The Risk Factor is used to identify sensitivities. However, it is not used directly in the calculations, instead the Underlying, Counter Currency, 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 Delta and Curvature, the Risk Factor Currency (Underlying) refers to the FX rate between the instrument currency and the reporting/base currency MAR21.14(1). For Vega, the Currency Pair (Underlying) refers to the FX rate MAR21.14(2).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 | “FX” |
| Risk Measure | Y | All | “Delta”, “Vega”, or “Curvature” |
| Option Maturity | Vega | The maturity of the option (Vega) | |
| Risk Factor Currency (Underlying) | Delta & Curvature | The left-hand side of the risk-factor currency pair | |
| Counter Currency | Delta & Curvature | The right-hand side of the risk-factor currency pair | |
| Currency Pair (Underlying) | Vega | The risk-factor currency pair |