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CURVATURE

The CURVATURE table contains the Curvature shocked prices.

Column Name Type Not Null Cube Field Description
AS_OF_DATE DATE Y See field in joined table (TRADE_BASE) Timestamp (at close of business) for the data.
TRADE_ID STRING Y See field in joined table (TRADE_BASE) Database key for trade/position.
RISK_FACTOR STRING Y See field in joined table (TRADE_BASE) The underlying risk factor (may be more than one) of the risk class. The risk factor name is expected to encompass 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.
RISK_CLASS STRING Y See field in joined table (TRADE_BASE) Defines which risk class this file represents. Valid values are:
  • GIRR
  • CSR non-Sec
  • CSR Sec CTP
  • CSR Sec non-CTP
  • Equity
  • Commodity
  • FX
.
RISK_MEASURE STRING Y See field in joined table (TRADE_BASE) The risk-measure. Must be set to “Curvature”
SHIFT_UP_PV DOUBLE Y This is a measure Valuation resulting from parallel shocks up.
SHIFT_DOWN_PV DOUBLE Y This is a measure Valuation resulting from parallel shocks down.
PVAPPLIED STRING Y Boolean ‘Y’ or ‘N’ to indicate if PV has been removed from sensitivities or not.
CCY STRING Y PV Currency The currency code of sensitivities.
RISK_WEIGHT STRING Placeholder field. Currently unused.
FXDIVIDER_ELIGIBILITY STRING FX Only. Boolean ‘Y’ or ‘N’ to indicate if the CVR qualifies for dividing by 1.5.
PRESENT_VALUE DOUBLE This is a measure The (unshocked) Present Value of the instrument.
PRESENT_VALUE_OVERRIDDEN STRING Flag to indicate which PV value to use; from this table (“Y”), or from SATRADE_DESCRIPTION (“N”)

Unique Key

Columns
AS_OF_DATE
TRADE_ID
RISK_FACTOR
RISK_CLASS
RISK_MEASURE

Incoming Joins

Source Table Source Columns Target Columns
TRADE_BASE AS_OF_DATE
TRADE_ID
RISK_FACTOR
RISK_CLASS
RISK_MEASURE		 AS_OF_DATE
TRADE_ID
RISK_FACTOR
RISK_CLASS
RISK_MEASURE