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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 Curve and the tenor fields are used. This means that multiple Risk Factor Names may be used for the same risk-factor.

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	“GIRR”
Risk Measure	Y	All	“Delta”, “Vega”, or “Curvature”
Sensitivity Tenor	Y	Delta	The time to maturity of the traded instrument
Option Maturity	Y	Vega	The maturity of the option
Underlying Maturity	Y	Vega	The residual maturity of the underlying
Curve Name (Underlying)		All	Name of the curve

For Curvature, there is only a single risk factor per bucket and the Curve Name can be the currency/bucket.

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. For Vega, these vectors are storing a two-dimensional array (indexed by both underlying and option maturities).
In the cubes, we use analysis hierarchies to expand the vectors.