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
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)
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).