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 FX 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 | |
| Risk Class | RiskClass | “FX” |
| Risk Factor Name | RiskFactor | (Optional) If not present, generated during ETL. |
| Risk Factor Currency | Underlying | |
| Couinter Currency | FXCounterCurrency | |
| Optionality | Optionality | Should this sensitivity be included in the Curvature calculations (‘Y’) or not (‘N’)? |
| FxComplexDelta | ‘Y’ to use filtering; ‘N’ to use automatic translations. | |
| FxOtherCcy | If the trade involves an FX pair, this is the other currency in the pair. | |
| FXDividerEligibility | ‘Y’ if the trade does not reference the base/reporting currency; ‘N’ if it does. |