Regulatory vertices

SA

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 Y N String with format ‘YYYY-MM-DD’ Risk value date 2018-09-28
Index Y N String, integer Index of a vertex (tenor), used to sort vertices. Must be 0 for the first tenor. 2
Vertex Y N Double Tenor in years. Must be a tenor defined in regulatory calculation. 0.25
RiskClass N N String Risk classes, or risk types, defined in [MAR50.43]: ‘interest rate’, ‘counterparty credit spread’ interest rate
SensitivityType Y N String ‘delta’ or ‘vega’ Allows to apply these vertices to delta or vega sensitivities delta
ParameterSet Y Y 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