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.Documentation Index
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| 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. ↩︎