FRTB Accelerator Cubes GuideSBM_Delta_Sensitivities*.csv
The Delta Sensitivity Data is loaded into the SBM_Delta_Sensitivities*.csv files using the following fields:
| 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 |
| 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’)? |