MARKET_SHIFTS_VECTOR

The MARKET_SHIFTS_VECTOR table contains the market shifts vector for the Taylor VaR calculations and FX shifts for FX risk computation. This table is created when using a database that does support array type fields. If array type fields are available, the market shifts vector is stored as an array in the MARKET_SHIFTS table.

Column Name	Type	Not Null	Default Value1	Description
VECTOR_INDEX	INT	Y		Index in the market shift vector.
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	DOUBLE	Y		Market shift value corresponding to the index.

Unique Key

Columns
VECTOR_INDEX
AS_OF_DATE
RISK_FACTOR_ID
SCENARIO_SET
TENOR
MATURITY
MONEYNESS

Outgoing Joins

Target Table	Source Columns	Target Columns
MARKET_SHIFTS	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. ↩︎

MARKET_SHIFTS

RISK_FACTORS_CATALOGUE

⌘I

​Unique Key

​Outgoing Joins

Unique Key

Outgoing Joins