Cross Sensitivities

Download sample file: CrossSensitivities.csv This file is used to store the sensitivities of a trade relative to two risk factors. This Cross Sensitivities file type is identified using the pattern: [**VannaSensitivities*.csv **CrossGammaSensitivities*.csv **CorrelationSensitivities*.csv] (as specified by [mr.sensi.file-patterns.vanna mr.sensi.file-patterns.cross-gamma mr.sensi.file-patterns.correlation]). This file is loaded using the [Vanna CrossGamma Correlation] topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic. For information on the glob patterns used and how to customize them, see note on File name patterns For details on the cross sensitivity calculation, see Cross sensitivity. For information on how the labels and dates fields are used for the pillars (tenors and maturities), please see Labels and dates for pillars.

Field	Key	Null	FieldType	Description	Example
AsOfDate	Y	N	String with format ‘YYYY-MM-DD’	Indicates the date of the file. See Note on AsOfDate.
TradeId	Y	N	String	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).	”IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.
SensitivityName	Y	N	String	Name of sensitivity (cube measure). Currently only the values “Delta”, “Gamma” and “Vega” are supported.
RiskClass	N	N	String	Risk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”.	Equity
MarketDataSet	Y	N	String	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.	Official EOD
RiskFactor	Y	N	String	Internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier	USD_3v6_basis
RiskFactor2	Y	N	String	Second risk factor for the cross sensitivity.	UniCredit_Spot price
TenorLabel	N	Y	String	Tenor label corresponding to the vertex of the risk factor, such as 3M, 5Y, and so on.	1Y
TenorDate	N	Y	String with format ‘YYYY-MM-DD’	Explicit tenor date which is used to sort tenors and to re-bucket sensitivities (if supported)	2019-03-16
MaturityLabel	N	Y	Array (delimited by semicolons)	Underlying maturity for volatility cubes	0.5Y
MaturityDate	N	Y	String with format ‘YYYY-MM-DD’	Explicit maturity date which is used to sort tenors and to re-bucket sensitivities (if supported)	2019-03-16
Moneyness	N	Y	String	Label corresponding to different ways of stating moneyness. Supported formats: - moneyness in percent - delta-moneyness	(moneyness in percent): 80 (delta moneyness): “25p”
Value	N	Y	Double	Single value for a sensitivity tenor/maturity/moneyness combination. Null values are interpreted as “N/A”.	1568.2
Ladder	N	Y	List of doubles (delimited by semicolons)	Flattened list of values, with a subvector corresponding to each double in the Values field. Only relevant for sensitivities configured to use first-order ladders, e.g. Delta. Indexes correspond to the values, with an extra ladder scale dimension: for a 3-dimensional sensitivity array as described above (`TMm`), the ladder indexing becomes `TMm*L`.	For a single value sensitivity, and a ladder scale of size 3:90.0;100.0;110.0For a multi-value sensitivity of size 3 and a ladder scale of size 3:90.0;100.0;110.0;85.0;100.0;115.0;110.0;115.0;120.0
Ccy	N	N	String		USD
SignOffAdjustmentSource	N	Y	String	Optional input for the source of a sign-off adjustment. Only available when using the `enable-signoff` profile.
SignOffAdjustmentInputType	N	Y	String	Optional input for the input type of a sign-off adjustment. Only available when using the `enable-signoff` profile.