DELTA
The DELTA table contains the Delta sensitivities.
| Column Name | Not Null | Type | Cube Field | Description |
|---|---|---|---|---|
| AS_OF_DATE | Y | DATE | See field in joined table (TRADE_BASE) | Timestamp (at close of business) for the data. |
| TRADE_ID | Y | STRING | See field in joined table (TRADE_BASE) | Database key for trade/position. |
| RISK_FACTOR | Y | STRING | See field in joined table (TRADE_BASE) | The risk factor of the sensitivity. The risk factor name is expected to encompass the definition of the risk factor per the FRTB specification ([MAR21.3] to [MAR21.14]). |
| RISK_CLASS | Y | STRING | See field in joined table (TRADE_BASE) | Defines the risk class that the delta data represents:
|
| RISK_MEASURE | Y | STRING | See field in joined table (TRADE_BASE) | The risk-measure. Must be set to “Delta” |
| DELTA_SENSITIVITIES | Y | DOUBLE | This is a measure | The delta sensitivity. |
| CCY | Y | STRING | Delta Currency | Currency of the delta sensitivity. |
| FXCOMPLEX_TRADE | STRING | FX Only. Boolean ‘Y’ or ‘N’ to indicate if the sensitivity can be converted from one reporting currency to another. | ||
| FXOTHER_CCY | STRING | FX Only. | ||
| FXDIVIDER_ELIGIBILITY | STRING | FX Only. Boolean ‘Y’ or ‘N’ to indicate if the CVR qualifies for dividing by 1.5. | ||
| OPTIONALITY | Y | STRING | 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). |
| ORIGINAL_OPTIONALITY | Y | STRING | Set to same value as OPTIONALITY |
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 |