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:
|
| RiskClass | N | N | String | RiskClass | The risk factor’s asset class:
|
| 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 | Date (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 | Date (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:
|
| 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:
[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. In vectorized mode, Date type fields will be typed as vectors of Strings.