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Curvature

The Curvature store contains the Curvature shocked prices.

The following table lists the fields in the store that are used for the CSR Sec non-CTP risk-class. See the Curvature 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 Sec non-CTP”
Risk Measure Risk Measure “Curvature”
Shock Up Shift_Up_PV Vector-valued. Same size as Risk Weight
Shock Down Shift_Down_PV Vector-valued. Same size as Risk Weight
Risk Weight RiskWeight (optional) Vector-valued
PV Applied PVApplied ‘Y’ or ‘N’
Sensitivity Currency Ccy