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Vega
Data Model Field |
Store Field |
Notes |
As-Of Date |
AsOfDate |
|
Trade ID |
TradeId |
|
Risk Factor Name |
Risk Factor |
|
Risk Class |
RiskClass |
“CSR non-Sec” |
Risk Measure |
Risk Measure |
“Vega” |
Sensitivities |
VegaSensitivities |
Vector-valued. Same size as Sensitivity Tenors |
Sensitivity Tenors |
OptionMaturity |
Vector-valued |
Sensitivity Currency |
Ccy |
|
Interpolated Sensitivities |
VegaSensitivities - Interpolated |
Vector-valued. Indexed by prescribed Tenors |