TRADE_SENSITIVITIES_VECTOR
The TRADE_SENSITIVITIES_VECTOR table contains the ladder data used for calculations related to sensitivities.
| Column Name | Type | Not Null | Default Value1 | Cube Field | Description | ||
|---|---|---|---|---|---|---|---|
| VECTOR_INDEX | INT | Y | Index in the ladder vector. | ||||
| 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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| 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. |
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| Second risk factor for the Vanna sensitivity. Example: UniCredit_Spot price |
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| 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 |
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| 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 |
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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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| LADDER | DOUBLE | Y | 0.0 | Ladder value. |
Unique Key
| Columns |
|---|
| VECTOR_INDEX |
| AS_OF_DATE |
| TRADE_KEY |
| SENSITIVITY_NAME |
| RISK_FACTOR_ID |
| RISK_FACTOR_ID2 |
| TENOR_LABEL |
| TENOR_DATE |
| MATURITY_LABEL |
| MATURITY_DATE |
| MONEYNESS |
Outgoing Joins
| Target Table | Source Columns | Target Columns |
|---|---|---|
| TRADE_SENSITIVITIES | 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 |
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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. ↩︎