The Curvature Sensitivity Data is loaded from the Curvature files. The following table lists the fields in the file format that are used for the CSR non-Sec risk-class. See the Curvature file format documentation for details on the file format. See Data Model (Core) for a description of the data model.Documentation Index
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| Data Model Field | File Column | Notes |
|---|---|---|
| As-Of Date | AsOfDate | |
| Trade ID | TradeID | |
| Risk Class | RiskClass | “CSR non-Sec” |
| Risk Factor Name | RiskFactor | (Optional) If not present, generated during ETL |
| Shock Up | Shift_Up_PV | |
| Shock Down | Shift_Down_PV | |
| Sensitivity Currency | CurvatureCcy | |
| Risk Weight | RiskWeight | (Optional) |
| PV Applied | PV Applied | Has the Trade PV already been subtracted from the shocked PVs (‘Y’) or no (‘N’) |
| Curve Name | Underlying | |
| Credit Quality | CSRQuality | |
| Sector | CSRSector | |
| Bucket | Bucket | 1-18 |