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.Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
Use this file to discover all available pages before exploring further.
| Column Name | Type | Not Null | Default Value[1] | 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. The TRADE_ID should contain this information clearly (ADDON or ADJ). Example: âIR_IRSWAP_LIBOR3Mâ, âEQ_12345677â, etc. |
| SENSITIVITY_NAME | STRING | Y | ‘N/A’ | Sensitivity | The name of the sensitivity (cube measure). |
| RISK_CLASS | STRING | Y | ‘N/A’ | Risk Classes | Risk factorâs asset class: âInterest rateâ, âCredit spreadâ, âForeign exchangeâ, âEquityâ, âCommodityâ, âHybridâ. |
| 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 | 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. ↩︎