Field
PaymentStreamVegaNotionalAmount
| ID (tag) | 42682 |
| Type | float |
| Pedigree | Added EP208 |
"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.
Used in components:
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