Sensitivities
Sensitivities are identified by the following fields:
Key Field | Description |
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As-of Date | Timestamp (at close of business) for the data (T-1) |
Trade ID | A unique identifier for the trade (or position) |
Risk Factor Name | A unique identifier for the risk-factor (not including vertices) |
Risk Class | “GIRR” |
Risk Measure | “Delta”, “Vega”, or “Curvature” |
Sensitivity Tenor | The tenor in the yield curve (Delta) |
Option Maturity | The maturity of the option (Vega) |
Underlying Maturity | The residual maturity of the underlying (Vega) |
Sensitivities have the following attributes:
Attribute Field | Description |
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Sensitivity | The sensitivity value $s_k$ (Delta and Vega) |
Shock Up/Down | The up and down shocked prices (Curvature). |
Sensitivity Currency | Currency in which the sensitivity or shocked price is expressed. |
Risk Weight | Risk weight used for the shocked prices (Curvature) |
PV Applied | Has the PV been subtracted from the shocked prices (Curvature)? |
Optionality | Should the Delta sensitivity be included in the Curvature Calculation (Delta)? |
Interpolated Sensitivities | Sensitivities interpolated to the prescribed vertices (Delta and Vega) |