The Risk Factor is used to identify sensitivities.
However, it is not used directly in the calculations, instead the Underlying, Counter Currency, 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.
For Delta and Curvature, the Risk Factor Currency (Underlying) refers to the FX rate between the instrument currency and the reporting/base currency [MAR21.14](1).
For Vega, the Currency Pair (Underlying) refers to the FX rate [MAR21.14](2).
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, for Vega)
Risk Class
Y
All
“FX”
Risk Measure
Y
All
“Delta”, “Vega”, or “Curvature”
Option Maturity
Y
Vega
The maturity of the option (Vega)
Risk Factor Currency (Underlying)
Delta & Curvature
The left-hand side of the risk-factor currency pair
Counter Currency
Delta & Curvature
The right-hand side of the risk-factor currency pair
Currency Pair (Underlying)
Vega
The risk-factor currency pair
The Bucket is the same as the Risk Factor Currency or Currency Pair.
Implementation notes (vectors of vertices):
The Vega risk-factor name spans all 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.