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GIRRCorrelationOverrides
| Store Field |
Key |
CanBeNull |
Type |
Cube Field |
Description |
| Ccy |
Y |
N |
String |
|
The first GIRR bucket in the pair |
| CounterCcy |
Y |
N |
String |
|
The second GIRR bucket in the pair |
| Correlation |
N |
Y |
Double |
|
The correlation to use between the two buckets ($\gamma_{bc}$) |
| AsOfDate |
Y |
N |
LOCALDATE[yyyy-mm-dd] |
|
The start date that the parameter takes effect. |
| ParameterSet |
Y |
N |
String |
|
The parameter set to which the parameter belongs (default = BCBS). |