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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 CSR Sec CTP 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 “CSR Sec CTP”
Risk Measure Risk Measure “Delta”
Sensitivity Currency Ccy
Sensitivities DeltaSensitivities
Optionality Optionality ‘Y’ or ‘N’