MARKET_SHIFTS_VECTOR

The MARKET_SHIFTS_VECTOR table contains the market shifts vector for the Taylor VaR calculations and FX shifts for FX risk computation.

Column Name	Type	Not Null	Default Value1	Description
VECTOR_INDEX	INT	Y		Index in the market shift vector.
AS_OF_DATE	DATE	Y		Timestamp (at close of business) for the data.
RISK_FACTOR_ID	STRING	Y	N/A	The internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier.
SCENARIO_SET	STRING	Y	N/A	Name of the set of scenarios. Example: “Historical”, “Stress”.
TENOR	STRING	Y	N/A	Tenor label, such as 3M, 5Y, and so on, if applicable.
MATURITY	STRING	Y	N/A	Maturity label, such as 3M, 5Y, and so on, if applicable.
MONEYNESS	STRING	Y	N/A	Moneyness label, if applicable.
VALUES	DOUBLE	Y		Market shift value corresponding to the index.

Unique Key

Columns
VECTOR_INDEX
AS_OF_DATE
RISK_FACTOR_ID
SCENARIO_SET
TENOR
MATURITY
MONEYNESS

Outgoing Joins

Target Table	Source Columns	Target Columns
MARKET_SHIFTS	AS_OF_DATE RISK_FACTOR_ID SCENARIO_SET TENOR MATURITY MONEYNESS	AS_OF_DATE RISK_FACTOR_ID SCENARIO_SET TENOR MATURITY MONEYNESS

Table creation script

Snowflake

Table creation

create OR REPLACE stage MR_INPUT_RAW;
create OR REPLACE table MARKET_SHIFTS_VECTOR(
VECTOR_INDEX INT NOT NULL,
AS_OF_DATE DATE NOT NULL,
RISK_FACTOR_ID STRING NOT NULL DEFAULT 'N/A',
SCENARIO_SET STRING NOT NULL DEFAULT 'N/A',
TENOR STRING NOT NULL DEFAULT 'N/A',
MATURITY STRING NOT NULL DEFAULT 'N/A',
MONEYNESS STRING NOT NULL DEFAULT 'N/A',
"VALUES" DOUBLE NOT NULL,
primary key (VECTOR_INDEX, AS_OF_DATE, RISK_FACTOR_ID, SCENARIO_SET, TENOR, MATURITY, MONEYNESS)
);

Table population from files (optional)

If you want to populate the table from CSV files, you can run the following scripts (this example assumes that you want to load the files MarketShifts.csv present in the folders 2023-09-26, 2023-09-27 and 2023-09-28):

create OR REPLACE file format CSV_GZIP
	TYPE = CSV
    COMPRESSION = GZIP
    SKIP_HEADER = 1
    comment = 'File format to import MR data';
create OR REPLACE file format CSV_FORMAT
TYPE = CSV
COMPRESSION = AUTO
SKIP_HEADER = 1
comment = 'File format to import MR data';
PUT file://<full path to you data folder>/2023-09-26/MarketShifts.csv @MR_INPUT_RAW/2023-09-26;
PUT file://<full path to you data folder>/2023-09-27/MarketShifts.csv @MR_INPUT_RAW/2023-09-27;
PUT file://<full path to you data folder>/2023-09-28/MarketShifts.csv @MR_INPUT_RAW/2023-09-28;
insert into MARKET_SHIFTS_VECTOR
select
v.index,
d.$1,
d.$2,
ifnull(d.$3, 'N/A'),
ifnull(d.$4, 'N/A'),
ifnull(d.$5, 'N/A'),

ifnull(d.$6, 'ATM'),
to_double(v.value)
from
(select $1, $2, $3, $4, $5, $6, $7 from @MR_INPUT_RAW (pattern => './MarketShifts..csv.gz' , FILE_FORMAT => 'CSV_GZIP')) d,
lateral flatten(input => STRTOK_TO_ARRAY(d.$7,';'));

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1. If the default value is marked as empty, it means that the default value is 'null' for nullable fields, and that a value needs to be explicitly set for non-nullable fields.  ↩︎