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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:
  • GIRR
  • CSR non-Sec
  • CSR Sec CTP
  • CSR Sec non-CTP
  • Equity
  • Commodity
  • FX
RiskMeasure Y String See field in referencing store (TradeBase) The risk-measure. Must be set to “Delta”
Ccy String Delta Currency Currency of the Delta sensitivities.
DeltaSensitivities Double A measure in the cube The delta sensitivity
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.