Each line in a market data file is DATE NAME VALUE. The NAME is split on /: token 0 is the instrument type, token 1 the quote type, the remaining tokens are instrument-specific. Recognised instrument types: ZERO, DISCOUNT, MM, MM_FUTURE, OI_FUTURE, FRA, IMM_FRA, IR_SWAP, BASIS_SWAP, CC_BASIS_SWAP, CC_FIX_FLOAT_SWAP, BMA_SWAP, CDS, CDS_INDEX, FX, FX_SPOT, FXFWD, FX_FWD, HAZARD_RATE, RECOVERY_RATE, ASSUMED_RECOVERY_RATE, SWAPTION, CAPFLOOR, FX_OPTION, EQUITY, EQUITY_FWD, EQUITY_DIVIDEND, EQUITY_OPTION, BOND, BOND_FUTURE, BOND_OPTION, ZC_INFLATIONSWAP, ZC_INFLATIONCAPFLOOR, YY_INFLATIONSWAP, YY_INFLATIONCAPFLOOR, SEASONALITY, INDEX_CDS_OPTION, INDEX_CDS_TRANCHE, COMMODITY, COMMODITY_FWD, CORRELATION, COMMODITY_OPTION, CPR, RATING. Quote types: BASIS_SPREAD, CREDIT_SPREAD, CONV_CREDIT_SPREAD, YIELD_SPREAD, RATE, RATIO, PRICE, RATE_LNVOL, RATE_NVOL, RATE_SLNVOL, BASE_CORRELATION, SHIFT, TRANSITION_PROBABILITY, CONVERSION_FACTOR.
For current-tenor SOFR examples (MM and OIS quotes on USD-SOFR), see the contributed example market file contrib/vnd-usd-fxforward/input/market_20260918.txt.
| Instrument type | Name grammar | Real examples (from the example market files) |
|---|---|---|
ASSUMED_RECOVERY_RATE | see parser source | |
BASIS_SWAP | BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/5Y — BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/foobar/5Y | BASIS_SWAP/BASIS_SPREAD/6M/3M/CHF/1Y 0.001486; BASIS_SWAP/BASIS_SPREAD/6M/3M/CHF/2Y 0.001556 |
BMA_SWAP | see parser source | BMA_SWAP/RATIO/USD/3M/3M 0.8; BMA_SWAP/RATIO/USD/3M/1Y 0.8 |
BOND | see parser source | BOND/YIELD_SPREAD/SECURITY_1 0.00; BOND/PRICE/SECURITY_2 1.023 |
BOND_FUTURE | see parser source | |
BOND_OPTION | see parser source | |
CAPFLOOR | see parser source | CAPFLOOR/RATE_LNVOL/CHF/20Y/6M/0/0/0.025 0.434652; CAPFLOOR/RATE_LNVOL/CHF/20Y/6M/0/0/0.035 0.45502 |
CC_BASIS_SWAP | see parser source | CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CHF/3M/1Y -0.006119; CC_BASIS_SWAP/BASIS_SPREAD/USD/3M/CHF/3M/2Y -0.006647 |
CC_FIX_FLOAT_SWAP | CC_FIX_FLOAT_SWAP/RATE/USD/3M/TRY/1Y/5Y | CC_FIX_FLOAT_SWAP/RATE/USD/3M/TRY/1Y/1Y 0.1084; CC_FIX_FLOAT_SWAP/RATE/USD/3M/TRY/1Y/2Y 0.1066 |
CDS | CDS/[CONV_]CREDIT_SPREAD/Name/Seniority/ccy/term — CDS/[CONV_]CREDIT_SPREAD/Name/Seniority/ccy/term/runningSpread — CDS/[CONV_]CREDIT_SPREAD/Name/Seniority/ccy/doc/term — CDS/[CONV_]CREDIT_SPREAD/Name/Seniority/ccy/doc/term/runningSpread | CDS/CREDIT_SPREAD/BANK/SR/USD/1Y 0.01; CDS/CREDIT_SPREAD/BANK/SR/USD/2Y 0.01 |
CDS_INDEX | see parser source | CDS_INDEX/BASE_CORRELATION/CDXIG/1D/0.03 0.1; CDS_INDEX/BASE_CORRELATION/CDXIG/1D/0.06 0.2 |
COMMODITY | see parser source | COMMODITY/PRICE/GOLD/USD 1155.593; COMMODITY/PRICE/WTI/USD 30.89 |
COMMODITY_FWD | COMMODITY_FWD/PRICE/<COMDTY_NAME>/<CCY>/<DATE/TENOR> | COMMODITY_FWD/PRICE/GOLD/USD/2016-02-29 1157.8; COMMODITY_FWD/PRICE/GOLD/USD/2016-03-31 1157.4 |
COMMODITY_OPTION | COMMODITY_OPTION/<QT>/<COMDTY_NAME>/<CCY>/<EXPIRY>/<STRIKE> — COMMODITY_OPTION/<QT>/<COMDTY_NAME>/<CCY>/<EXPIRY>/<STRIKE>/<OT> — COMMODITY_OPTION/<QT>/<COMDTY_NAME>/<CCY>/<EXPIRY>/DEL/<DELTA_TYPE>/<PUT/CALL>/<DELTA> — COMMODITY_OPTION/<QT>/<COMDTY_NAME>/<CCY>/<EXPIRY>/ATM/<ATM_TYPE>/DEL/<DELTA_TYPE> | COMMODITY_OPTION/RATE_LNVOL/GOLD/USD/1Y/ATM/AtmFwd 0.09; COMMODITY_OPTION/RATE_LNVOL/GOLD/USD/5Y/ATM/AtmFwd 0.10 |
CORRELATION | CORRELATION/RATE/<INDEX1>/<INDEX2>/<TENOR>/<STRIKE> | CORRELATION/RATE/EUR-CMS-10Y/EUR-CMS-2Y/1Y/ATM 0.8; CORRELATION/RATE/USD-CMS-10Y/USD-CMS-1Y/1Y/ATM 0.2 |
CPR | see parser source | CPR/RATE/ISIN:XS0983610930 0.11 |
DISCOUNT | DISCOUNT/RATE/ccy/curveName/{date|tenor} — 5 tokens | |
EQUITY | see parser source | EQUITY/PRICE/SP5/USD 2147.56; EQUITY/PRICE/Lufthansa/EUR 12.75 |
EQUITY_DIVIDEND | see parser source | EQUITY_DIVIDEND/RATE/SP5/USD/3M 0.01; EQUITY_DIVIDEND/RATE/SP5/USD/20160915 0.015 |
EQUITY_FWD | see parser source | EQUITY_FWD/PRICE/Lufthansa/EUR/2016-06-16 12.75; EQUITY_FWD/PRICE/Lufthansa/EUR/6M 12.75 |
EQUITY_OPTION | see parser source | EQUITY_OPTION/RATE_LNVOL/SP5/USD/6M/ATMF 0.2514; EQUITY_OPTION/RATE_LNVOL/Lufthansa/EUR/2016-06-15/ATMF 0.30 |
FRA | see parser source | FRA/RATE/CHF/1M/6M -0.008073; FRA/RATE/CHF/2M/6M -0.008408 |
FX | FX/{quoteType}/unitCcy/ccy — 4 tokens | FX/RATE/USD/VND 25400.00; FX/RATE/EUR/CHF 1.125046 |
FXFWD | FXFWD/{quoteType}/unitCcy/ccy/{tenor|date} — 5 tokens (forward points) | FXFWD/RATE/USD/VND/1W 6.1; FXFWD/RATE/USD/VND/2W 12.2 |
FX_FWD | see parser source | |
FX_OPTION | FX_OPTION/{quoteType}/unitCcy/ccy/expiry/strike — 6 tokens | FX_OPTION/RATE_LNVOL/EUR/CHF/2M/ATM 0.080627; FX_OPTION/RATE_LNVOL/EUR/CHF/10Y/ATM 0.13844 |
FX_SPOT | see parser source | |
HAZARD_RATE | see parser source | HAZARD_RATE/RATE/CPTY_A/SR/USD/0Y 0.01; HAZARD_RATE/RATE/CPTY_A/SR/USD/1Y 0.01 |
IMM_FRA | see parser source | |
INDEX_CDS_OPTION | INDEX_CDS_OPTION/RATE_LNVOL/<INDEX_NAME>[/<INDEX_TERM>]/<EXPIRY>[/<STRIKE>] | INDEX_CDS_OPTION/RATE_LNVOL/CPTY_A/1M 0.85; INDEX_CDS_OPTION/RATE_LNVOL/CPTY_A/3M 0.85 |
INDEX_CDS_TRANCHE | see parser source | |
IR_SWAP | IR_SWAP/{quoteType}/ccy/[indexName/]start/floatTenor/{maturity|endDate} — 6-7 tokens | IR_SWAP/RATE/USD/2D/1D/1M 0.04370; IR_SWAP/RATE/USD/2D/1D/2M 0.04355 |
MM | MM/{quoteType}/ccy/[indexName/]fwdStart/term — 5-6 tokens (fwdStart e.g. 0D, 2D) | MM/RATE/USD/0D/1D 0.04320; MM/RATE/USD/2D/1W 0.04335 |
MM_FUTURE | see parser source | |
OI_FUTURE | see parser source | |
RATING | see parser source | RATING/TRANSITION_PROBABILITY/PROVIDER_1/AAA/AAA 0.8588; RATING/TRANSITION_PROBABILITY/PROVIDER_1/AAA/AA 0.0976 |
RECOVERY_RATE | see parser source | RECOVERY_RATE/RATE/BANK/SR/USD 0.4; RECOVERY_RATE/RATE/CPTY_A/SR/USD 0.4 |
SEASONALITY | see parser source | SEASONALITY/RATE/MULT/EUHICPXT/JAN 0.999118; SEASONALITY/RATE/MULT/EUHICPXT/FEB 0.999554 |
SWAPTION | see parser source | SWAPTION/RATE_LNVOL/CHF/25Y/10Y/ATM 1.039565; SWAPTION/RATE_LNVOL/CHF/10Y/10Y/ATM 1.256524 |
YY_INFLATIONCAPFLOOR | see parser source | YY_INFLATIONCAPFLOOR/PRICE/EUHICPXT/1Y/C/0.01 11.1; YY_INFLATIONCAPFLOOR/PRICE/EUHICPXT/1Y/C/0.015 7.9 |
YY_INFLATIONSWAP | see parser source | YY_INFLATIONSWAP/RATE/EUHICPXT/1Y 0.01165; YY_INFLATIONSWAP/RATE/EUHICPXT/2Y 0.0123214 |
ZC_INFLATIONCAPFLOOR | see parser source | ZC_INFLATIONCAPFLOOR/PRICE/EUHICPXT/1Y/F/-0.02 0.000016; ZC_INFLATIONCAPFLOOR/PRICE/EUHICPXT/2Y/F/-0.02 0.000003 |
ZC_INFLATIONSWAP | see parser source | ZC_INFLATIONSWAP/RATE/EUHICP/1Y 0.00985; ZC_INFLATIONSWAP/RATE/EUHICP/2Y 0.008175 |
ZERO | ZERO/{RATE|YIELD_SPREAD}/ccy/curveName/dayCounter/{date|tenor} — 6 tokens | ZERO/RATE/EUR/BANK_EUR_BORROW/A365/2Y 0.01; ZERO/RATE/EUR/BANK_EUR_BORROW/A365/5Y 0.01 |
Grammar column: token layouts read from the ORE parser source (OREData/ored/marketdata/marketdatumparser.cpp, ORE 1.8.15); pattern strings marked as plain text come from source comments. Real examples are verbatim quote names found in the site's market data files.