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Vega

The Vega store contains the Vega sensitivities.

The following table lists the fields in the store that are used for the CSR non-Sec risk-class. See the Vega store documentation for details on the store.

Data Model Field Store Field Notes
As-Of Date AsOfDate
Trade ID TradeId
Risk Factor Name Risk Factor
Risk Class RiskClass “CSR non-Sec”
Risk Measure Risk Measure “Vega”
Sensitivities VegaSensitivities Vector-valued; Same size as Sensitivity Tenors
Sensitivity Tenors OptionMaturity Vector-valued
Sensitivity Currency Ccy
Interpolated Sensitivities VegaSensitivities - Interpolated Vector-valued; Indexed by prescribed Tenors