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SBM_Delta_Sensitivities*.csv

The Delta Sensitivity Data is loaded from the Delta files.

The following table lists the fields in the file format that is used for the Equity risk-class. See the Delta file format documentation for details on the file format. See Data Model (Core) for a description of the data model.

Data Model Field File Column Notes
As-Of Date AsOfDate
Trade ID TradeID
Sensitivity Currency DeltaCcy
Sensitivities DeltaSensitivities
Risk Class RiskClass “Equity”
Risk Factor Name RiskFactor (Optional) If not present, generated during ETL.
Type RiskFactorType “Spot” or “Repo”
Equity Name Underlying See Interpretation Note
Bucket Bucket 1-13
Economy EquityEconomy “Advanced economy” or “Emerging economy”
Market Cap EquityMarketCap “Large” or “Small”
Sector EquitySector
Optionality Optionality Should this sensitivity be included in the Curvature calculations (‘Y’) or not (‘N’)?