ES_SCENARIO_FX_RATES - Atoti Hub

The ES_SCENARIO_FX_RATES table contains vector fields. In databases that do not natively support vectors, the vector fields are stored as separate columns.

ES_SCENARIO_FX_RATES Table Fields

Non-Native Vector Support
Native Vector Support

Column Name	Type	Not Null	Cube Field	Description
DATA_SET	STRING	Y		The data set to which the entry belongs. The following different values are possible:“Full Set Current”: data for the last 12 months, “Reduced Set Stressed”: data with the reduced set of risk factors for the 12-month stress period, “Reduced Set Current”: data with the reduced set of risk factors for the last 12 months
RISK_CLASS	STRING	Y		The risk class, which will be one of the following:GIRR, CSR, Equity, Commodity, FX, allin
LIQUIDITY_HORIZON	INTEGER	Y		The Liquidity Horizon in days: 10, 20, 40, 60 or 120
BASE_CCY	STRING	Y		The left side of the currency pair
COUNTER_CCY	STRING	Y		The right side of the currency pair
AS_OF_DATE	DATE	Y		Timestamp (at close of business) for the data

Column Name	Type	Not Null	Cube Field	Description
DATA_SET	STRING	Y		The data set to which the entry belongs. The following different values are possible:“Full Set Current”: data for the last 12 months, “Reduced Set Stressed”: data with the reduced set of risk factors for the 12-month stress period, “Reduced Set Current”: data with the reduced set of risk factors for the last 12 months
RISK_CLASS	STRING	Y		The risk class, which will be one of the following:GIRR, CSR, Equity, Commodity, FX, allin
LIQUIDITY_HORIZON	INTEGER	Y		The Liquidity Horizon in days: 10, 20, 40, 60 or 120
BASE_CCY	STRING	Y		The left side of the currency pair
COUNTER_CCY	STRING	Y		The right side of the currency pair
FX_RATE	ARRAY(DOUBLE)	Y		The vector of FX rates between the two currencies. The vector is indexed by the same scenarios as the corresponding IMA ES PV vector.
AS_OF_DATE	DATE	Y		Timestamp (at close of business) for the data

ES_SCENARIO_FX_RATES Unique Key

Non-Native Vector Support
Native Vector Support

Columns
VECTOR_INDEX
DATA_SET
RISK_CLASS
LIQUIDITY_HORIZON
BASE_CCY
COUNTER_CCY
AS_OF_DATE

Outgoing Joins

Non-Native Vector Support
Native Vector Support

Target Table	Source Columns	Target Columns
ES_SCENARIO_FX_RATES_VECTOR	DATA_SET RISK_CLASS LIQUIDITY_HORIZON BASE_CCY COUNTER_CCY AS_OF_DATE	DATA_SET RISK_CLASS LIQUIDITY_HORIZON BASE_CCY COUNTER_CCY AS_OF_DATE

Internal models approach database definition

IMARISK_FACTORS

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