The MARKET_SHIFTS table contains some of the attributes for market shifts for the Taylor VaR calculations and FX shifts for FX risk computation. It is an isolated table and not part of any cube facts. If you are using a database that does not support array type fields, the VALUES field is omitted and the market shift vectors are present in the MARKET_SHIFTS_VECTOR table.Documentation Index
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| Column Name | Type | Not Null | Default Value1 | Description |
|---|---|---|---|---|
| AS_OF_DATE | DATE | Y | Timestamp (at close of business) for the data. | |
| RISK_FACTOR_ID | STRING | Y | N/A | The internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier. |
| SCENARIO_SET | STRING | Y | N/A | Name of the set of scenarios. Example: âHistoricalâ, âStressâ. |
| TENOR | STRING | Y | N/A | Tenor label, such as 3M, 5Y, and so on, if applicable. |
| MATURITY | STRING | Y | N/A | Maturity label, such as 3M, 5Y, and so on, if applicable. |
| MONEYNESS | STRING | Y | N/A | Moneyness label, if applicable. |
| VALUES | ARRAY<DOUBLE> | Y | The market shifts vector. This field is omitted if the database does not support array types. |
Unique Key
| Columns |
|---|
| AS_OF_DATE |
| RISK_FACTOR_ID |
| SCENARIO_SET |
| TENOR |
| MATURITY |
| MONEYNESS |
Incoming Joins
| Source Table | Source Columns | Target Columns |
|---|---|---|
| MARKET_SHIFTS_VECTOR | AS_OF_DATE RISK_FACTOR_ID SCENARIO_SET TENOR MATURITY MONEYNESS | AS_OF_DATE RISK_FACTOR_ID SCENARIO_SET TENOR MATURITY MONEYNESS |
- If the default value is marked as empty, it means that the default value is ‘null’ for nullable fields, and that a value needs to be explicitly set for non-nullable fields. ↩︎