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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 Equity data model.
Data Model Field |
Cube Level |
Notes |
As-Of Date |
AsOfDate |
Slicing Hierarchy |
Trade ID |
TradeId |
|
Risk Class |
Risk Class |
“Equity” |
Risk Measure |
Risk Measure |
“Delta”, “Vega”, “Curvature” |
Bucket |
Equity Bucket |
1-13 |
Risk Factor Name |
Risk Factor |
|
Option Maturity |
Vertex |
Analysis Hierarchy |
Equity Name |
Underlying |
See Interpretation Note |
Type |
Risk Factor Type |
“Spot” or “Repo” |
Economy |
Equity Issuer Economy |
“Advanced economy” or “Emerging economy” |
Market Cap |
Equity Market Cap |
“Large” or “Small” |
Sector |
Equity Sector |
|
|
|
Levels for the Delta Double Sums and Correlations |
|
|
Levels for the Vega Double Sums and Correlations |