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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 GIRR 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 |
“GIRR |
| Risk Measure |
Risk Measure |
“Vega” |
| Sensitivities |
VegaSensitivities |
Vector-valued. Size of Option Maturity $\times$ Underlying Maturity |
| Option Maturity |
OptionMaturity |
Vector-valued |
| Underlying Maturity |
UnderlyingMaturity |
Vector-valued |
| Sensitivity Currency |
Ccy |
|
| Interpolated Sensitivities |
VegaSensitivities - Interpolated |
Vector-valued. Indexed by prescribed Option Maturity $\times$ Underlying Maturity |