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:
|
|
| 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[] ({-1.0}) | 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. |