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 byDocumentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
Use this file to discover all available pages before exploring further.
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=truemr.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 |