MARKET_SHIFTS

The MARKET_SHIFTS table contains some of the attributes for market shifts for the Taylor VaR calculations and FX shifts for FX risk computation. It is an isolated table and not part of any cube facts. The market shift vectors are present in the MARKET_SHIFTS_VECTOR table.

Column Name	Type	Not Null	Default Value1	Description
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.

Unique Key

Columns
AS_OF_DATE
RISK_FACTOR_ID
SCENARIO_SET
TENOR
MATURITY
MONEYNESS

Incoming Joins

Source Table	Source Columns	Target Columns
MARKET_SHIFTS_VECTOR	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 table MARKET_SHIFTS(
	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',
	primary key (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 stage MR_INPUT_RAW;
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;
copy into MARKET_SHIFTS from(
select
$1,
$2,
ifnull($3, 'N/A'),
ifnull($4, 'N/A'),
ifnull($5, 'N/A'),
ifnull($6, 'ATM')
from @MR_INPUT_RAW (pattern => './MarketShifts..csv.gz' , FILE_FORMAT => 'CSV_GZIP'));

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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.  ↩︎