☰
Navigation :

VEGA

The VEGA table contains the Vega sensitivities.

Column Name Type Not Null Cube Field Description
AS_OF_DATE DATE Y See field in joined table (TRADE_BASE) Timestamp (at close of business) for the data.
TRADE_ID STRING Y Database key for trade/position.
RISK_FACTOR STRING Y See field in joined table (TRADE_BASE) The underlying risk factor (may be more than one) of the risk class. The risk factor name is expected to encompass the definition of the risk factor per the FRTB specification ([MAR21.3] to [MAR21.14]). This field is optional. If not provided, it must be generated from the ‘Underlying’ column.
RISK_CLASS STRING Y See field in joined table (TRADE_BASE) Defines the risk class that the vega data represents.
RISK_MEASURE STRING Y See field in joined table (TRADE_BASE) The risk-measure. Must be set to “Vega”.
VEGA_SENSITIVITIES DOUBLE Y Sensitivity value.
CCY STRING Y Vega Currency The currency of the Vega sensitivities.

Unique Key

Columns
AS_OF_DATE
TRADE_ID
RISK_FACTOR
RISK_CLASS
RISK_MEASURE

Incoming Joins

Source Table Source Columns Target Columns
TRADE_BASE AS_OF_DATE
TRADE_ID
RISK_FACTOR
RISK_CLASS
RISK_MEASURE		 AS_OF_DATE
TRADE_ID
RISK_FACTOR
RISK_CLASS
RISK_MEASURE