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Delta

The SaSensitivities store contains the Delta sensitivities.

The following table lists the fields in the store that are used for the GIRR risk-class. See the SaSensitivities store documentation for details on the store.

Data Model Field Store Field Notes
As-Of Date AsOfDate
Trade ID TradeId
Risk Factor Name Risk Factor
Risk Class RiskClass “GIRR
Risk Measure Risk Measure “Delta”
Sensitivity Currency Ccy
Sensitivities DeltaSensitivities
Optionality Optionality ‘Y’ or ‘N’