Vega
The Vega store contains the Vega sensitivities.
It is indexed by TradeId, RiskFactor, RiskClass, RiskMeasure, and AsOfDate and referenced from the TradeBase store by these five fields.
| 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) | The risk-measure. Must be set to “Vega” | |
| 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 | The vector of vega sensitivities interpolated to the prescribed values | ||
| AsOfDate | Y | LOCALDATE[yyyy-mm-dd] | See field in referencing store (TradeBase) | Timestamp (at close of business) for the data. |