Skip to main content
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 FieldFile ColumnNotes
As-Of DateAsOfDate
Trade IDTradeID
Risk ClassRiskClass“GIRR”
Option MaturityOptionMaturityMay be single value, vector, or empty. If empty, treated as the prescribed maturities: 0.5;1;3;5;10.
Underlying MaturityUnderlyingMaturityMay be single value, vector, or empty. If empty, treated as the prescribed tenors: 0.5;1;3;5;10.
SensitivitiesVegaSensitivitiesMay be single valued or a two-dimensional array indexed by Option Maturity ×\times Underlying Maturity
Sensitivity CurrencyVegaCcy
Risk Factor NameRiskFactor(Optional) If not present, generated during ETL.
Curve TypeRiskFactorType“Yield”, “Inflation”, or “Basis”
Curve NameUnderlying
Curve CurrencyGIRRCcy