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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 “GIRR
Risk Measure Risk Measure “Vega”
Sensitivities VegaSensitivities Vector-valued. Size of Option Maturity $\times$ Underlying Maturity
Option Maturity OptionMaturity Vector-valued
Underlying Maturity UnderlyingMaturity Vector-valued
Sensitivity Currency Ccy
Interpolated Sensitivities VegaSensitivities - Interpolated Vector-valued. Indexed by prescribed Option Maturity $\times$ Underlying Maturity
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