Cross Sensitivities
Download sample file: cross-sensitivities.csv
This file is used to store the sensitivities of a trade relative across two risk factors.
For information on how the labels and dates fields are used for the pillars (tenors and maturities), please see Labels and dates for pillars.
File pattern match
The pattern match for the cross sensitivities files are:
- **VannaSensitivities*.csv
- **CrossGammaSensitivities*.csv
- **CorrelationSensitivities*.csv
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates the date of the file. See Note on AsOfDate. | |
| TradeId | Y | N | String | If TradeId comes from multiple systems you may need to prepend source system to the ID for uniqueness. Note that in certain cases, the TradeId could be for adjustment purposes. In such cases we might only have one PnL vector per Book or desk. The TradeId should contain this information clearly (ADDON or ADJ). | “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc. |
| SensitivityName | Y | N | String | Name of sensitivity (cube measure). Currently only the values “Delta”, “Gamma” and “Vega” are supported. | |
| RiskClass | N | N | String | Risk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”. | Equity |
| RiskFactorId | Y | N | String | Internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier | USD_3v6_basis |
| RiskFactorId2 | Y | N | String | Important note: This field is only present in the Vanna input file. It does not exist for Delta, Gamma, Vega, or Volga inputs. Second risk factor for the Vanna sensitivity. | UniCredit_Spot price |
| TenorLabels | N | Y | Array (delimited by semicolons) | List of tenor labels, corresponding to the vertex of the risk factor, such as 3M, 5Y, and so on. | 1Y;3Y;5Y;10Y |
| TenorDates | N | Y | Array (delimited by semicolons) | List of explicit tenor dates, which are used to sort tenors and to re-bucket sensitivities (if supported) | 2019-03-16; 2019-04-27; 2019-10-27; 2020-10-27 |
| UnderlyingMaturities | N | Y | Array (delimited by semicolons) | List of underlying maturities for volatility cubes | 0.5Y;1Y;3Y;5Y;10Y |
| MaturityDates | N | Y | Array (delimited by semicolons) | List of explicit maturity dates, which are used to sort tenors and to re-bucket sensitivities (if supported) | 2019-03-16; 2019-04-27; 2019-10-27; 2020-10-27 |
| Moneyness | N | Y | Array (delimited by semicolons) | List of labels corresponding to different ways of stating moneyness. Supported formats: - moneyness in percent - delta-moneyness |
(moneyness in percent): 80;100;120;(delta moneyness): “25p;ATM ;25c” |
| Values | N | Y | Double or list of doubles (delimited by semicolons) | Single value or list of values: - single value for a sensitivity without tenor structure/underlying maturities - list of values, corresponding to tenors, for a sensitivity with only a term structure - list of values, corresponding to tenors and underlying maturities for interest rate volatilities: For example, a sensitivity along four tenors and two underlying maturities will be published as a list of eight values, the first four corresponding to different tenors and the first underlying maturity and the second four corresponding to tenors and the second underlying maturity. If the Moneyness is a vector, then the list is interpreted as a 3-dimensional array with the TenorLabels index changing first and Moneyness changing last. Null values are interpreted as “N/A”. |
1568.2 ;4568.2 ;16.2 ;2453.1(moneyness vector) 0;0.34;1.345;24251.0;0;0;12.4;453.23 |
| Ccy | N | N | String | USD | |
| SignOffAdjustmentSource | N | Y | String | Optional input for the source of a sign-off adjustment. Only available when using the enable-signoff profile. |
|
| SignOffAdjustmentInputType | N | Y | String | Optional input for the input type of a sign-off adjustment. Only available when using the enable-signoff profile. |