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Miscellaneous Parameters
The file FRTBParameters*.csv is loaded into the FRTBParameters
store.
| Parameter |
Parameter Name |
Default Value |
| $RW_k$ in [MAR21.87] |
sa.fx.delta.rw |
0.15 |
| $RW_k$ divider in [MAR21.87] |
sa.fx.delta.rw.selected.pair.adjustment |
1.4142135623731 |
| $\gamma_{bc}$ in [MAR21.89] |
sa.fx.correlation |
0.6 |
| $CVR_k$ divider in [MAR21.98] |
sa.fx.curvature.divider |
1.5 |
| Reporting Currency |
sa.fx.reporting-currency |
EUR |
| Base Currency |
sa.fx.base-currency |
EUR |
| Is the Base Currency used? |
sa.fx.use.base-currency |
false |
| Divide $CVR_k$ by divider in [MAR21.98] |
sa.fx.use.fx-divider |
false |
| $RW_\sigma$ in [MAR21.92] |
sa.vega.rw |
0.55 |
| $\alpha$ in [MAR21.93](1)(a) |
sa.vega.rho-option-maturity.alpha |
0.01 |