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Vertices
The list of CSR non-Sec Delta Tenors and Vega Option Maturities.
The file Vertices*.csv is loaded into the Vertices store.
| Data Model Field |
File Column |
Datastore Column |
Notes |
|
Index |
Index |
0-4
The index within the vector. For example, if vertex “0.5” has index “0”, then the first entry in the vector is the 0.5 vertex. |
| Sensitivity Tenor / Option Maturity |
Vertex |
Vertex |
0.5;1;3;5;10
Delta Tenors in [MAR21.9](1)(b)
Vega Option Maturities in [MAR21.9](2) |
| Risk Class |
Risk Class |
RiskClass |
“CSR non-Sec” |
| Risk Measure |
Risk Measure |
Risk Measure |
“Delta” or “Vega” |