Vega

The Vega is expressed in the display currency. The Vega Native is converted from the sensitivity currency to the display currency. The Vega currency is expressed by the level Ccy.

$$\text{Vega}=\text{Vega Native}\cdot\text{FX}_\text{Ccy}$$

The measure can be a spot, a curve, a map or a cube (with a tenor, a maturity and a moneyness) which can be re-bucketed with:

• the DynamicTenors hierarchy,
• the DynamicMaturities hierarchy,
• the DynamicMoneyness hierarchy.