SBM_Vega_Sensitivities*.csv
The Vega Sensitivity Data is loaded into the SBM_Vega_Sensitivities*.csv files using the following fields:
Data Model Field | File Column | Notes |
---|---|---|
As-Of Date | AsOfDate | |
Trade ID | TradeID | |
Risk Class | RiskClass | “GIRR” |
Option Maturity | OptionMaturity | May be single value, vector, or empty. If empty, treated as the prescribed maturities: 0.5;1;3;5;10. |
Underlying Maturity | UnderlyingMaturity | May be single value, vector, or empty. If empty, treated as the prescribed tenors: 0.5;1;3;5;10. |
Sensitivities | VegaSensitivities | May be single valued or a two-dimensional array indexed by Option Maturity $\times$ Underlying Maturity |
Sensitivity Currency | VegaCcy | |
Risk Factor Name | RiskFactor | (Optional) If not present, generated during ETL. |
Curve Type | RiskFactorType | “Yield”, “Inflation”, or “Basis” |
Curve Name | Underlying | |
Curve Currency | RiskFactorCcy |