Vega

Store Field Key CanBeNull Type Cube Field Description
TradeId Y String See field in referencing store (TradeBase) (e.g. “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.) – if coming from multiple systems may need to prepend source system to the id for uniqueness.
Risk Factor Y String See field in referencing store (TradeBase) The underlying risk factor (may be more than one) of the risk class. It is expected that the risk factor name encompasses the definition of the risk factor per the FRTB specification ([MAR21.3] to [MAR21.14]). This field is optional. If not provided, it must be generated from the ‘Underlying’ column.
RiskClass Y String See field in referencing store (TradeBase) Defines the risk class that the delta data represents.
Risk Measure Y String See field in referencing store (TradeBase)
OptionMaturity Object[] Picked up for drillthrough only, not part of cube measures Vega sensitivities are mapped to the vertex of maturity (expiry) dates of the options. If dates are blank then we assume it maps to the 5 vertices defined in the FRTB specification.
UnderlyingMaturity Object[] Picked up for drillthrough only, not part of cube measures Represents the residual maturity of the underlying of the option.
VegaSensitivities Double[] Picked up for drillthrough only, not part of cube measures Sensitivity values.
Ccy String Vega Currency The currency of the Vega sensitivities.
VegaSensitivitiesInterpolated Double[] A measure in the cube
AsOfDate Y LOCALDATE[yyyy-mm-dd] See field in referencing store (TradeBase) Timestamp (at close of business) for the data.
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