Commodity_IntraBucketCorrelations

The Commodity_IntraBucketCorrelations.csv file provides the Commodity Delta rho(cty) correlations. It is loaded into the CommodityIntraBucketCorrelations store.

 

File format

Field name	Description
Bucket	The Commodity Bucket (1-11)
Description	A description of the bucket
Correlation	The rho(cty) correlations
Date	The start date that the parameter takes effect
ParameterSet	The parameter set to which the parameter belongs (default = BCBS)

File values

Bucket	Description	Correlation	Date	ParameterSet
1	Energy-Solid combustibles	0.55	2016-01-01
2	Energy-Liquid combustibles	0.95	2016-01-01
3	Energy-Electricity and carbon trading	0.4	2016-01-01
4	Freight	0.8	2016-01-01
5	Metals - non-precious	0.6	2016-01-01
6	Gaseous combustibles	0.65	2016-01-01
7	Precious metals	0.55	2016-01-01
8	Grains & oilseed	0.45	2016-01-01
9	Livestock & dairy	0.15	2016-01-01
10	Softs and other agriculturals	0.4	2016-01-01
11	Other commodity	0.15	2016-01-01