FRTB Accelerator Cubes GuideSBM_Vega_Sensitivities*.csv
The Vega Sensitivity Data is loaded into the SBM_Vega_Sensitivities*.csv files using the following fields:
| 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 |