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 | May be single value or vector, with the same number of entries as Tenors. |
| Risk Class | RiskClass | “GIRR” |
| Sensitivity Tenor | SensitivityDates | May be single value, vector, or empty. If empty, treated as the prescribed tenors: 0.25;0.5;1;2;3;5;10;15;20;30. |
| Risk Factor Name | RiskFactor | (Optional) If not present, generated during ETL. |
| Curve Type | RiskFactorType | “Yield”, “Inflation”, or “Basis” |
| Curve Name | Underlying | |
| Optionality | Optionality | Should this sensitivity be included in the Curvature calculations (‘Y’) or not (‘N’)? |
| Covered Bond Rating | CSRRating | (Optional) For covered bonds, “high” for rating AA- or above; otherwise “low” |