Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
-
Release and migration notes
test ../ test dev/dev-release/release-notes.html
-- Release notes
test ../ test dev/dev-release/migrate-5.1.html
-- Migration notes 5.1
test ../ test dev/dev-release/previous-migration.html
--
Previous migration notes
test ../ test dev/dev-getting-started.html
-
Getting started
test ../ test dev/dev-ui-config.html
-
Configuring the UI
test ../ test dev/dev-extensions.html
-
Extending Atoti CVA Risk Capital
test ../ test user-getting-started.html
Getting started
test ../ test user-getting-started/about-guide.html
- Using this guide
test ../ test user-getting-started/pdf.html
- PDF guides
test ../ test user-getting-started/about-cvarc.html
- About the Solution
test ../ test user-getting-started/whats-new.html
- What's New
test ../ test user-getting-started/bookmarks.html
- Bookmarks
test ../ test regulatory-calcs.html
Regulatory calculations
test ../ test configuration.html
Configuration files
test ../ test cube.html
Cube reference
test ../ test cube/context-values.html
-
Context Values
test ../ test cube/dimensions.html
-
Dimensions
test ../ test cube/commoditygroup.commoditygroup.html
-- [CommodityGroup].[CommodityGroup]
test ../ test cube/creditquality.creditquality.html
-- [CreditQuality].[CreditQuality]
test ../ test cube/curvetype.curvetype.html
-- [CurveType].[CurveType]
test ../ test cube/dates.date.html
-- [Dates].[Date]
test ../ test cube/delta-sensitivityccy.delta-sensitivityccy.html
-- [delta-SensitivityCcy].[delta-SensitivityCcy]
test ../ test cube/economy.economy.html
-- [Economy].[Economy]
test ../ test cube/epoch.epoch.html
-- [Epoch].[Epoch]
test ../ test cube/iscva.iscva.html
-- [isCVA].[isCVA]
test ../ test cube/nettingsettradeid.nettingsettradeid.html
-- [NettingSetTradeId].[NettingSetTradeId]
test ../ test cube/parameter-set.parameter-set.html
-- [Parameter Set].[Parameter Set]
test ../ test cube/referencecurrency.referencecurrency.html
-- [ReferenceCurrency].[ReferenceCurrency]
test ../ test cube/referencename.referencename.html
-- [ReferenceName].[ReferenceName]
test ../ test cube/regulatorybucket.regulatorybucket.html
-- [RegulatoryBucket].[RegulatoryBucket]
test ../ test cube/regulatoryriskfactor.regulatoryriskfactor.html
-- [RegulatoryRiskFactor].[RegulatoryRiskFactor]
test ../ test cube/risk.creditquality.html
-- [Risk].[CreditQuality]
test ../ test cube/risk.cvacounterpartyid.html
-- [Risk].[CVACounterpartyId]
test ../ test cube/risk.is-single-name.html
-- [Risk].[Is Single Name]
test ../ test cube/risk.sectors.html
-- [Risk].[Sectors]
test ../ test cube/riskclass.riskclass.html
-- [RiskClass].[RiskClass]
test ../ test cube/riskfactorccy.riskfactorccy.html
-- [RiskFactorCcy].[RiskFactorCcy]
test ../ test cube/riskfactorid.riskfactorid.html
-- [RiskFactorId].[RiskFactorId]
test ../ test cube/riskmeasure.riskmeasure.html
-- [RiskMeasure].[RiskMeasure]
test ../ test cube/sector.sectors.html
-- [Sector].[Sectors]
test ../ test cube/size.size.html
-- [Size].[Size]
test ../ test cube/tradeposition.capitaltreatment.html
-- [TradePosition].[CapitalTreatment]
test ../ test cube/tradeposition.eadccy.html
-- [TradePosition].[EADCcy]
test ../ test cube/tradeposition.isbaeligible.html
-- [TradePosition].[IsBaEligible]
test ../ test cube/tradeposition.iscarvedout.html
-- [TradePosition].[IsCarvedOut]
test ../ test cube/tradeposition.issaeligible.html
-- [TradePosition].[IsSaEligible]
test ../ test cube/tradeposition.netting-sets.html
-- [TradePosition].[Netting Sets]
test ../ test cube/tradeposition.referencename.html
-- [TradePosition].[ReferenceName]
test ../ test cube/tradeposition.trade-date.html
-- [TradePosition].[Trade Date]
test ../ test cube/tradeposition.trades.html
-- [TradePosition].[Trades]
test ../ test cube/tradeposition.underimm.html
-- [TradePosition].[UnderIMM]
test ../ test cube/vega-sensitivityccy.vega-sensitivityccy.html
-- [vega-SensitivityCcy].[vega-SensitivityCcy]
test ../ test cube/vertices.vertices.html
-- [Vertices].[Vertices]
test ../ test cube/measures.html
-
Measures
test ../ test input-files.html
Input file formats
test ../ test what-if.html
What-If
test ../ test widgets.html
Widgets
[isCVA].[isCVA]
Description
Separates hedges and trades driving CVA.
Dimension
isCVA
Hierarchy
isCVA
Levels
[ALL, isCVA]
For both BA and SA cubes, IsCVA hierarchy is derived using the following logic: if a trade is from a CVA sensitivities file, it doesn’t have a TradeId. Instead, it has the NettingSetId in the basestore. If a trade is from a hedge sensitivities file, it has a TradeId and null NettingSetId in the basestore.
The hierarchy has two members: { Y, N }, to separate hedges and trades driving CVA:
If IsCVA = N, the trade is a hedge trade.
If IsCVA = Y, is a CVA trade.