Cube schema (reference implementation)

The following table lists the levels and hierarchies in the Cube schema that are used in the GIRR data model.

Data Model Field	Cube Level	Notes
As-Of Date	AsOfDate	Slicing Hierarchy
Trade ID	TradeId
Risk Class	Risk Class	”GIRR”
Risk Measure	Risk Measure	”Delta”, “Vega”, “Curvature”
Bucket	GIRR Bucket
Risk Factor Name	Risk Factor
Sensitivity Tenor / Option Maturity	Vertex	Analysis Hierarchy
Underlying Maturity	Maturity	Analysis Hierarchy
Curve Name	Underlying
Curve Type	GIRR Curve Type
Curve Currency	GIRR Currency

The schema also includes levels for the Delta Double Sums and Correlations, and levels for the Vega Double Sums and Correlations.