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Risk Factor [MAR10.9]

The risk-factors are identified by:

Key Field	Description
As-of Date	Timestamp (at close of business) for the data (T-1)
Risk Factor Name	A unique identifier for the risk-factor (not including vertices)
Risk Class	“GIRR”
Risk Measure	“Delta”, “Vega”, or “Curvature”
Sensitivity Tenor	The time to maturity of the traded instrument (Delta)
Option Maturity	The maturity of the option (Vega)
Underlying Maturity	The residual maturity of the underlying (Vega)

For Delta and Vega, the risk-factors have the following properties:

Property Field	Description
Curve Name (Underlying)	Name of the curve

For Curvature, there is only a single risk factor per bucket and the Curve Name can be the currency/bucket.

Implementation notes (Vectors of vertices):

The risk-factor name spans all tenors/maturities, so represents multiple [MAR10.9] risk-factors.
In the input files (default file format), multiple vertices and sensitivities may either be provided on the same row or different rows.
In the datastore, we use vectors to store the sensitivities for all tenors. For Vega, these vectors are storing a two-dimensional array (indexed by both underlying and option maturities).
In the cubes, we use analysis hierarchies to expand the vectors.