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The TRADE_SENSITIVITIES_VECTOR table contains the ladder data used for calculations related to sensitivities. This table is created when using a database that does not support native vector aggregation. If vector aggregation is supported, the ladder vector is stored as an array in the TRADE_SENSITIVITIES table.
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 | | LADDER | DOUBLE | Y | 0.0 | | Ladder value. |

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Unique Key

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

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Outgoing Joins

Target TableSource ColumnsTarget Columns
TRADE_SENSITIVITIESAS_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
  1. 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.  ↩︎