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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.
Column NameTypeNot NullDefault Value1Cube FieldDescription
VECTOR_INDEXINTYIndex in the ladder vector.
AS_OF_DATEDATEYTimestamp (at close of business) for the data.
TRADE_KEYSTRINGY‘N/A’The field contains the tradeID for full data or Book#VaR Inclusion for summary data.
SENSITIVITY_NAMESTRINGY‘N/A’SensitivityThe name of the sensitivity (cube measure)..
RISK_CLASSSTRINGY‘N/A’Risk ClassesRisk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”.
MARKET_DATA_SETSTRINGY‘N/A’This field is not currently usedThe 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_IDSTRINGY‘N/A’Risk FactorsInternal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier.
RISK_FACTOR_ID2STRINGY‘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 | | 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.  ↩︎