TRADE_SENSITIVITIES - Atoti Hub

The TRADE_SENSITIVITIES table contains some of the attributes of the Sensitivity data. If you are using a database that does not support native vector aggregation, the LADDER field is omitted and the ladder vectors are present in the TRADE_SENSITIVITES_VECTOR table.

Column Name	Type	Not Null	Default Value¹	Cube Field	Description
AS_OF_DATE	DATE	Y			Timestamp (at close of business) for the data.
TRADE_KEY	STRING	Y	’N/A’		The field contains the `tradeID` for full data or `Book#VaR Inclusion` for summary data.
TRADE_ID	STRING	Y	’DATAMEMBER’	Trades	If TRADE_ID comes from multiple systems, you may need to prepend source system to the ID for uniqueness. In certain cases, the TRADE_ID could be for adjustment purposes. In such cases we might only have one PnL vector per Book or desk. The TRADE_ID should contain this information clearly (ADDON or ADJ). Example: “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.
SENSITIVITY_NAME	STRING	Y	’N/A’	Sensitivity	The name of the sensitivity (cube measure).
RISK_CLASS	STRING	Y	’N/A’	Risk Classes	Risk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”.
MARKET_DATA_SET	STRING	Y	’N/A’	This field is not currently used	The market data set that was used when the sensitivity was calculated. This will be used to retrieve appropriate market data values for PnL Explain and Taylor VaR computations.
RISK_FACTOR_ID	STRING	Y	’N/A’	Risk Factors	Internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier.
RISK_FACTOR_ID2	STRING	Y	’N/A’	Risk Factors Secondary	This field is only present in the Vanna input file. It does not exist for Delta, Gamma, Vega, or Volga inputs. Second risk factor for the Vanna sensitivity. Example: UniCredit_Spot price
TENOR_LABEL	STRING	Y	’N/A’	Tenors	A tenor label, corresponding to the vertex of the risk factor, such as 3M, 5Y, and so on.
TENOR_DATE	DATE	Y	’1970-01-01’		An explicit tenor date, which is used to sort tenors and to re-bucket sensitivities (if supported). Example: 2019-03-16
MATURITY_LABEL	STRING	Y	’N/A’	Maturities	Name for the bucketed group.
MATURITY_DATE	DATE	Y	’1970-01-01’		An explicit maturity date, which is used to sort tenors and to re-bucket sensitivities (if supported). Example: 2019-03-16
MONEYNESS	STRING	Y	’ATM’	Moneyness	A label corresponding to different ways of stating moneyness. Supported formats: moneyness in percent, e.g. 80;100;120; delta-moneyness,e.g. 25p;ATM ;25c
VALUE	DOUBLE	Y	0.0		Sensitivity value.
CCY	STRING	Y	’N/A’	Currencies	The currency of the sensitivity.
HAS_LADDER	STRING	Y	’N’	Ladder Availability	Flag set to “Y” if the Ladder field is not null. Null values are interpreted as “N”.
LADDER	`ARRAY<DOUBLE>`				The ladder vector for the sensitivity. This field is omitted if the database does not support native vector aggregation.

Unique Key

Columns
AS_OF_DATE
TRADE_KEY
SENSITIVITY_NAME
MARKET_DATA_SET
RISK_FACTOR_ID
RISK_FACTOR_ID2
TENOR_LABEL
TENOR_DATE
MATURITY_LABEL
MATURITY_DATE
MONEYNESS

Incoming Joins

Target Table	Source Columns	Target Columns
TRADE_SENSITIVITIES_VECTOR	AS_OF_DATE TRADE_KEY SENSITIVITY_NAME MARKET_DATA_SET RISK_FACTOR_ID RISK_FACTOR_ID2 TENOR_LABEL TENOR_DATE MATURITY_LABEL MATURITY_DATE MONEYNESS	AS_OF_DATE TRADE_KEY SENSITIVITY_NAME MARKET_DATA_SET RISK_FACTOR_ID RISK_FACTOR_ID2 TENOR_LABEL TENOR_DATE MATURITY_LABEL MATURITY_DATE MONEYNESS

Outgoing Joins

Target Table	Source Columns	Target Columns
TRADE_ATTRIBUTES	AS_OF_DATE TRADE_KEY	AS_OF_DATE TRADE_KEY
RISK_FACTORS_CATALOGUE	AS_OF_DATE RISK_FACTOR_ID	AS_OF_DATE RISK_FACTOR_ID
RISK_FACTORS_CATALOGUE	AS_OF_DATE RISK_FACTOR_ID2	AS_OF_DATE RISK_FACTOR_ID

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. ↩