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The netting-set analytics framework provides a set of dimensions specific to counterparty-exposure analytics. Consuming cubes select the dimensions they need and add them to their cube alongside the universal common dimensions. For the universal common dimensions (AsOfDate, Trade Attributes, Counterparties, Scenarios, Confidence Levels), see the common dimensions documentation.

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What dimensions does the framework provide?

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What is the Simulation Dates dimension?

The Simulation Dates dimension exposes one hierarchy: Time Point. Each member of this hierarchy is a future simulation date present in the SimulationDates table.
  • Hierarchy: Time Point
  • Level: Time Point (type: TIME_DAYS)
  • Source field: SimulationDates.Time Point
Filtering on a specific time point restricts all exposure measures to that single horizon. Exposure profiles are built by querying the cube across all time-point members.

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What is the Netting dimension?

The Netting dimension groups trades by their ISDA master netting agreement.
  • Hierarchy: Netting Set ID
  • Level: Netting Set ID
  • Source field: NettingAgreements.Netting Set ID
When a query is executed at the netting-set level, the cube aggregates the MtF vectors of all trades sharing that netting set ID before computing the netted exposure. The default netting set ID (N/A) represents trades without a netting agreement.

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What is the Is Included In Break Date dimension?

This is a derived dimension. It contains no direct database field. Instead, it evaluates a predicate on two other levels: Break Date (from the Netting-Analytics Trade Attributes dimension) and Time Point (from Simulation Dates).
  • Hierarchy: Included In Break Date
  • Level: Included In Break Date
  • Derivation logic: A trade is included (true) if its break date is not set, or if the current time point is before the break date.
The break-date measure variants use this level as a filter. When the cube evaluates a break-date-aware measure, it excludes trades whose break date falls before the current time point.

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What is the Collateral dimension?

The Collateral dimension drives the IndependentAmounts join. It provides two hierarchies for filtering and grouping independent-amount data.
  • Hierarchy: Independent Amount Currency / Level: Independent Amount Currency
  • Hierarchy: Independent Amount Maturity / Level: Independent Amount Maturity
  • Source fields: IndependentAmounts.IndependentAmountCurrency, IndependentAmounts.IndependentAmountMaturity
These levels are referenced by the ISpecificLevels interface in the public API. See Public API.

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What is the Netting-Analytics Trade Attributes dimension?

This dimension extends the universal Trade Attributes dimension with one framework-specific hierarchy.
  • Hierarchy: Break Date / Level: Break Date (the optional break date per trade).
  • Source field: TradeAttributes.Break Date
  • Folder: Collateral Trade Attributes