The Delta Sensitivity Data is loaded from the Delta files. The following table lists the fields in the file format that is used for the CSR non-Sec risk-class. See the Delta 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 | |
| Sensitivity Currency | DeltaCcy | |
| Sensitivities | DeltaSensitivities | May be single value or vector, with the same number of entries as Tenors |
| Risk Class | RiskClass | “CSR non-Sec” |
| Sensitivity Tenor | SensitivityDates | May be single value, vector, or empty; if empty, treated as the prescribed tenors: 0.5;1;3;5;10 |
| Risk Factor Name | RiskFactor | (Optional) If not present, generated during ETL |
| Curve Type | RiskFactorType | “Bond” or “CDS” |
| Curve Name | Underlying | |
| Bucket | Bucket | 1-18 |
| Credit Quality | CSRQuality | |
| Sector | CSRSector | |
| Optionality | Optionality | Should this sensitivity be included in the Curvature calculations (‘Y’) or no (‘N’) |
| Covered Bond Rating | CSRRating | (Optional) For covered bonds, “high” for rating AA- or above; otherwise “low” |