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About
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- Quick Start
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Input Data
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Tutorials
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- How to Prepare Data for QIS
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- Data Sanity Check
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- Tips for Validating the Calculations
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- Viewing QIS Numbers
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Interpretation and Implementation of the MAR standard
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ACR
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SA
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SA DRC
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SA SBM
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Commodity
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Data Model (Core)
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Calculations
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Input Files (Reference Implementation)
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------ SBM_Delta_Sensitivities*.csv
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------ SBM_Vega_Sensitivities*.csv
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------ SBM_Curvature_Sensitivities*.csv
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Datastore (Reference Implementation)
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Cube Schema (Reference Implementation)
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Configuration (Core)
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CSR non-Sec
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CSR Sec CTP
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CSR Sec non-CTP
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Equity
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FX
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GIRR
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Analytics Reference
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Glossary
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 Commodity 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
May be single value or vector, with the same number of entries as Tenors.
Risk Class
RiskClass
“Commodity”
Sensitivity Tenor
SensitivityDates
May be single value, vector, or empty. If empty, treated as the prescribed tenors: 0;0.25;0.5;1;2;3;5;10;15;20;30.
Risk Factor Name
RiskFactor
(Optional) If not present, generated during ETL.
Commodity
Underlying
Bucket
Bucket
1-11
Location
CommodityLocation
Optionality
Optionality
Should this sensitivity be included in the Curvature calculations (‘Y’) or not (‘N’)?