Field UnderlyingPaymentStreamVegaNotionalAmount Scenario base
SYNOPSIS:
Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realised volatility) and KVol (strike volatility). It does not necessarily represent the Vega risk of the trade.
| ID |
Abbr |
Datatype |
| 42977 | VegaNotlAmt | float |
Pedigree
| Added |
EP |
Updated |
EP |
Deprecated |
EP |
| FIX.5.0SP2 | 208 | | | | |