Navigation :
Vertices
The list of GIRR 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 (Vega)
0-9 (Delta) |
| Sensitivity Tenor / Option Maturity |
Vertex |
Vertex |
0.25;0.5;1;2;3;5;10;15;20;30
Delta Tenors in [MAR21.42]
0.5;1;3;5;10
Vega Option Maturities in [MAR21.8](4)(a) |
| Risk Class |
Risk Class |
RiskClass |
“GIRR” |
| Risk Measure |
Risk Measure |
Risk Measure |
“Delta” or “Vega” |