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Risk Factor [MAR10.9]

The Risk Factor is used to identify sensitivities. However, it is not used directly in the calculations, instead the Commodity, Location, and tenor fields are used (as appropriate for the risk-measure). This means that multiple Risk Factor Names may be used for the same risk-factor.

The Commodity (Underlying) refers to the “distinct commodity” [MAR21.83](1) and [MAR21.84].

Field	Key	Risk Measure	Description
As-of Date	Y	All	Timestamp (at close of business) for the data (T-1)
Risk Factor Name	Y	All	A name for the risk-factor (not including vertices)
Risk Class	Y	All	“Commodity”
Risk Measure	Y	All	“Delta”, “Vega”, or “Curvature”
Sensitivity Tenor	Y	Delta	The time to maturity of the traded instrument (Delta)
Option Maturity	Y	Vega	The maturity of the option (Vega)
Commodity (Underlying)		All	The distinct commodity.
Location		All	Delivery location of the commodity.

For Vega and Curvature, the risk-factor is the same as the underlying.

Implementation notes (vectors of vertices):

The risk-factor name spans all tenors/maturities, so it represents multiple [MAR10.9] risk-factors.
In the input files (default file format), multiple vertices and sensitivities may either be provided on the same row or different rows.
In the datastore, we use vectors to store the sensitivities for all tenors.
In the cubes, we use analysis hierarchies to expand the vectors.