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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. 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.
For Crypto 2a vega, the Crypto asset (Underlying) refers to the distinct crypto asset SCO60.73 without any differentiation by the exchange SCO60.75.
FieldKeyRisk MeasureDescription
As-of DateYAllTimestamp (at close of business) for the data (T-1)
Risk Factor NameYAllA name for the risk-factor
Risk ClassYAll“Crypto 2a”
Risk MeasureYAll“Delta”, “Vega”, or “Curvature”
Sensitivity TenorDeltaThe time to maturity of the traded instrument (Delta)
Option MaturityVegaThe maturity of the option (Vega)
UnderlyingDelta/CurvatureThe crypto asset and exchange
UnderlyingVegaThe crypto asset
For Curvature, the risk-factor is the same as the underlying.