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FRTB Accelerator Interpretation and Implementation of BCBS 457
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DRC
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SBM
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Commodity
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CSR non-Sec
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CSR Sec CTP
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CSR Sec non-CTP
--- Interpretation Note
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Data Model (Core)
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Calculations
---- ETL (Reference Implementation)
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Query Time (Core)
----- Delta/Vega Sensitivities
----- Curvature Scenario Up/Down PV.CCY
----- Delta/Vega/Curvature Risk Weight
----- Delta/Vega Weighted Sensitivities
----- Curvature Delta Sensitivities
----- Curvature Shock Up/Down Prices
----- Curvature CVR Up/Down
----- Delta/Vega Risk Position Double Sums
----- Delta/Vega Risk Position Correlations
----- Delta Vega Risk Position
----- Curvature Risk Position Up/Down
----- Curvature Risk Position Scenario
----- Curvature Risk Position
----- Delta/Vega Risk Charge
----- Curvature Risk Charge
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Input Files (Reference Implementation)
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Config Files
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Datastore (Reference Implementation)
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Cube (Reference Implementation)
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Configuration (Core)
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Equity
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FX
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GIRR
Curvature Scenario Up/Down PV.CCY
The Scenario Up/Down PV.CCY
measures are vectors of shocked prices indexed by risk weight.
For each Sensitivity Currency , the Shock Up/Down prices are
converted to the reference currency using the IFxRates API. After this
currency conversion, the values are aggregated for each Risk
Factor .