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.
| Store Field | Key | CanBeNull | Type | Cube Field | Description |
|---|---|---|---|---|---|
| AsOfDate | Y | N | Object | AsOfDate | Indicates the date of the file. The files in this document that contain an AsOfDate column will rely on that AsOfDate when loaded into the Atoti Server datastores. For the files that do not specify this column (whether described in this document or not), the AsOfDate is taken from the directory structure â these files should reside in the appropriate folder (usually ./data/20xx-yy-zz/ ⦠/*.csv). |
| TradeKey | Y | N | String | This field is for internal usage only | The field contains the tradeID for full data or Book#VaR Inclusion for summary data. |
| TradeId | N | Y | String | TradeId | If TradeId comes from multiple systems you may need to prepend source system to the ID for uniqueness. Note that in certain cases, the TradeId could be for adjustment purposes. In such cases we might only have one PnL vector per Book or desk. The TradeId should contain this information clearly (ADDON or ADJ). Example: âIR_IRSWAP_LIBOR3Mâ, âEQ_12345677â, etc. |
| SensitivityName | Y | N | String | SensitivityName | The name of the sensitivity (cube measure). Currently only the following values are supported: - Delta - Gamma - Vega |
| RiskClass | N | N | String | RiskClass | The risk factorâs asset class: - Interest rate - Credit spread - Foreign exchange - Equity - Commodity - Hybrid |
| MarketDataSet | Y | N | String | 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. |
| RiskFactorId | Y | N | String | RiskFactor | The internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier. Example: USD_3v6_basis |
| RiskFactorId2 | Y | N | String | RiskFactor2 | Second risk factor for the Vanna sensitivity. Example: UniCredit_Spot price. This field is only present in the Vanna input file. It does not exist for Delta, Gamma, Vega, or Volga inputs. |
| TenorLabel | Y | Y | String | Tenor | The tenor label, corresponding to the vertex of the risk factor, such as 3M, 5Y, and so on. |
| TenorDate | Y | Y | Date | Tenor Date | A tenor date, which is used to sort tenors and to re-bucket sensitivities (if supported). Example: 2019-03-16. |
| MaturityLabel | Y | Y | String | Maturity | Name for the bucketed group. |
| MaturityDate | Y | Y | Date | Maturity Date | An explicit maturity date, which is used to sort tenors and to re-bucket sensitivities (if supported). Example: 2019-03-16. |
| Moneyness | Y | Y | String | Moneyness | Label corresponding to different ways of stating moneyness. Supported formats include moneyness in percent, for example 80/100/120, and delta-moneyness, for example 25p/ATM/25c. |
| Value | N | N | Double | Measure: Delta Native or Gamma Native or Vega Native or Vanna Native or Volga Native | A sensitivity value. |
| Ladder | N | Y | Double[] | Measure: Delta Ladder or Gamma Ladder or Vega Ladder or Vanna Ladder or Volga Ladder, depending on configuration. | Flattened list of values, with a subvector corresponding to each double in the Values field. Indexes correspond to the values, with an extra ladder scale dimension: for a 3-dimensional sensitivity array described as T*M*m, the ladder indexing becomes T*M*m*L. |
| Ccy | N | N | String | Ccy | The currency of the sensitivity. |
| HasLadder | N | N | String | Ladder Available | Flag set to “Y” if the Ladder field is not null. Null values are interpreted as “N”. |
| Sensi | N | Y | String | Sign-off field | The domain for the sign-off capabilities. |