The file is used to set risk factors correlations for interest rate delta risk factors.
Field
Key
Null
FieldType
Description
Example
AsOfDate
Y
N
String with format ‘YYYY-MM-DD’
Indicates the start date for this parameter. Subsequent entries with later dates will apply an end to this date range
2018-09-28
ParameterSet
Y
Y
String
Specifies the parameter set to which the parameter belongs to. If no ParameterSet is defined within the file, it will default to BCBS
BCBS
IsLiquidOrDomestic
Y
N
String, ‘Y’ or ‘N’
Indicates whether the correlations refer to currencies listed in [MAR50.56]
Y
IsInflation
Y
N
String, ‘Y’ or ‘N’
Indicates whether the risk weights refer to inflation curves
Y
Tenor1
Y
Y
String
Two fields should contain pairs of tenors defined in [MAR50.56] when IsLiquidOrDomestic contains ‘Y’ and IsInflation is ‘N’: 1 year 2 years 5 years 10 years 30 years Otherwise it must be Null.
1 year
Tenor2
Y
Y
String
Two fields should contain pairs of tenors defined in [MAR50.56] when IsLiquidOrDomestic contains ‘Y’ and IsInflation is ‘N’: 1 year 2 years 5 years 10 years 30 years Otherwise it must be Null.