FRTB Accelerator Cube GuideFxMajorCcyPairAdjustment
| Description |
|---|
Boolean context value - When enabled, the weighted sensitivities are divided by square root of 2 for selected currencies as well as the bank’s reporting currency (see para 120 (a) of BCBS 352).
| Description |
|---|
Boolean context value - When enabled, the weighted sensitivities are divided by square root of 2 for selected currencies as well as the bank’s reporting currency (see para 120 (a) of BCBS 352).