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RiskFactorDescription

The RiskFactorDescription store contains the description of risk-factor.

The following table lists the fields in the store that are used for the GIRR risk-class. See the RiskFactorDescription store documentation for details on the store.

Data Model Field Store Field Notes
As-Of Date AsOfDate
Risk Factor Name Risk Factor
Risk Class RiskClass “GIRR”
Risk Measure Risk Measure “Delta”, “Vega”, or “Curvature”
Curve Name Underlying
Sensitivity Tenors Maturity for Delta only
Option Maturity Maturity for Vega only
Underlying Maturity UnderlyingMaturity for Vega only