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Cube Schema (Reference Implementation)
The following table lists the levels and hierarchies in the Cube schema that are used in the CSR Sec CTP data model.
| Data Model Field |
Cube Level |
Notes |
| As-Of Date |
AsOfDate |
Slicing Hierarchy |
| Trade ID |
TradeId |
|
| Risk Class |
Risk Class |
“CSR Sec CTP” |
| Risk Measure |
Risk Measure |
“Delta”, “Vega”, “Curvature” |
| Bucket |
CSR Sec CTP Bucket |
|
| Risk Factor Name |
Risk Factor |
|
| Sensitivity Tenor / Option Maturity |
Vertex |
Analysis Hierarchy |
| Underlying Name |
Underlying |
|
| Curve Type |
Risk Factor Type |
|
| Credit Quality |
CSR Quality |
|
| Sector |
CSR Sector |
|
| Credit Quality Category |
CSR Sec CTP Rating Category |
|
| Sector Category |
CSR Sec CTP Sector Category |
|
|
|
Levels for the Delta Double Sums and Correlations |
|
|
Levels for the Vega Double Sums and Correlations |