Field
LegPaymentStreamVegaNotionalAmount
| ID (tag) | 42481 |
| Abbr Name | VegaNotlAmt |
| Type | float |
| Pedigree | Added EP208 |
Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realized volatility) and KVol (strike volatility). It does not necessarily represent the Vega risk of the trade.
Used in components:
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