Description
SecurityRiskMetricsReport <EG> is used for publishing the risk metrics, valuation metrics or analytics of one or more securities, or for an option series.
Structure
| Tag | Field Name | Req'd | Comments | |
|---|---|---|---|---|
| Component Block - <StandardHeader> | Y |
MsgType <35>=EG |
||
| 2988 | SecurityRiskMetricsReportID | Y | ||
| 2989 | RiskMetricsSecurityGroup | N |
May be used to identify the group of related instruments provided in SecurityRiskMetricGrp. Conditionally required when RiskMetricsSecuritySubGroup <2990> is present. |
|
| 2990 | RiskMetricsSecuritySubGroup | N |
May be used with RiskMetricsSecurityGroup <2989> to provide a more granular group identification. |
|
| 60 | TransactTime | N | ||
| Component Block - <UnderlyingInstrument> | N |
UnderlyingPx <810> within the component may be used when valuation calculation uses a single reference price. |
||
| 2991 | UnderlyingBidPx | N |
May be used to specify the (best) bid of the underlying instrument when valuation calculation uses real-time prices. |
|
| 2992 | UnderlyingOfferPx | N |
May be used to specify the (best) offer of the underlying instrument when valuation calculation uses real-time prices. |
|
| 2993 | MetricsCalculationPriceSource | N | ||
| 1190 | RiskFreeRate | N |
May be used to identify the risk free rate used in the pricing model specified. |
|
| 2994 | AssetValuationModel | N | ||
| 893 | LastFragment | N | ||
| Component Block - <SecurityRiskMetricGrp> | N | |||
| Component Block - <StandardTrailer> | Y | |||