SBM_Curvature_Sensitivities*.csv
The Curvature Sensitivity Data is loaded into the SBM_Curvature_Sensitivities*.csv files using the following fields:
Data Model Field | File Column | Notes |
---|---|---|
As-Of Date | AsOfDate | |
Trade ID | TradeID | |
Risk Class | RiskClass | “FX” |
Risk Factor Name | RiskFactor | (Optional) If not present, generated during ETL. |
Shock Up | Shift_Up_PV | |
Shock Down | Shift_Down_PV | |
Sensitivity Currency | CurvatureCcy | |
Risk Weight | RiskWeight | (Optional) |
PV Applied | PV Applied | Has the Trade PV already been subtracted from the shocked PVs (‘Y’) or not (‘N’)? |
Risk Factor Currency | Underlying | |
Counter Currency | FXCounterCurrency | |
FXDivisorEligibility | ‘Y’ if the trade does not reference the base/reporting currency; ‘N’ if it does. |