The file is used to set risk factors correlations for interest rate delta risk factors.
Field
Key
Null
FieldType
Description
Example
AsOfDate
String with format ‘YYYY-MM-DD’
Indicates the start date for this parameter. Subsequent entries with later dates will apply an end to this date range
2018-09-28
ParameterSet
String
Specifies the parameter set to which the parameter belongs to. If no ParameterSet is defined within the file, it will default to BCBS
BCBS
IsLiquidOrDomestic
String, ‘Y’ or ‘N’
Indicates whether the correlations refer to currencies listed in [MAR50.56]
Y
IsInflation
String, ‘Y’ or ‘N’
Indicates whether the risk weights refer to inflation curves
Y
Tenor1
String
Two fields should contain pairs of tenors defined in [MAR50.56] when IsLiquidOrDomestic contains ‘Y’ and IsInflation is ‘N’: 1 year 2 years 5 years 10 years 30 years Otherwise it must be Null.
1 year
Tenor2
String
Two fields should contain pairs of tenors defined in [MAR50.56] when IsLiquidOrDomestic contains ‘Y’ and IsInflation is ‘N’: 1 year 2 years 5 years 10 years 30 years Otherwise it must be Null.