UnderlyingDescriptionOverrides
The UnderlyingDescriptionOverrides store contains alternative descriptions of the SBM underlyings. See UnderlyingDescription store.
It is an isolated store indexed by Underlying, RiskClass, ParameterSet, and AsOfDate.
| Store Field | Key | CanBeNull | Type | Description |
|---|---|---|---|---|
| Underlying | Y | String | The primary component of the risk factor. | |
| RiskClass | Y | String | The risk-class (“CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”, “Equity”, “Commodity”) | |
| ParameterSet | Y | String | The Parameter Set for which the overrides apply. | |
| Bucket | Y | String | The Bucket the Underlying belongs to. Replaces Bucket in the UnderlyingDescription store. |
|
| CSRQuality | Y | String | CSR only. The credit quality of the curve (“Senior IG”, IG", “HY”, or “NR”). Replaces CSRQuality in the UnderlyingDescription store. |
|
| CSRSector | Y | String | CSR only. The relevant sector of the curve. Replaces Bucket in the UnderlyingDescription store. |
|
| CSRRating | Y | String | CSR non-Sec only. “high” for AA- and above covered bonds. Replaces CSRSector in the UnderlyingDescription store. |
|
| EquityMarketCap | Y | String | Equity only. The equity issuer market cap (“Large”, “Small”, “Other”). Replaces EquityMarketCap in the UnderlyingDescription store. |
|
| EquityEconomy | Y | String | Equity only. The equity issuer economy (“Emerging”, “Advanced”, “Other”). Replaces EquityEconomy in the UnderlyingDescription store. |
|
| EquitySector | Y | String | Equity only. The equity issuer sector. Replaces EquitySector in the UnderlyingDescription store. |
|
| Pool | Y | String | CSR Sec non-CTP only. Underlying pool for the tranche. Replaces Pool in the UnderlyingDescription store. |
|
| Attachment | Y | Double | CSR Sec non-CTP only. Attachment point for the tranche. Replaces Attachment in the UnderlyingDescription store. |
|
| Detachment | Y | Double | CSR Sec non-CTP only. Detachment point for the tranche. Replaces Detachment in the UnderlyingDescription store. |
|
| AsOfDate | Y | Date[yyyy-mm-dd] | Timestamp (at close of business) for the data. |