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Vega

Store Field	Key	Type	Cube Field	Description
TradeId	Y	String	See field in referencing store (TradeBase)	(e.g. “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.) – if coming from multiple systems may need to prepend source system to the id for uniqueness.
Risk Factor	Y	String	See field in referencing store (TradeBase)	The underlying risk factor (may be more than one) of the risk class. It is expected that the risk factor name encompasses the definition of the risk factor per the FRTB specification ([MAR21.3] to [MAR21.14]). This field is optional. If not provided, it must be generated from the ‘Underlying’ column.
RiskClass	Y	String	See field in referencing store (TradeBase)	Defines the risk class that the delta data represents.
Risk Measure	Y	String	See field in referencing store (TradeBase)
OptionMaturity		Object[]	Picked up for drillthrough only, not part of cube measures	Vega sensitivities are mapped to the vertex of maturity (expiry) dates of the options. If dates are blank then we assume it maps to the 5 vertices defined in the FRTB specification.
UnderlyingMaturity		Object[]	Picked up for drillthrough only, not part of cube measures	Represents the residual maturity of the underlying of the option.
VegaSensitivities		Double[]	Picked up for drillthrough only, not part of cube measures	Sensitivity values.
Ccy		String	Vega Currency	The currency of the Vega sensitivities.
VegaSensitivitiesInterpolated		Double[]	A measure in the cube
AsOfDate	Y	LOCALDATE[yyyy-mm-dd]	See field in referencing store (TradeBase)	Timestamp (at close of business) for the data.