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Option_Residual_Maturity_Vertices

The Option_Residual_Maturity_Vertices.csv file lists the GIRR Vega underlying residual maturities. It is loaded into the OptionResidualMaturityVertices store.

File format

Field name Description
FRTB SA RiskClass “GIRR”
FRTB SA OptionResidualMaturityVertex The underlying residual maturity
Index The number of the maturity
Date The start date that the parameter takes effect
ParameterSet The parameter set to which the parameter belongs (default = BCBS)

File values

FRTB SA RiskClass FRTB SA OptionResidualMaturityVertex Index Date ParameterSet
GIRR 0.5 0 2016-01-01
GIRR 1 1 2016-01-01
GIRR 3 2 2016-01-01
GIRR 5 3 2016-01-01
GIRR 10 4 2016-01-01