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Underlying Residual Maturity Vertices
The list of GIRR Vega Underlying Maturities.
The file Option_Residual_Maturity_Vertices.csv is loaded into the
OptionResidualMaturityVertices store.
| Data Model Field |
File Column |
Datastore Column |
Notes |
|
Index |
Index |
0-4 |
| Underlying Maturity |
OptionResidualMaturityVertex |
Vertex |
0.5;1;3;5;10
Vega Option Maturities in [MAR21.8](4)(b) |
| Risk Class |
Risk Class |
RiskClass |
“GIRR” |