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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
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.
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.

The TRADE_ID should contain this information clearly (ADDON or ADJ). Example: “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.
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”.
MARKET_DATA_SET STRING Y ‘N/A’ This field is not currently used 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. Internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier.
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_LABEL STRING Y ‘N/A’ Tenors A tenor label, corresponding to the vertex of the risk factor, such as 3M, 5Y, and so on.
TENOR_DATE 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_LABEL STRING Y ‘N/A’ Maturities Name for the bucketed group.
MATURITY_DATE 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
VALUE 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
AS_OF_DATE
TRADE_KEY
SENSITIVITY_NAME
MARKET_DATA_SET
RISK_FACTOR_ID
RISK_FACTOR_ID2
TENOR_LABEL
TENOR_DATE
MATURITY_LABEL
MATURITY_DATE
MONEYNESS

Incoming Joins

Target Table Source Columns Target Columns
TRADE_SENSITIVITIES_VECTOR AS_OF_DATE
TRADE_KEY
SENSITIVITY_NAME
MARKET_DATA_SET
RISK_FACTOR_ID
RISK_FACTOR_ID2
TENOR_LABEL
TENOR_DATE
MATURITY_LABEL
MATURITY_DATE
MONEYNESS		 AS_OF_DATE
TRADE_KEY
SENSITIVITY_NAME
MARKET_DATA_SET
RISK_FACTOR_ID
RISK_FACTOR_ID2
TENOR_LABEL
TENOR_DATE
MATURITY_LABEL
MATURITY_DATE
MONEYNESS

Outgoing Joins

Target Table Source Columns Target Columns
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

  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.  ↩︎