Sensitivity Cube
Download sample file: Sensitivity Cube.csv
This is the input file for the Sensitivity Summary Cube
This Sensitivity Cube file type is identified using the pattern: **Sensitivity Cube*.csv (as specified by sensiImportFilePattern).
This file is loaded using the SensiBaseStore 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
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates value date. | 2019-01-01 |
| RiskClass | N | N | String | Risk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”. | Equity |
| RiskFactor | N | N | String | Underlying risk factor (may be more than one) of the risk class.It is expected that the risk factor name encompasses the definition of the risk factor per the FRTB specification (paragraphs 59-66) or remains as close as possible to this regulation. This field is mandatory. | |
| RiskFactor2 | N | N | String | Underlying second risk factor of the risk class.It is expected that the risk factor name encompasses the definition of the risk factor per the FRTB specification (paragraphs 59-66) or remains as close as possible to this regulation. | |
| Ladder Available | N | N | String | Is a ladder scale available for this sensitivity (Y or N) | N |
| RiskFactorType | N | Y | String or list of strings | Type of underlying risk factor. | “implied rate”, “repo margin”, “currency pair”, “skew parameter”, “correlation parameter”, “recovery rate” |
| RiskFactorCcy | N | Y | String | Three-letter ISO currency code that represents the currency of the risk factor | EUR |
| CurveType | N | Y | String | Only populated if the risk class is a rates curve, otherwise left blank. Specifies the type of the curve. For example, “Interest rate”, “Tenor basis” or “Inflation” | EUR 3 Months |
| Qualifier | N | Y | String | Identifier of a risk factor’s set. | Reference instrument identifier, curve identifier, vol surface identifier, etc. |
| Ccy | N | N | String | Currency of the sensi value | |
| Desk | N | Y | String | Set to “Y” to identify this node as a desk, otherwise left empty. | |
| Book | N | Y | String | Book to map the trade to (must match the node in the Book Hierarchy). | |
| 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. |