Delta
The Delta store contains the Delta sensitivities.
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 the risk class that the delta data represents:
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|
| RiskMeasure | Y | String | See field in referencing store (TradeBase) | The risk-measure. Must be set to “Delta” | |
| DeltaSensitivities | Double[] | Picked up for drillthrough only, not part of cube measures | Single value or vector of delta sensitivities. | ||
| SensitivityDates | Object[] | Picked up for drillthrough only, not part of cube measures | The vector of dates that correspond to the Delta sensitivities. If dates are not provided, Delta sensitivities are assumed to map to prescribed vertices. For FX and Equity, this value should be NULL. | ||
| Ccy | String | Delta Currency | Currency of the Delta sensitivities. | ||
| DeltaSensitivities - Interpolated | Double | A measure in the cube | The vector of delta sensitivities interpolated to the prescribed values | ||
| OriginalOptionality | String(“N”) | FX Only. | |||
| FXComplexTrade | String(“Y”) | FX Only. | |||
| FXOtherCcy | String | FX Only. | |||
| FXDividerEligibility | String(“N”) | FX Only. | |||
| Optionality | String(“N”) | Delta Optionality | Indicates whether the instrument has optionality (See BCBS 457 [MAR21.2]). It is set to ‘Y’ for instruments with optionality (and hence with Vega and Curvature risk); set to ‘N’ for trades without optionality (with no Vega and Curvature risk). | ||
| AsOfDate | Y | LOCALDATE[yyyy-mm-dd] | See field in referencing store (TradeBase) | Timestamp (at close of business) for the data. |