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Delta
The Delta store contains the Delta sensitivities.
The following table lists the fields in the store that are used for the GIRR risk-class.
See the Delta 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 |
“GIRR |
Risk Measure |
Risk Measure |
“Delta” |
Sensitivities |
DeltaSensitivities |
Vector-valued. Same size as Sensitivity Tenors |
Sensitivity Tenors |
SensitivityDates |
Vector-valued |
Sensitivity Currency |
Ccy |
|
Interpolated Sensitivities |
DeltaSensitivities - Interpolated |
Vector-valued. Indexed by prescribed Tenors |
Optionality |
Optionality |
‘Y’ or ‘N’ |