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Regulatory vertices
Download sample file: vertices.csv
The file must contain regulatory vertices per risk class, sensitivity type and set.
| Field |
Key |
Null |
FieldType |
Description |
Example |
| AsOfDate |
|
|
String with format ‘YYYY-MM-DD’ |
Risk value date |
2018-09-28 |
| Index |
|
|
String, integer |
Index of a vertex (tenor), used to sort vertices. Must be 0 for the first tenor. |
2 |
| Vertex |
|
|
Double |
Tenor in years. Must be a tenor defined in regulatory calculation. |
0.25 |
| RiskClass |
|
|
String |
Risk classes, or risk types, defined in [MAR50.43]: ‘interest rate’, ‘counterparty credit spread’ |
interest rate |
| SensitivityType |
|
|
String ‘delta’ or ‘vega’ |
Allows to apply these vertices to delta or vega sensitivities |
delta |
| 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 |
See also