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Vertices
The list of Commodity 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 |
0-11 (Delta) 0-4 (Vega) |
Sensitivity Tenor / Option Maturity |
Vertex |
Vertex |
Delta Tenors in [MAR21.13](1)(b) Vega Option Maturities in [MAR21.13](2) |
Risk Class |
Risk Class |
RiskClass |
“Commodity” |
Risk Measure |
Risk Measure |
Risk Measure |
“Delta” or “Vega” |