Navigation :
test ../ test developer-getting-started.html
Getting Started
test ../ test developer-getting-started/deadlock-partitions-for-reference-stores-workaround.html
- Workaround for deadlock issue when attempting to create partitions for reference stores
test ../ test developer-getting-started/maven-modules.html
- Maven Project Modules
test ../ test developer-guides.html
Developer Guides
test ../ test developer-guides/adding-a-field.html
- Adding a Field
test ../ test developer-guides/adding-a-new-file.html
- Adding a File
test ../ test developer-guides/adding-a-hierarchy.html
- Adding a Hierarchy
test ../ test developer-guides/adding-a-measure.html
- Adding a Measure
test ../ test developer-guides/column-calculators.html
- Column Calculators
test ../ test developer-guides/examples-datastorehelpers.html
- Datastore Helper Examples
test ../ test developer-guides/navigating-managerdesc.html
- Navigating managerDesc
test ../ test user-getting-started.html
Getting started
test ../ test user-getting-started/whats-new.html
- What's New?
test ../ test user-getting-started/about-cvarc.html
- About the Accelerator
test ../ test user-getting-started/about-guide.html
- About this guide
test ../ test user-getting-started/bookmarks.html
- Bookmarks
test ../ test user-getting-started/pdf.html
- PDF
test ../ test cube.html
Cube reference
test ../ test regulatory-calcs.html
Regulatory calculations
test ../ test input-files.html
Input file formats
test ../ test input-files/configuration.html
-
Configuration files
test ../ test input-files/risk-data.html
-
Portfolio risk data
test ../ test input-files/reference-data.html
-
Reference data
test ../ test input-files/regulatory-parameter.html
-
Regulatory parameters
test ../ test input-files/corr-buckets-commodity.html
-- Corr - Buckets - Commodity
test ../ test input-files/corr-buckets-counterparty-credit-spread.html
-- Corr - Buckets - Counterparty credit spread
test ../ test input-files/corr-buckets-equity.html
-- Corr - Buckets - Equity
test ../ test input-files/corr-buckets-reference-credit-spread.html
-- Corr - Buckets - Reference credit spread
test ../ test input-files/corr-risk-factors-interest-rate-delta.html
-- Corr - Risk factors - Interest rate delta
test ../ test input-files/cvarc-parameters.html
-- CVARC Parameters
test ../ test input-files/rw.html
-- RW
test ../ test input-files/rw-commodity-delta.html
-- RW - Commodity delta
test ../ test input-files/rw-counterparty-credit-spread-delta.html
-- RW - Counterparty credit spread delta
test ../ test input-files/rw-equity-delta.html
-- RW - Equity delta
test ../ test input-files/rw-interest-rate-delta.html
-- RW - Interest rate delta
test ../ test input-files/rw-reference-credit-spread-delta.html
-- RW - Reference credit spread delta
test ../ test input-files/rw-vega.html
-- RW - Vega
test ../ test input-files/special-currencies.html
-- Special currencies
test ../ test sign-off.html
Sign-Off
test ../ test what-if.html
What-If
test ../ test widgets.html
Widgets
RW - Interest rate delta
Download sample file: sa-cva-risk-weights-delta-interest-rate.csv
The file is used to set risk weights 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 risk weights refers to currencies listed in [MAR50.56]
Y
IsInflation
String, ‘Y’ or ‘N’
Indicates whether the risk weights refer to inflation curves
Y
Tenor
String
Should contain tenors (in years) defined in [MAR50.56] when IsLiquidDomestic contains ‘Y’ and IsInflation is ‘N’. Otherwise it must be Null. Must match vertices configuration file.
1
RiskWeight
Double
The weight in numeric format.
0.005