Sensitivities
Download sample file: Sensitivities.csv
This file is used to store the sensitivities of a trade relative to a risk factor.
This Sensitivities file type is identified using the pattern: [**DeltaSensitivities*.csv **VegaSensitivities*.csv **GammaSensitivities*.csv **VolgaSensitivities*.csv **CashSensitivities*.csv **ThetaSensitivities*.csv] (as specified by [sensiDeltaFilePattern sensiVegaFilePattern sensiGammaFilePattern sensiVolgaFilePattern sensiCashFilePattern sensiThetaFilePattern]).
This file is loaded using the [Delta Vega Gamma Volga Theta Cash] topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
For information on the glob patterns used and how to customize them, see note on File name patterns
For information on how the labels and dates fields are used for the pillars (tenors and maturities), please see Labels and dates for pillars.
| 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 |
| 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. For a multi-dimensional array (with any number of dimensions), the indexing is in reverse order of dimensions; given four tenors, two maturities and three moneyness values (TMm), the index coordinates are:[T0M0m0, T0M0m1, …, T2M0m2, T2M1m0, …, T3M1m2]. 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 |
| FirstOrderLadder | N | Y | List of doubles (delimited by semicolons) | Flattened list of values, with a subvector corresponding to each double in the Values field. Only relevant for sensitivities configured to use first-order ladders, e.g. Delta. Indexes correspond to the values, with an extra ladder scale dimension: for a 3-dimensional sensitivity array as described above (TMm), the ladder indexing becomes TMm*L. |
For a single value sensitivity, and a ladder scale of size 3:90.0;100.0;110.0For a multi-value sensitivity of size 3 and a ladder scale of size 3:90.0;100.0;110.0;85.0;100.0;115.0;110.0;115.0;120.0 |
| SecondOrderLadder | N | Y | List of doubles (delimited by semicolons) | See FirstOrderLadder field above. Only relevant for sensitivities configured to use second-order ladders, e.g. Gamma. |
See FirstOrderLadder example above. |
| 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. |