TRADE_SENSITIVITIES_VECTOR

The TRADE_SENSITIVITIES_VECTOR table contains the ladder data used for calculations related to sensitivities.

Column Name Type Not Null Default Value1 Cube Field Description
VECTOR_INDEX INT Y Index in the ladder vector.
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.
SENSITIVITY_NAME STRING Y ‘N/A’ Sensitivity The name of the sensitivity (cube measure)..
RISK_CLASS STRING Y ‘N/A’ Risk Classes Risk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”. Risk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”.
RISK_FACTOR_ID STRING Y ‘N/A’ Risk Factors Internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier. Internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier.
RISK_FACTOR_ID2 STRING Y ‘N/A’ 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’ Tenors A tenor label, corresponding to the vertex of the risk factor, such as 3M, 5Y, and so on.
TENOR_DATES DATE Y ‘1970-01-01’ An explicit tenor date, which is used to sort tenors and to re-bucket sensitivities (if supported).
Example: 2019-03-16
MATURITY_LABELS STRING Y ‘N/A’ Maturities Name for the bucketed group.
MATURITY_DATES DATE Y ‘1970-01-01’ An explicit maturity date, which is used to sort tenors and to re-bucket sensitivities (if supported).
Example: 2019-03-16
MONEYNESS STRING Y ‘ATM’ Moneyness A label corresponding to different ways of stating moneyness.
Supported formats:
moneyness in percent, e.g. 80;100;120;
delta-moneyness,e.g. 25p;ATM ;25c
LADDER DOUBLE Y 0.0 Ladder value.

Unique Key

Columns
VECTOR_INDEX
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_SENSITIVITIES 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

  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.  ↩︎