SBM_Vega_Sensitivities*.csv

This page describes the file format used to load GIRR Vega sensitivities. The Vega Sensitivity Data is loaded from the Vega files. The following table lists the fields in the file format that is used for the GIRR risk-class. See the Vega file format documentation for details on the file format. See Data Model (Core) for a description of the data model.

Data Model Field	File Column	Notes
As-Of Date	AsOfDate
Trade ID	TradeID
Risk Class	RiskClass	“GIRR”
Option Maturity	OptionMaturity	May be single value, vector, or empty. If empty, treated as the prescribed maturities: 0.5;1;3;5;10.
Underlying Maturity	UnderlyingMaturity	May be single value, vector, or empty. If empty, treated as the prescribed tenors: 0.5;1;3;5;10.
Sensitivities	VegaSensitivities	May be single valued or a two-dimensional array indexed by Option Maturity $\times$ Underlying Maturity
Sensitivity Currency	VegaCcy
Risk Factor Name	RiskFactor	(Optional) If not present, generated during ETL.
Curve Type	RiskFactorType	“Yield”, “Inflation”, or “Basis”
Curve Name	Underlying
Curve Currency	GIRRCcy