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Delta

The Delta store contains the Delta sensitivities.

The following table lists the fields in the store that are used for the CSR non-Sec risk-class. See the Delta store documentation for details on the store.

Data Model Field Store Field Notes
As-Of Date AsOfDate
Trade ID TradeId
Risk Factor Name Risk Factor
Risk Class RiskClass “CSR non-Sec”
Risk Measure Risk Measure “Delta”
Sensitivities DeltaSensitivities Vector-valued. Same size as Sensitivity Tenors
Sensitivity Tenors SensitivityDates Vector-valued
Sensitivity Currency Ccy
Interpolated Sensitivities DeltaSensitivities - Interpolated Vector-valued. Indexed by prescribed Tenors
Optionality Optionality ‘Y’ or ‘N’