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Curvature
The Curvature store contains the Curvature shocked prices.
The following table lists the fields in the store that are used for the FX risk-class.
See the Curvature store documentation for details on the store.
Data Model Field |
Store Field |
Notes |
As-Of Date |
AsOfDate |
|
Trade ID |
TradeId |
|
Risk Factor Name |
Risk Factor |
|
Risk Class |
RiskClass |
“FX” |
Risk Measure |
Risk Measure |
“Curvature” |
Shock Up |
Shift_Up_PV |
Vector-valued. Same size as Risk Weight |
Shock Down |
Shift_Down_PV |
Vector-valued. Same size as Risk Weight |
Risk Weight |
RiskWeight |
(optional) Vector-valued |
PV Applied |
PVApplied |
‘Y’ or ‘N’ |
Sensitivity Currency |
Ccy |
|
|
FXDividerEligibility |
‘Y’ or ‘N’ |