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Corr - Buckets - Reference credit spread
Download sample file: sa-cva-cross-buckets-correlation-reference-credit-spread.csv
The file is used to set cross buckets correlations for risk class reference credit spread.
| Field |
Key |
Null |
FieldType |
Description |
Example |
| AsOfDate |
Y |
N |
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 |
Y |
N |
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 |
| BucketNumber1 |
Y |
N |
String |
Should match bucket number in the buckets configuration file. One of the buckets in a pair. |
2 |
| BucketNumber2 |
Y |
N |
String |
Should match bucket number in the buckets configuration file. One of the buckets in a pair. |
3 |
| CrossBucketsCorrelation |
N |
N |
Double |
Cross-buckets correlation value in numeric format |
0.2 |