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 Sec non-CTP 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
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
Use this file to discover all available pages before exploring further.
| 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 Sec non-CTP” |
| 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” |
| Tranche Name | Underlying | |
| Bucket | Bucket | 1-25 |
| Credit Quality | CSRQuality | |
| Sector | CSRSector | |
| Optionality | Optionality | Should this sensitivity be included in the Curvature calculations (‘Y’) or not (‘N’)? |
| Pool | Pool | |
| Attachment | Attachment | 0.0 - 1.0 |
| Detachment | Detachment | 0.0 - 1.0 |