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frtb-config.properties
| Data Model Field |
Property |
Reference |
| As-Of Date |
as-of-date.level |
AsOfDate@Date@Dates |
| Trade ID |
trade.level |
TradeId@Trades@Booking |
| Risk Class |
risk-class.level |
RiskClass@Risk Classes@Risk |
| Risk Measure |
risk-measure.level |
Risk Measure@Risk Measures@Risk |
| Bucket |
commodity.buckets.level |
Commodity Bucket@Commodity Buckets@Buckets |
| Risk Factor Name |
risk-factors.level |
Risk Factor@Risk Factors@Risk |
| Sensitivity Tenor |
vertices.level |
Vertex@Vertices@Risk |
| Option Maturity |
commodity.vega.option.maturity |
Vertex@Vertices@Risk |
| Commodity |
commodity.market-data.underlying.level |
Underlying@Underlying@Market Data |
| Location |
risk-factor.commodity.location.level |
Commodity Location@Commodity Location@Risk |
| PV Applied |
commodity.pv.applied.level |
PVApplied@PVApplied@Currencies |
|
commodity.delta.double-sums.levels |
Cty@Commodity Delta Double Sums@Double Sums, Tenor@Commodity Delta Double Sums@Double Sums, Basis@Commodity Delta Double Sums@Double Sums |
|
commodity.vega.double-sums.levels |
Cty@Commodity Vega Double Sums@Double Sums, Maturity1@Commodity Vega Double Sums@Double Sums, Maturity2@Commodity Vega Double Sums@Double Sums |