Navigation :
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Getting started
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- Using this guide
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- What's New
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- FRTB Data Model
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- Tips for Validating the Calculations
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- Viewing QIS Numbers
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- Workaround for deadlock issue when attempting to create partitions for reference stores
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What-If Analysis
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Configuration files
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Configuring Accelerator tools and methodologies
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FRTB Accelerator Interpretation and Implementation of BCBS 457
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ACR
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--
SA
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--- Key SA Measures
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---
SBM
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----
Commodity
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-----
Data Model (Core)
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-----
Calculations
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Input Files (Reference Implementation)
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Config Files
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-----
Datastore (Reference Implementation)
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------ TradeBase
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------ RiskFactorDescription
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------ UnderlyingDescription
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------ Delta
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------ Vega
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------ Curvature
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------ CommodityBuckets
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-----
Cube Schema (Reference Implementation)
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Configuration (Core)
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CSR non-Sec
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CSR Sec CTP
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CSR Sec non-CTP
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Equity
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FX
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----
GIRR
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--
IMA
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Jurisdictions
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-
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PDF Guides
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Glossary
Vega
The Vega store contains the Vega sensitivities .
The following table lists the fields in the store that are used for the Commodity risk-class.
See the Vega store documentation for details on the store.
Data Model Field
Store Field
Notes
As-Of Date
AsOfDate
Trade ID
TradeId
Risk Factor Name
Risk Factor
Risk Class
RiskClass
“Commodity”
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