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 | “FX” |
Risk Factor Name | RiskFactor | (Optional) If not present, generated during ETL. |
Risk Factor Currency | Underlying | |
Couinter Currency | FXCounterCurrency | |
Optionality | Optionality | Should this sensitivity be included in the Curvature calculations (‘Y’) or not (‘N’)? |
FxComplexDelta | ‘Y’ to use filtering; ‘N’ to use automatic translations. | |
FxOtherCcy | If the trade involves an FX pair, this is the other currency in the pair. | |
FXDivisorEligibility | ‘Y’ if the trade does not reference the base/reporting currency; ‘N’ if it does. |