UnderlyingDescription
The UnderlyingDescription store contains the description of the principal component of the risk-factors.
It is indexed by Underlying, RiskClass, and AsOfDate and referenced from the RiskFactorDescription store by these three fields.
The fields used in this store, and their purpose, depends on the risk-class. See the Implementation and Interpretation Guide for details on each risk-class.
Each row in the store will describe one of the following depending on the risk class:
| Risk Class | Underlying |
|---|---|
| (link to risk-class specific use of this store) | (link to risk-class specific data model) |
| GIRR | yield, inflation, or cross-currency basis curve |
| FX | FX rate |
| Equity | equity or equity issuer |
| CSR non-Sec | relevant issuer credit spread curve |
| CSR Sec non-CTP | tranche credit spread curves |
| CSR Sec CTP | underlying credit spread curves |
| Commodity | distinct commodity |
| Store Field | Key | CanBeNull | Type | Cube Field | Description |
|---|---|---|---|---|---|
| Underlying | Y | String | [Market Data].[Underlying] | The primary component of the risk factor. | |
| RiskClass | Y | String | See field in referencing store (RiskFactorDescription) | The risk-class (“GIRR”, “CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”, “Equity”, “Commodity”, “FX”) | |
| Bucket | Y | String | [Buckets].[SBM Buckets] | The Bucket the Underlying belongs to. | |
| GIRR Curve Type | Y | String | [Market Data].[GIRR Curve Types] | GIRR Delta and Vega only. The Curve type (“Yield”, “Basis”, or “Inflation”) | |
| GIRR Ccy | Y | String | [Risk].[Currencies] | GIRR only. The currency of the curve. This is also the Bucket. | |
| CSRQuality | Y | String | [Market Data].[CSR Quality] | CSR only. The credit quality of the curve (“Senior IG”, IG", “HY”, or “NR”) | |
| CSRSector | Y | String | [Market Data].[CSR Sector] | CSR only. The relevant sector of the curve | |
| CSRRating | Y | String | [[Market Data].[CSR Rating] | CSR non-Sec only. “high” for AA- and above covered bonds. | |
| EquityMarketCap | Y | String | [Market Data].[Equity Market Cap] | Equity only. The equity issuer market cap (“Large”, “Small”, “Other”) | |
| EquityEconomy | Y | String | [Market Data].[Equity Issuer Economy] | Equity only. The equity issuer economy (“Emerging”, “Advanced”, “Other”) | |
| EquitySector | Y | String | [Market Data].[Equity Sector] | Equity only. The equity issuer sector. | |
| UnderlyingFXOriginalCcy | Y | String | FX Original Bucket (This is an internal field) | ||
| AsOfDate | Y | LOCALDATE[yyyy-mm-dd] | See field in referencing store (TradeBase) | Timestamp (at close of business) for the data. |
References to bucket description stores:
| Risk Class | Fields Used in Reference | Bucket Store |
|---|---|---|
| Equity | AsOfDate, Bucket, RiskClass | EquityBucketDesc |
| CSR non-Sec, CSR Sec non-CTP, CSR Sec CTP | AsOfDate, Bucket, RiskClass | CSRBucketDesc |