Summary Sensitivity
Download sample file: SummarySensitivity.csv
This file is used to store the sensitivities relative to a risk factor at the book level.
This Summary Sensitivity file type is identified using the pattern: **SummarySensitivity*.csv (as specified by summarySensiFilePattern).
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 the date of the file. See Note on AsOfDate. | |
| Book | N | Y | String | Book to map the trade to (must match the node in the Book Hierarchy). | CM_OILGAS |
| 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 |
| RiskFactor | Y | N | String | Internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier. | USD_3v6_basis |
| RiskFactor 2 | Y | N | String | second internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier, if needed. | 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” |
| Ccy | N | N | String | Currency of the P&L value. | EUR |
| VaR inclusion type | Y | Y | String | Defines if a trade is included in the VaR by repricing (R) from the VaR-ES cube or by sensitivity (S) from the Taylor VaR formula. | |
| Adjustment Source | Y | Y | String | Sign-off adjustment source tagging. | |
| Input type | Y | Y | String | The type of input for the row (e.g Data load, User input). | |
| 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. |