Input Files (Reference Implementation)

This section describes how the input files containing the sensitivities and mappings are used for the CSR Sec CTP risk class.

The sensitivities are loaded from the Delta, Vega, Curvature, or CRIF sensitivity files.

The mapping of Sector and Credit Quality to Bucket is loaded from the CSR Sec CTP Buckets file into the into the CSRSecCTPBucket store. A description of these buckets is loaded from the CSR Sec CTP Bucket Descriptions file.