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SBM_Vega_Sensitivities*.csv

The Vega Sensitivity Data is loaded from the Vega files.

The following table lists the fields in the file format that is used for the GIRR risk-class. See the Vega file format documentation for details on the file format. See Data Model (Core) for a description of the data model.

Data Model Field File Column Notes
As-Of Date AsOfDate
Trade ID TradeID
Risk Class RiskClass “GIRR”
Option Maturity OptionMaturity May be single value, vector, or empty. If empty, treated as the prescribed maturities: 0.5;1;3;5;10.
Underlying Maturity UnderlyingMaturity May be single value, vector, or empty. If empty, treated as the prescribed tenors: 0.5;1;3;5;10.
Sensitivities VegaSensitivities May be single valued or a two-dimensional array indexed by Option Maturity $\times$ Underlying Maturity
Sensitivity Currency VegaCcy
Risk Factor Name RiskFactor (Optional) If not present, generated during ETL.
Curve Type RiskFactorType “Yield”, “Inflation”, or “Basis”
Curve Name Underlying
Curve Currency RiskFactorCcy