RSK_DEAL_MSR_VW

(SQL View)
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Repository for risk meas seq V

This view selects from RSK_DEAL_MEASUR, but only one row per AsOfDate (with max(seqnum))

SELECT business_unit , treas_header_id , asofdate , seqnum , rsk_valuation , currency_cd , rsk_duration , rsk_convexity , rsk_delta_a , rsk_gamma , rsk_lambda , rsk_rho , rsk_theta , rsk_vega FROM PS_RSK_DEAL_MEASUR a WHERE seqnum = ( SELECT MAX(seqnum) FROM PS_RSK_DEAL_MEASUR b WHERE b.business_unit = a.business_unit AND b.treas_header_id= a.treas_header_id AND b.asofdate= a.asofdate )

# PeopleSoft Field Name PeopleSoft Field Type Database Column Type Description
1 BUSINESS_UNIT Character(5) VARCHAR2(5) NOT NULL Business Unit
2 TREAS_HEADER_ID Character(12) VARCHAR2(12) NOT NULL The unique key identifier for a given deal transaction.
3 ASOFDATE Date(10) DATE As of Date
4 SEQNUM Number(3,0) SMALLINT NOT NULL Sequence Number
5 RSK_VALUATION Signed Number(28,3) DECIMAL(26,3) NOT NULL Current Valuation retrieved from an analytic for a financial instrument.
6 CURRENCY_CD Character(3) VARCHAR2(3) NOT NULL Currency Code
7 RSK_DURATION Signed Number(15,8) DECIMAL(13,8) NOT NULL A measure of exposure to interest rates.
8 RSK_CONVEXITY Signed Number(15,8) DECIMAL(13,8) NOT NULL A measure of second-order exposure to interest rates.
9 RSK_DELTA_A Signed Number(11,8) DECIMAL(9,8) NOT NULL The net equivalent global commodity exposure. For example, the delta on this soybean call option is .8, or 80%.
10 RSK_GAMMA Signed Number(17,8) DECIMAL(15,8) NOT NULL Gamma is a risk measure corresponding to the rate of change of the absolute delta with respect to a price change in the underlying commodity.
11 RSK_LAMBDA Signed Number(23,8) DECIMAL(21,8) NOT NULL lIt is a risk measure corresponding to the rate of change of the instrument value with respect to an infinitesimal change in commodity yield.
12 RSK_RHO Signed Number(23,8) DECIMAL(21,8) NOT NULL In the domestic forms of the models, rho is defined as the rate of change in the instrument value with respect to an infinitesimal change in the domestic interest rate.
13 RSK_THETA Signed Number(23,8) DECIMAL(21,8) NOT NULL Theta is a risk measure corresponding to the time rate of change of the value of the instrument, over an infinitesimal interval of time. Some applications require "daily" thetas, which may be approximated by dividing the theta by the number of days per year, or more exactly via two invocations of the model for maturities one day apart, which are then differenced.
14 RSK_VEGA Signed Number(23,8) DECIMAL(21,8) NOT NULL Vega is a risk measure corresponding to the rate of change of the instrument value with respect to an infinitesimal change in volatility.