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Glossary
Vega
The Vega store contains the Vega sensitivities.
It is indexed by TradeId , RiskFactor , RiskClass , RiskMeasure , and AsOfDate
and referenced from the TradeBase store by these five fields.
Store Field
Key
CanBeNull
Type
Cube Field
Description
TradeId
Y
String
See field in referencing store (TradeBase )
(e.g. “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.) – if coming from multiple systems may need to prepend source system to the id for uniqueness.
Risk Factor
Y
String
See field in referencing store (TradeBase )
The underlying risk factor (may be more than one) of the risk class. It is expected that the risk factor name encompasses 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.
RiskClass
Y
String
See field in referencing store (TradeBase )
Defines the risk class that the delta data represents.
Risk Measure
Y
String
See field in referencing store (TradeBase )
The risk-measure. Must be set to “Vega”
Ccy
String
Vega Currency
The currency of the Vega sensitivity.
VegaSensitivities
Double
A measure in the cube
The vega sensitivity
AsOfDate
Y
LOCALDATE[yyyy-mm-dd]
See field in referencing store (TradeBase )
Timestamp (at close of business) for the data.