The Risk Factor is used to identify sensitivities. However, it is not used directly in the calculations, instead the Commodity, Location, and tenor fields are used (as appropriate for the risk-measure). This means that multiple Risk Factor Names may be used for the same risk-factor. The Commodity (Underlying) refers to the “distinct commodity” MAR21.83(1) and MAR21.84.Documentation Index
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| Field | Key | Risk Measure | Description |
|---|---|---|---|
| As-of Date | Y | All | Timestamp (at close of business) for the data (T-1) |
| Risk Factor Name | Y | All | A name for the risk-factor |
| Risk Class | Y | All | “Commodity” |
| Risk Measure | Y | All | “Delta”, “Vega”, or “Curvature” |
| Sensitivity Tenor | Delta | The time to maturity of the traded instrument (Delta) | |
| Option Maturity | Vega | The maturity of the option (Vega) | |
| Commodity (Underlying) | All | The distinct commodity | |
| Location | All | Delivery location of the commodity |