This section describes the data used for the Crypto 2a calculations, including how the data is structured. For Crypto 2a delta and curvature, the Crypto asset and exchange (Underlying) refers to the distinct crypto asset SCO60.73 and the corresponding exchange SCO60.74.Documentation Index
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For Crypto 2a vega, the Crypto asset (Underlying) refers to the distinct crypto asset SCO60.73 without any differentiation by the exchange SCO60.75. The Risk Factor is used to identify sensitivities. However, it is not used directly in the calculations. Instead, the Underlying (generated from the Bucket and the Location for delta and curvature, and from the Bucket alone for vega) 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.