Risk

Hierarchy	Description
CalculationIds	Identifier of a calculation run.
CurveTypes	Specifies the type of the curve. For example, ‘Interest rate’, ‘Tenor basis’ or ‘Inflation’.
Ladder Availability	Flag for whether the input data contains sensitivity ladders.
Ladder Shifts	Ladder shifts by which sensitivity ladder input data is indexed.
Liquidity Horizons	Liquidity horizons for the simulated PL input data (if any).
Maturities	Risk Factor’s underlying instrument maturity (input data).
Maturities Secondary	Second Risk Factor’s underlying instrument maturity (input data).
Maturity Dates	Risk Factor’s underlying instrument maturity (input data), holding dates.
Moneyness	Risk Factor’s moneyness (input data).
Moneyness Secondary	Second Risk Factor’s moneyness (input data).
Percentile	Shows probability buckets for the empirical distribution measures.
Qualifiers	Identifier of a risk factor’s set. For example, Reference instrument identifier, curve identifier, vol surface identifier.
Risk Classes	List of risk classes.
Risk Factors	List of risk factors.
Risk Factors Secondary	List of secondary risk factors.
RiskFactorCurrencies	The three-letter ISO currency code that represents the currency of the risk factor. For example, EUR.
RiskFactorTypes	Type of underlying risk factor. For example, ‘implied rate’, ‘repo margin’, ‘currency pair’, ‘skew parameter’, ‘correlation parameter’, ‘recovery rate’.
Scenario Sets	Shows the name of the simulated PL set (e.g. historical, stressed).
Scenarios	List of scenario names. For historical simulations, this is often a list of historical dates.
Tenor Dates	Risk Factor’s Tenor (input data), holding dates.
Tenors	Risk Factor’s Tenor (input data).
Tenors Secondary	Second Risk Factor’s Tenor (input data).

Documentation Index

​Risk

Risk