SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
Loading...
Searching...
No Matches
market_portfolio.sas File Reference

Market risk portfolio table. More...

Go to the source code of this file.

Detailed Description

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.
Author
SAS Institute Inc.
Date
2021

Definition in file market_portfolio.sas.