Sensitivity Cube - Atoti Hub

Download sample file: Sensitivity_Cube.csv This is the input file for the Sensitivity Summary Cube This Sensitivity Cube file type is identified using the pattern: **Sensitivity Cube*.csv (as specified by mr.sensi.file-patterns.sensi-import). This file is loaded using the SensiBaseStore 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 This file is loaded if these properties are defined with the following values:

mr.enable.cubes.sensi-summary=true
mr.enable.data-model.aggregated=false

Field	Key	Null	FieldType	Description	Example
AsOfDate	Y	N	String with format ‘YYYY-MM-DD’	Indicates value date.	2019-01-01
TenorLabel	Y	N	String	Name for the bucketed group, if applicable.	3Y
TenorDate	Y	N	String with format ‘YYYY-MM-DD’	Explicit tenor date, if applicable.	2019-03-16
MaturityLabel	Y	N	String	Name for the bucketed group, if applicable.	0.5Y
MaturityDate	Y	N	String	Explicit maturity date, if applicable.	2019-03-16
Moneyness	Y	N	String	Moneyness label, if applicable.	ATM
RiskClass	Y	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
RiskFactorId	Y	N	String	Underlying risk factor (may be more than one) of the risk class.
RiskFactorId2	Y	N	String	Underlying second risk factor of the risk class.
RiskFactorType	Y	N	String or list of strings	Type of underlying risk factor.	”implied rate”, “repo margin”, “currency pair”, “skew parameter”, “correlation parameter”, “recovery rate”
RiskFactorCcy	Y	N	String	Three-letter ISO currency code that represents the currency of the risk factor	EUR
CurveType	Y	N	String	Only populated if the risk class is a rates curve, otherwise left blank. Specifies the type of the curve. For example, “Interest rate”, “Tenor basis” or “Inflation”	EUR 3 Months
Qualifier	Y	N	String	Identifier of a risk factor’s set.	Reference instrument identifier, curve identifier, vol surface identifier, etc.
Ladder Available	Y	N	String	Is a ladder scale available for this sensitivity (Y or N)	N
Ccy	Y	N	String	Currency of the sensitivity value
Desk	Y	N	String	Set to “Y” to identify this node as a desk, otherwise left empty.
Book	Y	N	String	Book to map the trade to (must match the node in the Book Hierarchy).
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.
BookHierarchyLevel1	N	Y	String	Name of the member in the first level of the Book hierarchy. There are as many fields for BookHierarchyLevel as the value of the property `mr.parent-child.bookDepth` (that value is named N here)
BookHierarchyLevelK	N	Y	String	Name of the member in the Kth level of the Book hierarchy. There are as many fields for BookHierarchyLevel as the value of the property `mr.parent-child.bookDepth`
BookHierarchyLevelNth	Y	N	String	Name of the member in the Nth level of the Book hierarchy. There are as many fields for BookHierarchyLevel as the value of the property `mr.parent-child.bookDepth`
Legal EntityHierarchyLevel1	N	N	String	Name of the member in the first level of the Legal Entity hierarchy. There are as many fields for Legal EntityHierarchyLevel as the value of the property `mr.parent-child.legalEntityDepth` (that value is named M here)
Legal EntityHierarchyLevelK	N	N	String	Name of the member in the Kth level of the Legal Entity hierarchy. There are as many fields for Legal EntityHierarchyLevel as the value of the property `mr.parent-child.legalEntityDepth` (that value is named M here)
Legal EntityHierarchyLevelM	Y	N	String	Name of the member in the Mth level of the Legal Entity hierarchy. There are as many fields for Legal EntityHierarchyLevel as the value of the property `mr.parent-child.legalEntityDepth` (that value is named M here)
LegalEntity	Y	N	String	Legal Entity to map the trade to (must match the node in the Legal Entity Hierarchy). See Legal Entity Parent Child Input File Format.
CounterpartyName	Y	N	String	Full counterparty name.	”HSBC Holdings PLC”, “European Bank for Reconstruction and Development”
CounterpartyId	Y	N	String	Counterparty identifier. Used as a foreign key when counterparty is referenced.	”HSBC Group”, “EBRD”
Rating	Y	N	String	Rating of the counterparty.	”AAA”, “BB”
Sector	Y	N	String	Sector of the counterparty.
CountryOfAddress	Y	N	String	Country where the counterparty is located, in the form of a unique three-letter country identifier code.
CountryOfRisk	Y	N	String	Country the risk of counterparty can be attributed to, in the form of a unique three-letter country identifier code.
CounterpartyHierarchyLevel1	N	N	String	Name of the member in the first level of the Counterparty hierarchy. There are as many fields for Legal CounterpartyHierarchyLevel as the value of the property `mr.parent-child.counterpartyDepth` (that value is named L here)
CounterpartyHierarchyLevelK	N	N	String	Name of the member in the Kth level of the Counterparty hierarchy. There are as many fields for Legal CounterpartyHierarchyLevel as the value of the property `mr.parent-child.counterpartyDepth` (that value is named L here)
CounterpartyHierarchyLevelL	Y	N	String	Name of the member in the Lth level of the Counterparty hierarchy. There are as many fields for Legal CounterpartyHierarchyLevel as the value of the property `mr.parent-child.counterpartyDepth` (that value is named L here)
SensitivityName	Y	N	String	Sensitivity for which the maturity label is used
Trader	Y	N	String	Trader who performed the trade.
Sales	Y	N	String	Salesperson who performed the sale of the trade (if applicable).
TradeMaturityDate	Y	N	String with format ‘YYYY-MM-DD’	Maturity date of the trade.
NotionalCcy	Y	N	String	Currency of the notional trade.
TradeDate	Y	N	String with format ‘YYYY-MM-DD’	Date the trade was made.
VaR inclusion type	Y	N	String	Defines if a trade is included in the VaR by repricing (R) from the VaR-ES cube or by sensitivity (S) from the Taylor VaR formula.
InstrumentClass	Y	N	String	Highest level of instrument classification.	”Equity”, “Rates”, “Forex”
InstrumentType	Y	N	String	Main instrument classification.	”IRSWAP”, “Loan”, “Bond”
InstrumentSubType	Y	N	String	Sub-level of instrument classification.	”XCCY-BASIS”, “Overnight”, “Gilt”
Value	N	Y	Double	Value for a sensitivity.	1568.2