SBM_Delta_Sensitivities*.csv
The Delta Sensitivity Data is loaded into the SBM_Delta_Sensitivities*.csv files using the following fields:
Data Model Field | File Column | Notes |
---|---|---|
As-Of Date | AsOfDate | |
Trade ID | TradeID | |
Sensitivity Currency | DeltaCcy | |
Sensitivities | DeltaSensitivities | May be single value or vector, with the same number of entries as Tenors. |
Risk Class | RiskClass | “GIRR” |
Sensitivity Tenor | SensitivityDates | May be single value, vector, or empty. If empty, treated as the prescribed tenors: 0.25;0.5;1;2;3;5;10;15;20;30. |
Risk Factor Name | RiskFactor | (Optional) If not present, generated during ETL. |
Curve Type | RiskFactorType | “Yield”, “Inflation”, or “Basis” |
Curve Name | Underlying | |
Optionality | Optionality | Should this sensitivity be included in the Curvature calculations (‘Y’) or not (‘N’)? |
Covered Bond Rating | CSRRating | (Optional) For covered bonds, “high” for rating AA- or above; otherwise “low” |