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Cube Schema (Reference Implementation)

The following table lists the levels and hierarchies in the Cube schema that are used in the CSR non-Sec data model.

Data Model Field	Cube Level/Hierarchy	Notes
As-Of Date	AsOfDate	Slicing Hierarchy
Trade ID	TradeId
Risk Class	Risk Class	“CSR non-Sec”
Risk Measure	Risk Measure	“Delta”, “Vega”, “Curvature”
Bucket	CSR non-Sec Bucket
Risk Factor Name	Risk Factor
Sensitivity Tenor / Option Maturity	Vertex	Analysis Hierarchy
Curve Name	Underlying
Curve Type	Risk Factor Type
Credit Quality	CSR Quality
Sector	CSR Sector
Covered Bond Rating	CSR Rating
Credit Quality Category	CSR non-Sec Rating Category
Sector Category	CSR non-Sec Sector Category
	CSR non-Sec Delta Double Sums	Levels for the Delta Double Sums and Correlations
	CSR non-Sec Vega Double Sums	Levels for the Vega Double Sums and Correlations