Market risk portfolio table. More...
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Market risk portfolio table.
PK | Variable | Type | Required? | Relationships | Label | Description |
---|---|---|---|---|---|---|
![]() | REPORTING_DT | NUMERIC(8) | Y | Reporting Date | SAS Date value | |
![]() | ENTITY_ID | VARCHAR(64) | N | entity.sas | Entity Identifier | |
![]() | INSTID | VARCHAR(64) | Y | Instrument Identifier | Unique identifier for an instrument/transaction/account. The name of this column is required to be INSTID by SAS HP Risk. | |
INSTTYPE | VARCHAR(32) | N | Instrument Type | |||
NETTINGSETID | VARCHAR(32) | N | Netting Set Id | |||
COUNTERPARTYID | VARCHAR(32) | N | Counterparty Id | |||
ASSET_CLASS | VARCHAR(32) | N | Asset Class | |||
ASSET_TYPE | VARCHAR(32) | N | Asset Type | |||
FORWARD_UNDL_RISK_FACTOR_ID | VARCHAR(32) | N | Forward Underlying Risk Factor Id | |||
COUNTERPARTY_NAME | VARCHAR(42) | N | Counterparty Name | |||
PORTFOLIO | VARCHAR(9) | N | Portfolio | |||
COLLATERAL | NUMERIC(8) | N | Collateral | |||
ALTYPE | VARCHAR(5) | N | AL Type | |||
CURRENCY | VARCHAR(3) | N | Currency | |||
MATURITYDATE | DATE | N | Maturity Date | |||
HOLDING | NUMERIC(8) | N | Holding | |||
ALPOSITION | NUMERIC(8) | N | AL Position | |||
SHORTPOSITION | NUMERIC(8) | N | Short Position | |||
CERTIFICATE_NOTIONAL | NUMERIC(8) | N | Certificate Notional | |||
CERTIFICATE_PRICE | NUMERIC(8) | N | Certificate Price | |||
CERTIFICATE_DAYCOUNT_CONVENTION | VARCHAR(7) | N | Certificate Day Count Convention | |||
CERTIFICATE_DSC_CURVE_REF | VARCHAR(12) | N | Certificate DSC Curve Ref | |||
CERTIFICATE_INTPMETHOD | VARCHAR(6) | N | Certificate INTP Method | |||
FX_SWAP_CCY_1 | VARCHAR(3) | N | FX Swap Currency 1 | |||
FX_SWAP_CCY2 | VARCHAR(3) | N | FX Swap Currency 2 | |||
FX_SWAP_CCY_1_AMT | NUMERIC(8) | N | FX Swap Currency 1 AMT | |||
FX_SWAP_CCY_2_AMT | NUMERIC(8) | N | FX Swap Currency 2 AMT | |||
FX_SWAP_UNDL_RISK_FACTOR_ID | VARCHAR(7) | N | FX Swap Underlying Risk Factor Id | |||
FX_SWAP_SALE_PURCH_FLG | VARCHAR(1) | N | FX Swap Sale Purchase Flag | |||
FX_SWAP_TRADE_RATE | NUMERIC(8) | N | FX Swap Trade Rate | |||
FX_SWAP_DSC_CCY1 | VARCHAR(12) | N | FX Swap DSC Currency 1 | |||
FX_SWAP_DSC_CCY2 | VARCHAR(12) | N | FX Swap DSC Currency 2 | |||
FX_SWAP_DAYCOUNT | VARCHAR(7) | N | FX Swap Day Count | |||
FX_SWAP_INTPMETHOD | VARCHAR(6) | N | FX Swap INTP Method | |||
FORWARD_PRICE_AMT | NUMERIC(8) | N | Forward Price Amount | |||
FORWARD_DSC_CURVE_REF | VARCHAR(12) | N | Forward DSC Curve Ref | |||
FORWARD_YIELD_CURVE_REF | VARCHAR(12) | N | Forward Yield Curve Reference | |||
FORWARD_INTPMETHOD | VARCHAR(6) | N | Forward INTP Method | |||
FORWARD_DAYCOUNT | VARCHAR(7) | N | Forward Day Count | |||
SWAP_RCVE_TYPE | VARCHAR(5) | N | Swap RCVE Type | |||
SWAP_NEXTSETT_FIX | DATE | N | Swap NEXTSETT Fixed | |||
SWAP_NEXTSETT_FLOAT | DATE | N | Swap NEXTSETT Float | |||
SWAP_FIXRATE | NUMERIC(8) | N | Swap Fixed Rate | |||
SWAP_FLTRATE | NUMERIC(8) | N | Swap Float Rate | |||
SWAP_FLTRATE_SPREAD | NUMERIC(8) | N | Swap Float Rate Spread | |||
SWAP_PARVALUE | NUMERIC(8) | N | Swap Par Value | |||
SWAP_FLTRATE_NAME | VARCHAR(8) | N | Swap Float Rate Name | |||
SWAP_ROLLFREQ_FIX | NUMERIC(8) | N | Swap Roll Frequency Fixed | |||
SWAP_ROLLFREQ_FLOAT | NUMERIC(8) | N | Swap Roll Frequency Float | |||
SWAP_DSC_CURVE_REF | VARCHAR(12) | N | Swap DSC Curve Ref | |||
SWAP_DAYCOUNT_FLOAT | VARCHAR(7) | N | Swap Day Count Float | |||
SWAP_DAYCOUNT_FIX | VARCHAR(6) | N | Swap Day Count Fixed | |||
SWAP_FLOAT_ROLLCONVENTION | VARCHAR(18) | N | Swap Float Roll Convention | |||
SWAP_FIX_ROLLCONVENTION | VARCHAR(9) | N | Swap Fixed Roll Convention | |||
SWAP_RESET_ROLLCONVENTION | VARCHAR(18) | N | Swap Reset Roll Convention | |||
SWAP_INTPMETHOD | VARCHAR(6) | N | Swap INTP Method | |||
CCY_SWAP_RCVE_TYPE | VARCHAR(4) | N | Currency Swap RCVE Type | |||
CCY_SWAP_NEXTSETT | DATE | N | Currency Swap NEXTSETT | |||
CCY_SWAP_CCY1_RATE | NUMERIC(8) | N | Currency Swap Currency 1 Rate | |||
CCY_SWAP_CCY2_RATE | NUMERIC(8) | N | Currency Swap Currency 2 Rate | |||
CCY_SWAP_CCY1_PARVALUE | NUMERIC(8) | N | Currency Swap Currency 1 Par Value | |||
CCY_SWAP_CCY2_PARVALUE | NUMERIC(8) | N | Currency Swap Currency 2 Par Value | |||
CCY_SWAP_ROLLFREQ | NUMERIC(8) | N | Currency Swap Rolling Frequency | |||
CCY_SWAP_CCY1_CURRENCY | VARCHAR(3) | N | Cross Currency Swap Cross Currency 1 Currency | |||
CCY_SWAP_CCY2_CURRENCY | VARCHAR(3) | N | Cross Currency Swap Cross Currency 2 Currency | |||
CCY_SWAP_DSC_CURVE_REF_CCY1 | VARCHAR(12) | N | Currency Swap DSC Curve Ref Currency 1 | |||
CCY_SWAP_DSC_CURVE_REF_CCY2 | VARCHAR(12) | N | Currency Swap DSC Curve Ref Currency 2 | |||
CCY_SWAP_DAYCOUNT_CCY2 | VARCHAR(6) | N | Currency Swap Day Count Currency 2 | |||
CCY_SWAP_DAYCOUNT_CCY1 | VARCHAR(7) | N | Currency Swap Day Count Currency 1 | |||
CCY_SWAP_CCY2_ROLLCONVENTION | VARCHAR(9) | N | Currency Swap Currency 2 Roll Convention | |||
CCY_SWAP_CCY1_ROLLCONVENTION | VARCHAR(9) | N | Currency Swap Currency 1 Roll Convention | |||
CCY_SWAP_INTPMETHOD | VARCHAR(6) | N | Currency Swap INTP Method | |||
CAP_TYPE | VARCHAR(3) | N | CAP Type | |||
CAP_AMT | NUMERIC(8) | N | CAP Amount | |||
CAP_START_DATE | DATE | N | CAP Start Date | |||
CAP_DAYCOUNTCONVENTION | VARCHAR(7) | N | CAP Day Count Convention | |||
CAP_DSC_CURVE | VARCHAR(12) | N | CAP DSC Curve | |||
CAP_RATE | NUMERIC(8) | N | CAP Rate | |||
CAP_METHOD | VARCHAR(5) | N | CAP Method | |||
CAP_VOL_CURVE | VARCHAR(13) | N | CAP Volume Curve | |||
CAP_INTP_METHOD | VARCHAR(6) | N | CAP INTP Method | |||
CAP_REFRATE_CURVE | VARCHAR(12) | N | CAP Refrate Curve | |||
CAP_REFRATE | VARCHAR(8) | N | CAP Refrate | |||
CAP_REFRATE_MATMONTHS | NUMERIC(8) | N | CAP Refrate MAT Months | |||
OPTION_UNDL_RISK_FACTOR_ID | VARCHAR(7) | N | Option Underlying Risk Factor Id | |||
OPTION_YIELD_CURVE_REF | VARCHAR(12) | N | Option Yield Curve Reference | |||
OPTION_PUT_CALL_TYPE_CD | VARCHAR(4) | N | Option Put Call Type Code | |||
OPTION_STYLE_CD | VARCHAR(13) | N | Option Style Code | |||
OPTION_STRIKE_VALUE | NUMERIC(8) | N | Option Strike Value | |||
OPTION_CASH_PAYOUT | NUMERIC(8) | N | Option Cash Payout | |||
OPTION_DAYCOUNTCONVENTION | VARCHAR(7) | N | Option Day Count Convention | |||
OPTION_INTPMETHOD | VARCHAR(6) | N | Option INTP Method | |||
OPTION_VOL_SURFACE_ID | VARCHAR(16) | N | Option Volume Surface Id | |||
OPTION_DSC_CURVE_REF | VARCHAR(12) | N | Option DSC Curve Ref | |||
OPTION_LOWER_TOUCH | NUMERIC(8) | N | Option Lower Touch | |||
OPTION_UPPER_TOUCH | NUMERIC(8) | N | Option Upper Touch | |||
OPTION_KNOCKIN_BARRIER | NUMERIC(8) | N | Option Knockin Barrier | |||
FORWARD_CONTRACT_SIZE | NUMERIC(8) | N | Forward Contract Size | |||
FUTURES_MARGIN_VARIATION_RT | NUMERIC(8) | N | Future Margin Variation Rate | |||
FORWARD_BOND_MATURITY | DATE | N | Forward Bond Maturity | |||
UNDERLYING_ACCRUED_VALUE_AMT | NUMERIC(8) | N | Underlying Accrued Value Amount | |||
FORWARD_CONVERSION_FACTOR_RT | NUMERIC(8) | N | Forward Conversion Factor Rate | |||
BOND_NOTIONAL | NUMERIC(8) | N | Bond Notional | |||
BOND_PRICE | VARCHAR(6) | N | Bond Price | |||
BOND_DAYCOUNT_CONVENTION | VARCHAR(7) | N | Bond Day Count Convention | |||
BOND_DSC_CURVE_REF | VARCHAR(12) | N | Bond DSC Curve Ref | |||
BOND_SPRD_CURVE_REF | VARCHAR(12) | N | Bond SPRD Curve Ref | |||
BOND_INTPMETHOD | VARCHAR(6) | N | Bond INTP Method | |||
SPOT_UNDL_RF_ID | VARCHAR(13) | N | Spot Underlying RF Id | |||
EXPOSURE_DELTA_MULTIPLIER | NUMERIC(8) | N | Exposure Delta Multiplier | |||
GEOGRAPHY_CD | VARCHAR(32) | N | map_geo_hierarchy | Geography Code | Geography Code (reporting dimension). | |
PRODUCT_CD | VARCHAR(200) | N | map_product_hierarchy.sas | Product Code | Used to lookup the full Product hierarchy. | |
LOB_ID | VARCHAR(64) | N | map_lob_hierarchy.sas | Line of Business Id | Used to lookup the full Line of Business hierarchy. |
Definition in file market_portfolio.sas.