Curvature

The Curvature store contains the Curvature shocked prices.

It is indexed by TradeId, RiskFactor, RiskClass, RiskMeasure, and AsOfDate and referenced from the TradeBase store by these five fields.

Store Field Key CanBeNull Type (+Default Value - if applicable) Cube Field Description
TradeId Y String See field in referencing store (TradeBase) (e.g. “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.) – if coming from multiple systems may need to prepend source system to the id for uniqueness.
RiskFactor Y String See field in referencing store (TradeBase) The underlying risk factor (may be more than one) of the risk class. It is expected that the risk factor name encompasses the definition of the risk factor per the FRTB specification ([MAR21.3] to [MAR21.14]). This field is optional. If not provided, it must be generated from the ‘Underlying’ column.
RiskClass Y String See field in referencing store (TradeBase) Defines which risk class this file represents. Valid values are expected to be:
  • GIRR
  • CSR non-Sec
  • CSR Sec CTP
  • CSR Sec non-CTP
  • Equity
  • Commodity
  • FX
.
RiskMeasure Y String See field in referencing store (TradeBase) The risk-measure. Must be set to “Curvature”
ShiftUpPV Double[] This is a measure Valuation resulting from parallel shocks up.
ShiftDownPV Double[] This is a measure Valuation resulting from parallel shocks down.
Ccy String Scenario Currency The currency code of sensitivities
RiskWeight Double Curvature Risk Weight Optional field to allow clients to send the risk weight to apply for curvature. If the field is null, the default value (most severe Delta weight) should be applied.
PVApplied String PVApplied Boolean ‘Y’ or ‘N’ to indicate if PV has been removed from sensitivities or not. Default value = ‘N’
FXDividerEligibility String(“N”) FX Only.
PresentValue Double measure Override for the (unshocked) Present Value of the instrument
PresentValueOverridden String(“N”) Flag to indicate which PV value to use; from this store (“Y”), or from the trade attributes (“N”)
AsOfDate Y LOCALDATE[yyyy-mm-dd] See field in referencing store (TradeBase) Timestamp (at close of business) for the data.