SBM_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’)? |