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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
MarketDataSet Y N String 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.
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
TenorLabel Y Y String Tenor The tenor label, corresponding to the vertex of the risk factor, such as 3M, 5Y, and so on.
TenorDate Y Y Date Tenor Date A tenor date, which is used to sort tenors and to re-bucket sensitivities (if supported).

Example: 2019-03-16
MaturityLabel Y Y String Maturity Name for the bucketed group.
MaturityDate Y Y Date Maturity Date An explicit maturity date, which is used to sort tenors and to re-bucket sensitivities (if supported).

Example: 2019-03-16
Moneyness Y Y String 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 N N Double Measure: [Delta Native] or [Gamma Native] or [Vega Native] or [Vanna Native] or [Volga Native] A sensitivity value.
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.