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--
SA
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--- Key SA Measures
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---
SA DRC
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---
SA SBM
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----
Commodity
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-----
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-----
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-----
Input Files (Reference Implementation)
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------ SBM_Delta_Sensitivities*.csv
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------ SBM_Vega_Sensitivities*.csv
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------ SBM_Curvature_Sensitivities*.csv
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-----
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Glossary
SBM_Curvature_Sensitivities*.csv
The Curvature Sensitivity Data is loaded from the Curvature files.
The following table lists the fields in the file format that are used for the Commodity risk-class.
See the Curvature file format documentation for details on the file format.
See Data Model (Core) for a description of the data model.
Data Model Field
File Column
Notes
As-Of Date
AsOfDate
Trade ID
TradeID
Risk Class
RiskClass
“Commodity”
Risk Factor Name
RiskFactor
(Optional) If not present, generated during ETL.
Shock Up
Shift_Up_PV
Shock Down
Shift_Down_PV
Sensitivity Currency
CurvatureCcy
Risk Weight
RiskWeight
(Optional)
PV Applied
PV Applied
Has the Trade PV already been subtracted from the shocked PVs (‘Y’) or not (‘N’)?
Commodity
Underlying
Bucket
Bucket
1-11