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SBM_Vega_Sensitivities*.csv

The Vega Sensitivity Data is loaded from the Vega files.

The following table lists the fields in the file format that is used for the Crypto 2a risk-class. See the Vega file format documentation for details on the file format. See Data Model (Core) for a description of the data model.

Data Model Field File Column Notes
As-Of Date AsOfDate
Trade ID TradeID
Risk Class RiskClass “Crypto 2a”
Option Maturity OptionMaturity May be single value, vector, or empty. If empty, treated as the prescribed maturities: 0.5;1;3;5;10.
Sensitivities VegaSensitivities May be single value or vector, with the same number of entries as maturities.
Sensitivity Currency VegaCcy
Risk Factor Name RiskFactor (Optional) If not present, generated during ETL.
Underlying Underlying (Optional) If not present, generated during ETL.
Bucket Bucket Crypto asset