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TRADE_SENSITIVITIES

The TRADE_SENSITIVITIES table contains some of the attributes of the Sensitivity data. The ladder vectors can be found in the TRADE_SENSITIVITIES_VECTOR table.

Column Name Type Not Null Default Value1 Cube Field Description
AS_OF_DATE DATE Y Timestamp (at close of business) for the data.
TRADE_KEY STRING Y ‘N/A’ The field contains the tradeID for full data or Book#VaR Inclusion for summary data.
TRADE_ID STRING Y ‘DATAMEMBER’ [Booking].[Trades] If TRADE_ID comes from multiple systems, you may need to prepend source system to the ID for uniqueness.

note

In certain cases, the TRADE_ID could be for adjustment purposes. In such cases we might only have one PnL vector per Book or desk.

The TRADE_ID should contain this information clearly (ADDON or ADJ). Example: “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.
SENSITIVITY_NAME STRING Y ‘N/A’ [Sensitivities].[Sensitivity] The name of the sensitivity (cube measure)..
RISK_CLASS STRING Y ‘N/A’ [Risk].[Risk Classes] Risk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”.
RISK_FACTOR_ID STRING Y ‘N/A’ [Risk].[Risk Factors] Internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier.
RISK_FACTOR_ID2 STRING Y ‘N/A’ [Risk].[Risk Factors Secondary]

note

This field is only present in the Vanna input file. It does not exist for Delta, Gamma, Vega, or Volga inputs.

Second risk factor for the Vanna sensitivity.
Example: UniCredit_Spot price
TENOR_LABELS STRING Y ‘N/A’ [Risk].[Tenors] The list of tenor labels, corresponding to the vertex of the risk factor, such as 3M, 5Y, and so on.
TENOR_DATES STRING Y ‘N/A’ A list of explicit tenor dates, which are used to sort tenors and to re-bucket sensitivities (if supported).
Example: 2019-03-16; 2019-04-27; 2019-10-27; 2020-10-27
MATURITY_LABELS STRING Y ‘N/A’ [Risk].[Maturities] Name for the bucketed group.
MATURITY_DATES STRING Y ‘N/A’ A list of explicit maturity dates, which are used to sort tenors and to re-bucket sensitivities (if supported).
Example: 2019-03-16; 2019-04-27; 2019-10-27; 2020-10-27
MONEYNESS STRING Y ‘ATM’ [Risk].[Moneyness] A list of labels corresponding to different ways of stating moneyness.
Supported formats:
moneyness in percent, e.g. 80;100;120;
delta-moneyness,e.g. 25p;ATM ;25c
VALUES DOUBLE Y 0.0 Sensitivity value.
CCY STRING Y ‘N/A’ [Currencies].[Currencies] The currency of the sensitivity.
HAS_LADDER STRING Y ‘N’ [Risk].[Ladder Availability] Flag set to “Y” if the Ladder field is not null. Null values are interpreted as “N”.

Unique Key

Columns
AS_OF_DATE
TRADE_KEY
SENSITIVITY_NAME
RISK_FACTOR_ID
RISK_FACTOR_ID2
TENOR_LABELS
TENOR_DATES
MATURITY_LABELS
MATURITY_DATES
MONEYNESS

Incoming Joins

Target Table Source Columns Target Columns
TRADE_SENSITIVITIES_VECTOR AS_OF_DATE
TRADE_KEY
SENSITIVITY_NAME
RISK_FACTOR_ID
RISK_FACTOR_ID2
TENOR_LABELS
TENOR_DATES
MATURITY_LABELS
MATURITY_DATES
MONEYNESS		 AS_OF_DATE
TRADE_KEY
SENSITIVITY_NAME
RISK_FACTOR_ID
RISK_FACTOR_ID2
TENOR_LABELS
TENOR_DATES
MATURITY_LABELS
MATURITY_DATES
MONEYNESS

Outgoing Joins

Target Table Source Columns Target Columns
TRADE_ATTRIBUTES AS_OF_DATE
TRADE_KEY		 AS_OF_DATE
TRADE_KEY
RISK_FACTORS_CATALOGUE AS_OF_DATE
RISK_FACTOR_ID		 AS_OF_DATE
RISK_FACTOR_ID
RISK_FACTORS_CATALOGUE AS_OF_DATE
RISK_FACTOR_ID2		 AS_OF_DATE
RISK_FACTOR_ID

  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.  ↩︎