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Sensitivity Cube

Download sample file: Sensitivity Cube.csv

This is the input file for the Sensitivity Summary Cube

This Sensitivity Cube file type is identified using the pattern: **Sensitivity Cube*.csv (as specified by mr.sensi.file-patterns.sensi-import). This file is loaded using the SensiBaseStore topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.

For information on the glob patterns used and how to customize them, see note on File name patterns

This file is loaded if these properties are defined with the following values:

Field Key Null FieldType Description Example
AsOfDate Y N String with format ‘YYYY-MM-DD’ Indicates value date. 2019-01-01
TenorLabel Y N String Name for the bucketed group, if applicable. 3Y
TenorDate Y N String with format ‘YYYY-MM-DD’ Explicit tenor date, if applicable. 2019-03-16
MaturityLabel Y N String Name for the bucketed group, if applicable. 0.5Y
MaturityDate Y N String Explicit maturity date, if applicable. 2019-03-16
Moneyness Y N String Moneyness label, if applicable. ATM
RiskClass Y N String Risk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”. Equity
MarketDataSet Y N String 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. Official EOD
RiskFactorId Y N String Underlying risk factor (may be more than one) of the risk class.
RiskFactorId2 Y N String Underlying second risk factor of the risk class.
RiskFactorType Y N String or list of strings Type of underlying risk factor. “implied rate”, “repo margin”, “currency pair”, “skew parameter”, “correlation parameter”, “recovery rate”
RiskFactorCcy Y N String Three-letter ISO currency code that represents the currency of the risk factor EUR
CurveType Y N String Only populated if the risk class is a rates curve, otherwise left blank. Specifies the type of the curve. For example, “Interest rate”, “Tenor basis” or “Inflation” EUR 3 Months
Qualifier Y N String Identifier of a risk factor’s set. Reference instrument identifier, curve identifier, vol surface identifier, etc.
Ladder Available Y N String Is a ladder scale available for this sensitivity (Y or N) N
Ccy Y N String Currency of the sensitivity value
Desk Y N String Set to “Y” to identify this node as a desk, otherwise left empty.
Book Y N String Book to map the trade to (must match the node in the Book Hierarchy).
TradeID Y N String 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). “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.
BookHierarchyLevel1 N Y String Name of the member in the first level of the Book hierarchy. There are as many fields for BookHierarchyLevel as the value of the property mr.parent-child.bookDepth (that value is named N here)
BookHierarchyLevelK N Y String Name of the member in the Kth level of the Book hierarchy. There are as many fields for BookHierarchyLevel as the value of the property mr.parent-child.bookDepth
BookHierarchyLevelNth Y N String Name of the member in the Nth level of the Book hierarchy. There are as many fields for BookHierarchyLevel as the value of the property mr.parent-child.bookDepth
Legal EntityHierarchyLevel1 N N String Name of the member in the first level of the Legal Entity hierarchy. There are as many fields for Legal EntityHierarchyLevel as the value of the property mr.parent-child.legalEntityDepth (that value is named M here)
Legal EntityHierarchyLevelK N N String Name of the member in the Kth level of the Legal Entity hierarchy. There are as many fields for Legal EntityHierarchyLevel as the value of the property mr.parent-child.legalEntityDepth (that value is named M here)
Legal EntityHierarchyLevelM Y N String Name of the member in the Mth level of the Legal Entity hierarchy. There are as many fields for Legal EntityHierarchyLevel as the value of the property mr.parent-child.legalEntityDepth (that value is named M here)
LegalEntity Y N String Legal Entity to map the trade to (must match the node in the Legal Entity Hierarchy). See Legal Entity Parent Child Input File Format.
CounterpartyName Y N String Full counterparty name. “HSBC Holdings PLC”, “European Bank for Reconstruction and Development”
CounterpartyId Y N String Counterparty identifier. Used as a foreign key when counterparty is referenced. “HSBC Group”, “EBRD”
Rating Y N String Rating of the counterparty. “AAA”, “BB”
Sector Y N String Sector of the counterparty.
CountryOfAddress Y N String Country where the counterparty is located, in the form of a unique three-letter country identifier code.
CountryOfRisk Y N String Country the risk of counterparty can be attributed to, in the form of a unique three-letter country identifier code.
CounterpartyHierarchyLevel1 N N String Name of the member in the first level of the Counterparty hierarchy. There are as many fields for Legal CounterpartyHierarchyLevel as the value of the property mr.parent-child.counterpartyDepth (that value is named L here)
CounterpartyHierarchyLevelK N N String Name of the member in the Kth level of the Counterparty hierarchy. There are as many fields for Legal CounterpartyHierarchyLevel as the value of the property mr.parent-child.counterpartyDepth (that value is named L here)
CounterpartyHierarchyLevelL Y N String Name of the member in the Lth level of the Counterparty hierarchy. There are as many fields for Legal CounterpartyHierarchyLevel as the value of the property mr.parent-child.counterpartyDepth (that value is named L here)
SensitivityName Y N String Sensitivity for which the maturity label is used
Trader Y N String Trader who performed the trade.
Sales Y N String Salesperson who performed the sale of the trade (if applicable).
TradeMaturityDate Y N String with format ‘YYYY-MM-DD’ Maturity date of the trade.
NotionalCcy Y N String Currency of the notional trade.
TradeDate Y N String with format ‘YYYY-MM-DD’ Date the trade was made.
VaR inclusion type Y N String Defines if a trade is included in the VaR by repricing (R) from the VaR-ES cube or by sensitivity (S) from the Taylor VaR formula.
InstrumentClass Y N String Highest level of instrument classification. “Equity”, “Rates”, “Forex”
InstrumentType Y N String Main instrument classification. “IRSWAP”, “Loan”, “Bond”
InstrumentSubType Y N String Sub-level of instrument classification. “XCCY-BASIS”, “Overnight”, “Gilt”
Value N Y Double Value for a sensitivity. 1568.2