Sensitivities
Download sample file: Sensitivities.csv
This file is used to store the sensitivities of a trade relative to a risk factor.
This Sensitivities file type is identified using the pattern: [**DeltaSensitivities*.csv **VegaSensitivities*.csv **GammaSensitivities*.csv **VolgaSensitivities*.csv **ThetaSensitivities*.csv] (as specified by [mr.sensi.file-patterns.delta mr.sensi.file-patterns.vega mr.sensi.file-patterns.gamma mr.sensi.file-patterns.volga mr.sensi.file-patterns.theta]).
This file is loaded using the [Delta Vega Gamma Volga Theta] 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
For information on how the labels and dates fields are used for the pillars (tenors and maturities), please see Labels and dates for pillars.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates the date of the file. See Note on AsOfDate. | |
| 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). | “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc. |
| SensitivityName | Y | N | String | Name of sensitivity (cube measure). | |
| RiskClass | N | N | String | Risk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”. | Equity |
| MarketDataSet | Y | N | String | The market data set that was used when the sensitivity was calculated. This will be used to retrieve appropriate market data values for PnL Explain and Taylor VaR computations. | Official EOD |
| RiskFactorId | Y | N | String | Internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier | USD_3v6_basis |
| TenorLabel | N | Y | String | Tenor label corresponding to the vertex of the risk factor, such as 3M, 5Y, and so on. | 1Y |
| TenorDate | N | Y | String with format ‘YYYY-MM-DD’ | Explicit tenor date, which is used to sort tenors and to re-bucket sensitivities (if supported) | 2019-03-16 |
| MaturityLabel | N | Y | String | Underlying maturity for volatility cubes | 0.5Y |
| MaturityDate | N | Y | String with format ‘YYYY-MM-DD’ | Explicit maturity date, which is used to sort tenors and to re-bucket sensitivities (if supported) | 2019-03-16 |
| Moneyness | N | Y | String | Label corresponding to different ways of stating moneyness. Supported formats: - moneyness in percent - delta-moneyness |
(moneyness in percent): 80 (delta moneyness): “25p” |
| Value | N | Y | Double | Single value for a sensitivity tenor/maturity/moneyness combination. Null values are interpreted as “N/A”. | 1568.2 |
| Ladder | N | Y | List of doubles (delimited by semicolons) | Flattened list of values, with a subvector corresponding to each double in the Values field. Only relevant for sensitivities configured to use first-order ladders, e.g. Delta. Indexes correspond to the values, with an extra ladder scale dimension: for a 3-dimensional sensitivity array as described above (TMm), the ladder indexing becomes TMm*L. |
For a single value sensitivity, and a ladder scale of size 3:90.0;100.0;110.0For a multi-value sensitivity of size 3 and a ladder scale of size 3:90.0;100.0;110.0;85.0;100.0;115.0;110.0;115.0;120.0 |
| Ccy | N | N | String | USD | |
| SignOffAdjustmentSource | N | Y | String | Optional input for the source of a sign-off adjustment. Only available when using the enable-signoff profile. |
|
| SignOffAdjustmentInputType | N | Y | String | Optional input for the input type of a sign-off adjustment. Only available when using the enable-signoff profile. |