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.