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 | ||
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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. |
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TRADE_ID | STRING | Y | ‘DATAMEMBER’ | 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. |
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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. Example: UniCredit_Spot price |
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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 |
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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 |
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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 |
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VALUES | DOUBLE | Y | 0.0 | Sensitivity value. | |||
CCY | STRING | Y | ‘N/A’ | Currencies | The currency of the sensitivity. | ||
HAS_LADDER | STRING | Y | ‘N’ | Ladder Availability | Flag set to “Y” if the Ladder field is not null. Null values are interpreted as “N”. |
Unique Key
Columns |
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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 |
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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 |
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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 |
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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. ↩︎