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TradeSensitivities

Store Field Key CanBeNull Type Cube Field Description
AsOfDate Y N Object AsOfDate Indicates the date of the file. The files in this document that contain an AsOfDate column will rely on that AsOfDate when loaded into the Atoti Server datastores. For the files that do not specify this column (whether described in this document or not), the AsOfDate is taken from the directory structure – these files should reside in the appropriate folder (usually ./data/20xx-yy-zz/ … /*.csv).
TradeKey Y N String This field is for internal usage only The field contains the tradeID for full data or Book#VaR Inclusion for summary data.
TradeId N Y String TradeId 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).

Example: “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.
SensitivityName Y N String SensitivityName The name of the sensitivity (cube measure). Currently only the following values are supported:
  • Delta
  • Gamma
  • Vega
RiskClass N N String RiskClass The risk factor’s asset class:
  • Interest rate
  • Credit spread
  • Foreign exchange
  • Equity
  • Commodity
  • Hybrid
RiskFactorId Y N String RiskFactor The internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier.

Example: USD_3v6_basis
RiskFactorId2 Y N String [RiskFactor2]

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
TenorLabels Y Y String (1) Tenor The list of tenor labels, corresponding to the vertex of the risk factor, such as 3M, 5Y, and so on.
TenorDates Y Y String (1) Scalar sensitivities only: Tenor Date 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
MaturityLabels Y Y String (1) Maturity Name for the bucketed group.
MaturityDates Y Y String (1) Scalar sensitivities only: Maturity Date 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 Y Y String (1) 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 N N Double (1) Measure: [Delta Native] or [Gamma Native] or [Vega Native] or [Vanna Native] or [Volga Native] Single value or list of values:
  • single value for a sensitivity without tenor structure/underlying maturities
  • list of values, corresponding to tenors, for a sensitivity with only a term structure
  • list of values, corresponding to tenors and underlying maturities for interest rate volatilities: For example, a sensitivity along four tenors and two underlying maturities will be published as a list of eight values.
For a multi-dimensional array (with any number of dimensions), the indexing is in reverse order of dimensions; given four tenors, two maturities and three moneyness values (T*M*m), the index coordinates are:
[T0M0m0, T0M0m1, …, T2M0m2, T2M1m0, …, T3M1m2].

Null values are interpreted as “N/A”.
Ladder N Y Double[] Measure: [Delta Ladder] or [Gamma Ladder] or [Vega Ladder] or [Vanna Ladder] or [Volga Ladder] depending on configuration. Flattened list of values, with a subvector corresponding to each double in the Values field.

Indexes correspond to the values, with an extra ladder scale dimension: for a 3-dimensional sensitivity array as described above (T*M*m), the ladder indexing becomes T*M*m*L.
Ccy N N String Ccy The currency of the sensitivity.
HasLadder N N String Ladder Available Flag set to “Y” if the Ladder field is not null. Null values are interpreted as “N”.
Sensi N Y String Sign-off field The domain for the sign-off capabilities.

(1) In vectorized mode, these fields are typed as vector, and are not primary keys. In scalar mode, the input lines are de-multiplexed to provide one entry per sensitivity.