERT TABLE EXAMPLE QUERY​

DELETE TABLE EXAMPLE QUERY​

Doc Columns Query​

METADATA

Table Definition

PRIMARY KEY DEFINITION (Unique)

SECONDARY INDEX (ExpirationIndex) (Not Unique)

SELECT TABLE EXAMPLE QUERY

UPDATE TABLE EXAMPLE QUERY

INSERT TABLE EXAMPLE QUERY

DELETE TABLE EXAMPLE QUERY

Doc Columns Query