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 CSR Sec CTP 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 “CSR Sec CTP”
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.
Curve Type RiskFactorType “Bond” or “CDS”
Underlying Name Underlying
Bucket Bucket 1-16
Credit Quality CSRQuality
Sector CSRSector